<SEC-DOCUMENT>0001839882-21-012658.txt : 20210903
<SEC-HEADER>0001839882-21-012658.hdr.sgml : 20210903
<ACCEPTANCE-DATETIME>20210903103333
ACCESSION NUMBER:		0001839882-21-012658
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		6
CONFORMED PERIOD OF REPORT:	20210630
FILED AS OF DATE:		20210903
DATE AS OF CHANGE:		20210903
EFFECTIVENESS DATE:		20210903

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			GAMCO Natural Resources, Gold & Income Trust
		CENTRAL INDEX KEY:			0001438893
		IRS NUMBER:				000000000
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1231

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-22216
		FILM NUMBER:		211235394

	BUSINESS ADDRESS:	
		STREET 1:		ONE CORPORATE CENTER
		CITY:			RYE
		STATE:			NY
		ZIP:			10580
		BUSINESS PHONE:		914-921-5100

	MAIL ADDRESS:	
		STREET 1:		ONE CORPORATE CENTER
		CITY:			RYE
		STATE:			NY
		ZIP:			10580

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	GAMCO Natural Resources, Gold & Income Trust by Gabelli
		DATE OF NAME CHANGE:	20120106

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	Gabelli Natural Resources, Gold & Income Trust
		DATE OF NAME CHANGE:	20080717

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	Gabelli Gold & Income Trust
		DATE OF NAME CHANGE:	20080630
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>gnt-ncsrs_063021.htm
<DESCRIPTION>CERTIFIED SEMI-ANNUAL SHAREHOLDER REPORT
<TEXT>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt">UNITED
STATES</FONT><BR>
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt">SECURITIES AND EXCHANGE COMMISSION</FONT><BR>
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 12pt">Washington, D.C. 20549</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 18pt"><B>FORM
N-CSR</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 12pt"><B>CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Investment
Company Act file number<U> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;811-22216&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 24pt">GAMCO
Natural Resources, Gold &amp; Income Trust</FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(Exact name of registrant as specified in charter)</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">One
Corporate Center</FONT><BR>
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">  Rye, New York 10580-1422</FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(Address of principal executive offices) (Zip code)</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Bruce
N. Alpert</FONT><BR>
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Gabelli Funds, LLC</FONT><BR>
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">One Corporate Center</FONT><BR>
<FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">  Rye, New York 10580-1422</FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(Name and address of agent for service)</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Registrant's
telephone number, including area code:<U> 1-800-422-3554</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Date
of fiscal year end: <U>December 31</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Date
of reporting period: <U>June 30, 2021</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Form
N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission
to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company
Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">A
registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public.
A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently
valid Office of Management and Budget (&quot;OMB&quot;) control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission,
450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements
of 44 U.S.C. &sect; 3507.&nbsp;</FONT></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Item
1. Reports to Stockholders.</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; font-weight: normal">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; font-weight: normal">The
                                         Report to Shareholders is attached herewith.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>



<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>


<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 20pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
<FONT STYLE="font-size: 14pt"><B>Semiannual Report &mdash; June 30, 2021</B></FONT><BR>
<B>(Y)our Portfolio Management Team</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="width: 40%; font: 10pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 49%; text-align: center; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;<IMG SRC="gb41gnt001.jpg" ALT=""></FONT></TD>
    <TD STYLE="width: 51%; text-align: center; font-size: 10pt"><IMG SRC="gb41gnt002.jpg" ALT=""><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: center; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Caesar
    M. P. Bryan</B></FONT></TD>
    <TD STYLE="text-align: center; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Vincent
    Hugonnard-</B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt"><B>Roche</B></FONT></FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>To
Our Shareholders,</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the six months ended June 30, 2021, the net asset value (NAV) total return of the GAMCO Natural Resources, Gold &amp; Income Trust
(the Fund) was 4.9%, compared with total returns of 11.1% and (1.3)% for the Chicago Board Options Exchange (CBOE) Standard &amp;
Poor&rsquo;s (S&amp;P) 500 Buy/Write Index and the Philadelphia Gold &amp; Silver (XAU) Index, respectively. The total return
for the Fund&rsquo;s publicly traded shares was 10.7%. The Fund&rsquo;s NAV per share was $6.04, while the price of the publicly
traded shares closed at $5.47 on the New York Stock Exchange (NYSE). See page 2 for additional performance information.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Enclosed
are the financial statements, including the schedule of investments, as of June 30, 2021.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="2" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%; border: Black 1pt solid; text-align: left; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt">As
    permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund&rsquo;s annual and semiannual
    shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead,
    the reports will be made available on the Fund&rsquo;s website (www.gabelli.com), and you will be notified by mail each time
    a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports
    electronically, you will not be affected by this change and you need not take any action. To elect to receive all future reports
    on paper free of charge, please contact your financial intermediary, or, if you invest directly with the Fund, you may call
    800-422-3554 or send an email request to info@gabelli.com.</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Comparative
Results</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<center>
<div STYLE="BORDER:solid BLACK 1pt;padding-left:1%;padding-Right:1%;width:98%">
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B><U>Average
Annual Returns through June 30, 2021 (a) (Unaudited)</U></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font-size: 8pt">Year to <BR>
    Date</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font-size: 8pt">1 Year</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="border-bottom: black 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">3 year</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font-size: 8pt">5 year</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font-size: 8pt">10 year</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font-size: 8pt">Since <BR>
    Inception <BR>
    (1/27/11)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">GAMCO Natural Resources, Gold and Income Trust
    (GNT)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 46%; font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">NAV
    Total Return (b)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 8pt">4.92</FONT></TD><TD STYLE="width: 3%; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 8pt">13.93</FONT></TD><TD STYLE="width: 3%; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 8pt">5.40</FONT></TD><TD STYLE="width: 3%; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 8pt">4.09</FONT></TD><TD STYLE="width: 3%; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 8pt">(0.96</FONT></TD><TD STYLE="width: 3%; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 8pt">(1.11</FONT></TD><TD STYLE="width: 3%; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Investment
    Total Return (c)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">10.71</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">21.87</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">4.71</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2.87</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(1.48</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(2.00</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CBOE S&amp;P 500 Buy/Write Index</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">11.10</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">27.28</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">5.36</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7.05</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7.01</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">6.79</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Dow Jones U.S. Basic Materials Index</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">15.92</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">48.92</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">12.06</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">13.79</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7.50</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7.54</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">(d)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">S&amp;P Global Agribusiness Equity Index</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">14.91</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">55.26</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">11.95</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">11.09</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">6.74</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">6.30</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">(d)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Philadelphia Gold &amp; Silver Index</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(1.30</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">10.67</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">21.28</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">8.59</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(2.35</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(2.14</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)(d)</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Performance
                                         returns for periods of less than one year are not annualized. The CBOE S&amp;P 500 Buy/Write
                                         Index is an unmanaged benchmark index designed to reflect the return on a portfolio that
                                         consists of a long position in the stocks in the S&amp;P 500 Index and a short position
                                         in a S&amp;P 500 (SPX) call option. The Philadelphia Gold &amp; Silver Index is an unmanaged
                                         indicator of stock market performance of large North American gold and silver companies.
                                         The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials
                                         sector of the U.S. equity market. The S&amp;P Global Agribusiness Equity Index is designed
                                         to provide exposure to twenty-four of the largest publicly traded agribusiness companies,
                                         comprised of a mix of Producers, Distributors &amp; Processors, and Equipment &amp; Materials
                                         Suppliers companies. Dividends are considered reinvested. You cannot invest directly
                                         in an index.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
                                         returns and average annual returns reflect changes in the NAV per share and reinvestment
                                         of distributions at NAV on the ex-dividend date and are net of expenses. Since inception
                                         return is based on an initial NAV of $19.06.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(c)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
                                         returns and average returns reflect changes in closing market values on the NYSE and
                                         reinvestment of distributions. Since inception return is based on an initial offering
                                         price of $20.00.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(d)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">From
                                         January 31, 2011, the date closest to the Fund&rsquo;s inception for which data are available.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Investors
should carefully consider the investment objectives, risks, charges, are expenses of the Fund before investing.</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Returns
represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will
fluctuate. The Fund&rsquo;s use of leverage may magnify the volatility of net asset value changes versus funds that do not employ
leverage. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher
than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end.</B></FONT></P>
</div>
</center>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Summary
of Portfolio Holdings (Unaudited) </B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
following tables present portfolio holdings as a percent of total investments as of June 30, 2021:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 11pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:48%">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Long Positions</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 88%; text-align: left">Metals and Mining</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">42.5</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Energy and Energy Services</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21.0</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">U.S. Government Obligations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12.0</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Health Care</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>Agriculture</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.7</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>Machinery</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.5</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Food and Beverage</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.7</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Specialty Chemicals</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">2.7</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">100.0</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD></TR>
</TABLE>
</div>
<DIV STYLE="POSITION:RELATIVE;FLOAT:RIGHT;WIDTH:48%">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Short Positions</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 88%; text-align: left">Call Options Written</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">(5.5</TD><TD STYLE="width: 1%; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Put Options Written</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.3</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">(5.8</TD><TD STYLE="text-align: left; padding-bottom: 2pt">)%</TD></TR>
</TABLE>
</div>
<BR CLEAR="ALL"><BR>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the SEC) for the first and third
quarters of each fiscal year on Form N-PORT. Shareholders may obtain this information at www.gabelli.com or by calling the Fund
at 800-GABELLI (800-422-3554). The Fund&rsquo;s Form N-PORT is available on the SEC&rsquo;s website at www.sec.gov and may also
be reviewed and copied at the SEC&rsquo;s Public Reference Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling 800-SEC-0330.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Proxy
Voting</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each
year. A description of the Fund&rsquo;s proxy voting policies, procedures, and how each Fund voted proxies relating to portfolio
securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds
at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC&rsquo;s website at www.sec.gov.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Schedule
of Investments &mdash; June 30, 2021 (Unaudited)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 0pt; margin-bottom: 0pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:48%">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Shares</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Cost</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Market Value</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">COMMON STOCKS&nbsp;&mdash; 87.0%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">Agriculture 5.7%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">45,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 64%; text-align: left">Archer-Daniels-Midland Co.(a)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">2,698,200</TD><TD STYLE="width: 1%; text-align: left"></TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">2,727,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Bunge Ltd.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,744,077</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,602,075</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">69,990</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">Nutrien Ltd.(a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,802,699</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,242,094</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">9,244,976</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">8,571,169</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Energy and Energy Services &mdash; 21.0%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">APA Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">671,976</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">253,071</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Baker Hughes Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,009,680</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">537,445</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">BP plc, ADR(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,001,990</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,334,210</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Cabot Oil &amp; Gas Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">548,674</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">371,898</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,345</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Chevron Corp.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,514,704</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,864,115</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>ConocoPhillips(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,382,706</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,108,380</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Devon Energy Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">611,686</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">467,040</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Diamondback Energy Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">585,548</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">610,285</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">81,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Eni SpA</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,327,015</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">992,479</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">EOG Resources Inc.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,787,904</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,360,072</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">79,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Exxon Mobil Corp.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,356,665</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,995,936</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Halliburton Co.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">927,355</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">601,120</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Hess Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">110,948</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130,980</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,600</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">HollyFrontier Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">468,603</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">217,140</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">69,682</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Kinder Morgan Inc.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,416,215</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,270,303</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23,695</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Marathon Petroleum Corp. (a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,609,857</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,431,652</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,998</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Occidental Petroleum Corp. (a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">592,995</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">500,257</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">ONEOK Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,123,197</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">957,008</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>Phillips 66(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,428,659</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,132,824</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pioneer Natural Resources Co.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,324,216</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,153,892</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">137,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Royal Dutch Shell plc, Cl.A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,317,526</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,751,868</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Schlumberger NV(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,698,598</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,264,395</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Suncor Energy Inc.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">841,298</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">503,370</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Sunoco LP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">479,768</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">565,500</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">The Williams Companies Inc.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,924,116</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,261,125</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">TotalEnergies SE, ADR(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,637,769</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,036,700</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">14,200</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">Valero Energy Corp.(a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1,568,205</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1,108,736</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">43,267,873</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">31,781,801</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Food and Beverage &mdash; 2.7%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37,041</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Mowi ASA</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">927,440</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">942,141</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pilgrim&rsquo;s Pride Corp.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">474,119</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">321,610</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">39,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">Tyson Foods Inc., Cl.A(a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">3,491,940</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">2,876,640</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,893,499</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,140,391</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Health Care &mdash; 8.9%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">IDEXX Laboratories Inc.&dagger;(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,804,741</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,683,950</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">42,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">Zoetis Inc.(a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">7,169,809</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">7,827,120</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">11,974,550</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">13,511,070</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
</TABLE>

</div>
<DIV STYLE="POSITION:RELATIVE;FLOAT:RIGHT;WIDTH:48%">

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Shares</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Cost</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Market Value</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">Machinery &mdash; 4.5%</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">10,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 64%; text-align: left">AGCO Corp.</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">1,501,556</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">1,303,800</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">CNH Industrial NV</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,227,950</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,254,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">12,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">Deere &amp; Co.(a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,334,399</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,232,520</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">7,063,905</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">6,790,320</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Metals and Mining &mdash; 41.5%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">67,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Agnico Eagle Mines Ltd.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,348,206</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,062,240</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">322,516</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Alamos Gold Inc., Cl.A(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,684,992</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,467,247</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">AngloGold Ashanti Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">786,267</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">557,400</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">297,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>B2Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,614,835</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,250,370</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">241,794</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Barrick Gold Corp.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,629,097</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,000,300</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">475,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Belo Sun Mining Corp.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">360,402</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">237,577</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">BHP Group Ltd., ADR(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,105,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,184,900</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">175,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Centamin plc</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">253,517</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">244,982</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">99,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Centerra Gold Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">823,677</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">751,525</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Dundee Precious Metals Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">331,462</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">454,380</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">107,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Eldorado Gold Corp.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,378,208</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,068,630</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">136,185</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Endeavour Mining plc</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,091,156</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,924,528</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">97,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Equinox Gold Corp.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">730,606</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">674,150</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">451,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Evolution Mining Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,229,133</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,522,024</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">35,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Franco-Nevada Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,819,263</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,106,464</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">96,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Freeport-McMoRan Inc.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,400,410</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,562,560</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">62,137</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Fresnillo plc</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,279,735</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">663,222</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">108,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Gold Fields Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,301,587</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">965,650</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">748,733</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Gold Road Resources Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">742,330</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">707,505</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">79,224</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Harmony Gold Mining Co. Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">537,298</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">295,506</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">481,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Hochschild Mining plc</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,654,915</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,021,734</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">191,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Kinross Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,504,655</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,214,120</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">80,126</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Kirkland Lake Gold Ltd.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,681,399</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,087,255</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Labrador Iron Ore Royalty Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">182,294</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">378,913</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">105,952</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Newcrest Mining Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,308,317</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,008,716</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">55,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Newmont Corp.(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,641,694</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,530,266</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">67,085</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Northern Dynasty Minerals Ltd.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">142,578</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33,006</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">461,005</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Northern Star Resources Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,092,186</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,381,246</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">314,975</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">OceanaGold Corp.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">893,858</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">597,121</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">76,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Osisko Gold Royalties Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">995,930</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,051,253</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pan American Silver Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">777,502</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">199,990</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">600,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Perseus Mining Ltd.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,878,228</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">656,956</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">112,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pretium Resources Inc.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,233,449</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,075,500</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Rio Tinto plc, ADR(a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,112,570</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,194,500</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Royal Gold Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">632,053</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">627,550</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">59,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">SSR Mining Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">977,332</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">919,810</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">71,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Wesdome Gold Mines Ltd.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">751,338</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">678,316</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Westgold Resources Ltd.&dagger;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

</div>
<BR CLEAR="ALL"><BR>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B>&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Schedule
of Investments (Continued) &mdash; June 30, 2021 (Unaudited)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 0pt; margin-bottom: 0pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:48%">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Shares</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: center; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Cost</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Market Value</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="font-weight: bold">COMMON STOCKS (Continued)</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Metals and Mining (Continued)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%; text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="width: 9%; text-align: right; vertical-align: top">67,850</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 64%; text-align: left">Wheaton Precious Metals Corp.(a)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">3,350,308</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">2,990,149</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 1pt; vertical-align: top">80,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">Yamana Gold Inc.</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">508,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">337,600</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 1pt; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">69,766,101</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">62,685,175</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Specialty Chemicals &mdash; 2.7%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">23,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">CF Industries Holdings Inc. (a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,253,645</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,183,350</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">13,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">FMC Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,546,925</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,460,700</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 1pt; vertical-align: top">43,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">The Mosaic Co.(a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">2,430,003</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1,372,130</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 1pt; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">5,230,573</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,016,180</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 1pt; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt">TOTAL COMMON STOCKS</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">151,441,477</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">131,496,106</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">RIGHTS &mdash; 0.1%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Metals and Mining &mdash; 0.1%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 1pt; vertical-align: top">90,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">Pan American Silver Corp., CVR&dagger;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">20,700</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">76,500</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">WARRANTS &mdash; 0.0%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Energy and Energy Services &mdash; 0.0%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; padding-bottom: 1pt; vertical-align: top">1,012</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.125in; text-indent: -0.125in">Occidental Petroleum Corp., expire 08/03/27&dagger;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">5,009</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">14,077</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Principal Amount</B></FONT></TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">CONVERTIBLE CORPORATE BONDS &mdash; 0.6%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Metals and Mining &mdash; 0.6%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">$</TD><TD STYLE="text-align: right; vertical-align: top">200,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; padding-left: 0.125in; text-indent: -0.125in">Fortuna Silver Mines Inc., 4.650%, 10/31/24</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">200,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">259,480</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">350,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; padding-left: 0.125in; text-indent: -0.125in">Osisko Gold Royalties Ltd., 4.000%, 12/31/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">273,022</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">295,701</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">350,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.125in; text-indent: -0.125in">Pretium Resources Inc., 2.250%, 03/15/22</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">350,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">356,563</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">823,022</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">911,744</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt; padding-left: 0.125in; text-indent: -0.125in">TOTAL CONVERTIBLE CORPORATE BONDS</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">823,022</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">911,744</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">CORPORATE BONDS &mdash; 0.3%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Metals and Mining &mdash; 0.3%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">500,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.125in; text-indent: -0.125in">IAMGOLD Corp., 5.750%, 10/15/28(b)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">500,000</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">520,800</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">U.S. GOVERNMENT OBLIGATIONS &mdash; 12.0%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD><TD STYLE="text-align: right; vertical-align: top">3,975,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; padding-left: 0.125in; text-indent: -0.125in">U.S. Cash Management Bill, 0.005%&dagger;&dagger;, 09/07/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,974,962</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,974,677</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>
</div>
<DIV STYLE="POSITION:RELATIVE;FLOAT:RIGHT;WIDTH:48%">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Principal Amount</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: center; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Cost</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Market Value</TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%; text-align: left; vertical-align: top">$</TD><TD STYLE="width: 9%; text-align: right; vertical-align: top">14,120,000</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 64%; text-align: left; padding-bottom: 1pt; padding-left: 0.125in; text-indent: -0.125in">U.S. Treasury Bills, 0.014% to 0.040%&dagger;&dagger;, 09/09/21 to 10/21/21(c)</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt solid">14,118,630</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt solid">14,118,513</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt; padding-left: 0.125in; text-indent: -0.125in">TOTAL U.S. GOVERNMENT OBLIGATIONS</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><td style="border-bottom: Black 1pt solid; text-align: right">18,093,592</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">18,093,190</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left; padding-left: 0.125in; text-indent: -0.125in; padding-bottom: 2pt"><B>TOTAL
    INVESTMENTS BEFORE OPTIONS WRITTEN &mdash; 100.0%</B></TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">170,883,800</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">151,112,417</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left"><B>OPTIONS WRITTEN &mdash; (5.8)%</B></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left; padding-left: 0.125in">(Premiums received $9,720,319)</TD><TD STYLE="font-size: 10pt">&nbsp;</TD>
    <TD STYLE="font-size: 10pt; text-align: left">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: right">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8,815,126</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left"><B>Other Assets and Liabilities (Net)</B></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,534,415</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left"><B>PREFERRED SHARES</B></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left; padding-left: 0.125in; padding-bottom: 1pt">(1,170,102 preferred shares outstanding)</TD><TD STYLE="font-size: 10pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 10pt; text-align: left">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: right">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(29,252,550</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left"><B>NET ASSETS &mdash; COMMON SHARES</B></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left; padding-left: 0.125in; padding-bottom: 2pt">(18,973,227 common shares outstanding)</TD><TD STYLE="font-size: 10pt; padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="font-size: 10pt; text-align: left">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: right">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">114,579,156</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left"><B>NET ASSET VALUE PER COMMON SHARE</B></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="5" STYLE="text-align: left; padding-left: 0.125in; padding-bottom: 2pt">($114,579,156 &divide; 18,973,227 shares outstanding)</TD><TD STYLE="font-size: 10pt; padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="font-size: 10pt; text-align: left">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: right">&nbsp;</TD><TD STYLE="font-size: 10pt; text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">6.04</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 20%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-size: 8pt"></FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Securities,
                                         or a portion thereof, with a value of $59,056,362 were deposited with the broker as collateral
                                         for options written.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">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.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(c)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">At
                                         June 30, 2021, $12,000,000 of the principal amount was pledged as collateral for options
                                         written.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&dagger;</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Non-income
                                         producing security.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"></FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&dagger;&dagger;</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Represents
                                         annualized yield(s) at date(s) of purchase.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.35in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ADR</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">American
Depositary Receipt</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.35in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CVR</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Contingent
Value Right</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Geographic Diversification</FONT></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>% of Total </B></FONT><BR> <FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Investments<SUP>*</SUP></B></FONT></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Market <BR>
Value</FONT></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">Long Positions</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 70%; text-align: left"><FONT STYLE="font-size: 8pt">North America</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">79.3</FONT></TD><TD STYLE="width: 4%; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">119,875,015</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">Europe</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">11.1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">16,675,408</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">Asia/Pacific</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7.3</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">11,058,483</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">South Africa</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1.2</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,818,555</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Latin America</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">1.1</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">1,684,956</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">Total Investments &mdash; Long Positions</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">100.0</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">151,112,417</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">Short Positions</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">North America</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(5.6</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(8,526,534</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">Europe</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.1</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(221,549</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Asia/Pacific</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(0.1</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(67,043</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">Total Investments &mdash; Short Positions</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">(5.8</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">(8,815,126</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

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<P STYLE="margin-top: 0; margin-bottom: 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">*</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
                                         investments exclude options written.</FONT></TD></TR></TABLE>

</div>
<BR CLEAR="ALL"><BR>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B>&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Schedule
of Investments (Continued) &mdash; June 30, 2021 (Unaudited)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">As of
June 30, 2021, options written outstanding were as follows:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Description</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Counterparty</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Number of<BR>
Contracts</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Notional<BR>
Amount</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Exercise <BR>
Price</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Expiration <BR>
Date</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Market <BR>
Value</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">OTC Call Options Written &mdash; (3.9)%</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 22%; text-align: left">Agnico Eagle Mines Ltd.</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 20%; text-align: left">Pershing LLC</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">215</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">1,299,675</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">70.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center">09/17/21</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">19,707</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Agnico Eagle Mines Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">755,625</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">60.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">54,651</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Agnico Eagle Mines Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">60</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">362,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">66.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,327</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Agnico Eagle Mines Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">180</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,088,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">68.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">48,354</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Alamos Gold Inc., Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">918,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">11.25</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">67</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Alamos Gold Inc., Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">550</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">420,750</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">8.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32,043</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Alamos Gold Inc., Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">525</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">401,625</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">9.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,416</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Alamos Gold Inc., Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">650</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">497,250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">8.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">46,834</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">AngloGold Ashanti Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">557,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">17.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">61,959</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Apache Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">84,357</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">20.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11,851</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Archer-Daniels-Midland Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,515,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">60.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50,307</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Archer-Daniels-Midland Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,212,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">60.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">63,113</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>B2Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">835</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">351,535</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">5.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,568</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>B2Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">835</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">351,535</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">5.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,553</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>B2Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">547,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">5.60</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25,642</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Baker Hughes Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">160,090</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">24.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,626</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Baker Hughes Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">95</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">217,265</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">21.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25,621</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Baker Hughes Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">160,090</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">23.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,691</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Barrick Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">675</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,395,900</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">23.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,985</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Barrick Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">750</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,551,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">23.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45,420</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Barrick Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">258,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">24.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,592</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Barrick Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">868</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,795,024</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">23.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">84,625</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">BHP Group Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">728,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">65.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">79,881</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">BHP Group Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">728,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">72.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23,348</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">BHP Group Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">728,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">72.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30,127</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">BP plc, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">170</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">449,140</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">26.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,162</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">BP plc, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">165</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">435,930</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33,804</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">BP plc, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">170</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">449,140</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">28.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,156</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Bunge Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">781,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">35,605</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Bunge Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">105</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">820,575</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,438</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Cabot Oil &amp; Gas Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">130,950</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">20.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,211</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">CF Industries Holdings Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">668,850</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">42.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">90,979</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">CF Industries Holdings Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">514,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">55.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20,573</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Chevron Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">93</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">974,082</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">100.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45,798</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Chevron Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">209,480</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">100.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,367</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Chevron Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">733,180</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">105.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28,854</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Chevron Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">90</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">942,660</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">115.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20,818</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">CNH Industrial NV</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">350</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">585,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">16.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37,460</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">CNH Industrial NV</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">668,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">16.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">64,931</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>ConocoPhillips</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">67</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">408,030</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">60.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,289</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>ConocoPhillips</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">426,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">54.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">55,471</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>ConocoPhillips</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">274,050</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">62.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,873</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Deere &amp; Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,410,840</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">400.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,018</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Devon Energy Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">80</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">233,520</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40,265</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Devon Energy Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">80</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">233,520</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">28.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,452</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Diamondback Energy Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">187,780</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">75.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37,346</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Diamondback Energy Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">234,725</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,339</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Diamondback Energy Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">187,780</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">90.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,506</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Eldorado Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">243</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">241,785</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">13.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,314</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Schedule
of Investments (Continued) &mdash; June 30, 2021 (Unaudited)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Description</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Counterparty</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Number of<BR>
Contracts</TD>
    <TD STYLE="padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Notional <BR>
Amount</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Exercise <BR>
Price</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Expiration <BR>
Date</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Market <BR>
Value</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 22%; text-align: left">Eldorado Gold Corp.</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 20%; text-align: left">Pershing LLC</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">245</TD>
    <TD STYLE="width: 1%">&nbsp;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%">USD</TD>
    <TD STYLE="width: 8%; text-align: right"> 243,775</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">13.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center">11/19/21</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">8,627</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">563</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>CAD</TD>
    <TD STYLE="text-align: right"> 1,498,706</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">17.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Eni SpA</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>EUR</TD>
    <TD STYLE="text-align: right"> 205,400</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right">9.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,699</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Eni SpA</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>EUR</TD>
    <TD STYLE="text-align: right">205,400</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right">10.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,889</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Eni SpA</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>EUR</TD>
    <TD STYLE="text-align: right">205,400</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right">11.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,326</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Eni SpA</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>EUR</TD>
    <TD STYLE="text-align: right"> 205,400</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right">11.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,205</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">EOG Resources Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">55</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right"> 458,920</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">75.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">59,645</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">EOG Resources Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">58</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">483,952</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">77.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">63,228</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">EOG Resources Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">417,200</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">85.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39,721</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Equinox Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">485</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">337,075</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">13.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Exxon Mobil Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">90</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">567,720</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">55.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70,937</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Exxon Mobil Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">267</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">1,684,236</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">60.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">114,610</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Exxon Mobil Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">110</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">693,880</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">55.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">88,354</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Exxon Mobil Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">110</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">693,880</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">60.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">53,936</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Exxon Mobil Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">115</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">725,420</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">61.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">56,128</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Exxon Mobil Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">630,800</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">65.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34,497</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">FMC Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">757,400</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">115.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,212</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">FMC Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">65</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">703,300</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">110.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">41,674</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Franco-Nevada Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">132</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">1,914,924</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">120.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">330,630</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Franco-Nevada Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">110</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">1,595,770</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">150.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">80,784</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Freeport-McMoRan Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">270</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">1,001,970</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">121,543</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Freeport-McMoRan Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">320</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">1,187,520</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">171,710</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Gold Fields Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">350</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">311,500</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">10.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,569</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Gold Fields Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">385</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">342,650</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">10.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22,273</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Gold Fields Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">350</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">311,500</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">10.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,292</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Halliburton Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">300,560</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">23.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,936</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Halliburton Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">300,560</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">22.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30,351</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Harmony Gold Mining Co. Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">380</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">141,740</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">6.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Harmony Gold Mining Co. Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">400</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">149,200</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">5.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,464</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Hess Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">130,980</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">65.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33,919</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">HollyFrontier Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">98,700</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">45.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">675</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">IDEXX Laboratories Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">1,894,650</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">550.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">275,985</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kinder Morgan Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">235</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">428,405</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">16.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45,612</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kinder Morgan Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">237</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">432,051</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">18.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20,470</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kinder Morgan Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">225</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">410,175</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">19.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,891</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kinross Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">700</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">444,500</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">8.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">872</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kinross Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">117</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">74,295</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">7.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,878</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kinross Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">35</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">22,225</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">8.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">267</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kinross Gold Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">637</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">404,495</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">7.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,424</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kirkland Lake Gold Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">172</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">662,716</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">47.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">758</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kirkland Lake Gold Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">61</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">235,033</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">50.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">101</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kirkland Lake Gold Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">48</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">184,944</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,684</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kirkland Lake Gold Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">335</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">1,290,755</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">45.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23,743</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kirkland Lake Gold Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">185</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">712,805</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">50.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,825</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Kirkland Lake Gold Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">233</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">897,749</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">45.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37,849</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Marathon Petroleum Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">60</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">362,520</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">50.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">61,894</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Marathon Petroleum Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">65</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">392,730</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">62.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,360</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Marathon Petroleum Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">241,680</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">52.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33,996</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Marathon Petroleum Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">72,504</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">62.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,822</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Marathon Petroleum Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">60</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>USD</TD>
    <TD STYLE="text-align: right">362,520</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">62.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23,952</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Mowi ASA</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23,586</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>NOK</TD>
    <TD STYLE="text-align: right"> 5,165,334</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">NOK</FONT></TD>
    <TD STYLE="text-align: right">209.24</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">41,080</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Newcrest Mining Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">250</TD>
    <TD>&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>AUD</TD>
    <TD STYLE="text-align: right"> 632,000</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">AUD</FONT></TD>
    <TD STYLE="text-align: right">27.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,131</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B>&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Schedule
of Investments (Continued) &mdash; June 30, 2021 (Unaudited)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Description</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Counterparty</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Number of<BR>
Contracts</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: black 1pt solid"><B>Notional<BR> Amount</B></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Exercise<BR>
 Price</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Expiration <BR>
Date</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Market <BR>
Value</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 22%; text-align: left">Newcrest Mining Ltd.</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 20%; text-align: left">Morgan Stanley</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">300</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-size: 8pt">AUD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">758,400</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">AUD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">26.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center">09/16/21</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">21,021</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Newcrest Mining Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">AUD</FONT></TD>
    <TD STYLE="text-align: right">758,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">AUD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/18/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,836</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Newmont Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">150</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">950,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">60.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">52,521</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Newmont Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">150</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">950,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">62.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45,178</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Newmont Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">107</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">678,166</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">70.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,310</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Northern Star Resources Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">AUD</FONT></TD>
    <TD STYLE="text-align: right">1,369,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">AUD</FONT></TD>
    <TD STYLE="text-align: right">13.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33,055</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Nutrien Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,515,250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">55.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">107,868</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Nutrien Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,212,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">52.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">157,188</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Nutrien Ltd.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,515,250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">58.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">108,606</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Occidental Petroleum Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">140,715</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22,468</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">ONEOK Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">222,560</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">46.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39,340</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">ONEOK Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">250,380</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">55.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,747</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">ONEOK Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">250,380</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">55.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,239</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">ONEOK Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">233,688</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">55.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,839</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pan American Silver Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">199,990</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">32.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,337</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>Phillips 66</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">343,280</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,438</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>Phillips 66</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">429,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,751</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>Phillips 66</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">343,280</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">90.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,573</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pilgrim&rsquo;s Pride Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">155,260</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">26.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,383</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pioneer Natural Resources Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">292,536</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">140.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">44,936</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pioneer Natural Resources Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">292,536</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">160.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21,597</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pioneer Natural Resources Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">292,536</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">150.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34,214</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pioneer Natural Resources Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">292,536</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">170.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22,879</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pretium Resources Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">375</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">358,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">11.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,207</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Rio Tinto plc, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">170</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,426,130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">74.07</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">149,537</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Rio Tinto plc, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">160</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,342,240</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">71,505</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Rio Tinto plc, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">170</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,426,130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">82.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">93,214</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Royal Dutch Shell plc, Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right">578,720</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBp</FONT></TD>
    <TD STYLE="text-align: right">1600.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11,714</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Royal Dutch Shell plc, Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">535,316</FONT></TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBp</FONT></TD>
    <TD STYLE="text-align: right">1500.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28,402</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Royal Dutch Shell plc, Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Morgan Stanley</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">61</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right">882,548</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBp</FONT></TD>
    <TD STYLE="text-align: right">1400.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">98,234</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Royal Gold Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">55</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">627,550</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">115.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">44,581</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Schlumberger NV</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">135</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">432,135</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">46,198</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Schlumberger NV</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">416,130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">37.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,387</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Schlumberger NV</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">416,130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32,493</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">SSR Mining Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">340</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">530,060</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">20.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,445</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">SSR Mining Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">389,750</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">20.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11,061</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Suncor Energy Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">179,775</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">22.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,456</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Suncor Energy Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">179,775</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">24.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,320</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Suncor Energy Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">179,775</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,292</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sunoco LP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">188,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33,722</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sunoco LP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">188,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,037</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sunoco LP</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">188,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,059</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">The Mosaic Co.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">140</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">446,740</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">37.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,589</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">The Williams Companies Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">120</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">318,600</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">23.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40,873</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">The Williams Companies Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">120</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">318,600</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">24.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29,333</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">The Williams Companies Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">120</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">318,600</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">27.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,441</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">The Williams Companies Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">115</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">305,325</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">27.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,433</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">TotalEnergies SE, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">565,750</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">45.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,048</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">TotalEnergies SE, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">181,040</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">50.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">63</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">TotalEnergies SE, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">565,750</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">50.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,584</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">TotalEnergies SE, ADR</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">125</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">565,750</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">45.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,700</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Tyson Foods Inc., Cl. A</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">958,880</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">72.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22,978</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Schedule
of Investments (Continued) &mdash; June 30, 2021 (Unaudited)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Description</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Counterparty</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Number of<BR>
Contracts</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Notional<BR>
Amount</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Exercise <BR>
Price</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Expiration <BR>
Date</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Market <BR>
Value</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 22%; text-align: left">Tyson Foods Inc., Cl. A</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 20%; text-align: left">Pershing LLC</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">130</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">958,880</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">80.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center">10/15/21</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">15,986</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Valero Energy Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">312,320</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">77.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,628</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Valero Energy Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">327,936</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,867</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Valero Energy Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">312,320</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">80.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22,853</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">VanEck Vectors Gold Miners ETF</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">405</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,376,190</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">39.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">41,962</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Wheaton Precious Metals Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">260</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,145,820</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">47.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">36,889</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Wheaton Precious Metals Corp.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">286</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,260,402</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">50.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">55,157</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Yamana Gold Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">168,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">6.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,856</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Yamana Gold Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">168,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">5.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,203</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Zoetis Inc.</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,863,600</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">190.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: black 1pt solid">92,963</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2pt; padding-left: 0.125in; text-indent: -0.125in">TOTAL OTC CALL OPTIONS WRITTEN</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: center; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: black 2.5pt double">5,886,359</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">OTC Put Options Written &mdash; (0.2)%</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Energy Select Sector SPDR ETF</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">475</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">2,558,825</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">40.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,425</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">iShares Global Clean Energy ETF</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">350</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">821,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">21.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,212</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">VanEck Vectors Gold Miners ETF</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">Pershing LLC</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">3,737,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">34.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: black 1pt solid">249,473</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-left: 0.125in; text-indent: -0.125in">TOTAL OTC PUT OPTIONS WRITTEN</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: black 2.5pt double">278,110</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Description</TD><TD STYLE="padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Number of Contracts</B></FONT></TD><TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Notional <BR>
Amount</B></FONT></TD><TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Exercise
    <BR>
Price</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Expiration <BR>
Date</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Market <BR>
Value</B></FONT></TD><TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: left">Exchange Traded Call Options Written &mdash; (1.6)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">AGCO Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">651,900</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">150.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">6,700</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">AGCO Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">651,900</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">155.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,375</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Alamos Gold Inc., Cl. A</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,147,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">10.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">AngloGold Ashanti Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">150</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">278,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">28.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">750</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">AngloGold Ashanti Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">150</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">278,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,750</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Apache Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">162,225</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">20.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,525</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Centerra Gold Inc.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">49</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">46,109</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">19.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">59</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Centerra Gold Inc.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">470,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">15.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,050</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Deere &amp; Co.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,410,840</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">350.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">64,200</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Deere &amp; Co.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,410,840</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">350.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">107,400</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Dundee Precious Metals Inc.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">750</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">563,250</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">10.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">61,108</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Eldorado Gold Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">240</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">238,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">13.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,400</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">335</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">891,770</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">27.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,161</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">315</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">838,530</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,144</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">95</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">252,890</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">32.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">115</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">90</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">239,580</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">36.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">545</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">185</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">492,470</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">26.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33,206</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">142</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">378,004</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,592</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">532,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">32.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,521</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Endeavour Mining plc</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">1,331,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">66,554</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Equinox Gold Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">485</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">337,075</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">10.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,425</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Franco-Nevada Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">110</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,595,770</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">150.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">110,330</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Freeport-McMoRan Inc.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">370</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,373,070</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">218,300</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Harmony Gold Mining Co. Ltd., ADR</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">412</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">153,676</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">7.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">11/19/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,120</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">IDEXX Laboratories Inc.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,894,650</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">540.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">288,300</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">IDEXX Laboratories Inc.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,894,650</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">530.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">313,800</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Occidental Petroleum Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">140,715</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28,463</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">OceanaGold Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">352,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">2.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,655</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Osisko Gold Royalties Ltd.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">330</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">560,670</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">16.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29,949</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Osisko Gold Royalties Ltd.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">350</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">594,650</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">15.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">65,646</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pilgrim&rsquo;s Pride Corp.</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">166,350</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">27.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,125</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Schedule
of Investments (Continued) &mdash; June 30, 2021 (Unaudited)</B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-bottom: black 1pt solid">Description</TD>
    <TD STYLE="border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Number of<BR>
Contracts</TD><TD STYLE="font-weight: bold; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: black 1pt solid"><B>Notional <BR>
Amount</B></TD><TD STYLE="font-weight: bold; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Exercise <BR>
Price</TD><TD STYLE="font-weight: bold; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Expiration <BR>
Date</TD><TD STYLE="font-weight: bold; border-bottom: black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: black 1pt solid">Market <BR>
Value</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 22%; text-align: left">Pretium Resources Inc.</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 20%">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">375</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">358,500</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="width: 8%; text-align: right">13.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center">07/16/21</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">3,750</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Pretium Resources Inc.</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">375</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">358,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">11.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">01/21/22</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,875</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">The Mosaic Co.</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">140</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">446,740</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,500</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">The Mosaic Co.</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">150</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">478,650</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">35.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21,900</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">VanEck Vectors Gold Miners ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">270</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">917,460</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">37.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,620</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">VanEck Vectors Gold Miners ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">270</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">917,460</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">37.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24,030</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">VanEck Vectors Gold Miners ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">405</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">1,376,190</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">42.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29,565</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Wesdome Gold Mines Ltd.</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">360</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">423,360</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="text-align: right">12.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23,959</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Yamana Gold Inc.</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">168,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">7.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">400</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Zoetis Inc.</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">160</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">2,981,760</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">170.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">07/16/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">268,800</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Zoetis Inc.</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">160</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">2,981,760</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">160.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: black 1pt solid">439,200</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: left">TOTAL EXCHANGE TRADED CALL OPTIONS WRITTEN</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: black 2.5pt double">2,383,867</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: left">Exchange Traded Put Options Written &mdash; (0.1)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Energy Select Sector SPDR ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">600</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">3,232,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">43.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">09/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">22,200</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Energy Select Sector SPDR ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">420</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">2,262,540</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">47.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">74,340</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">iShares Global Clean Energy ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">703,800</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">19.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,500</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">NextEra Energy Partners LP</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">572,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">65.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">10/15/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,750</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">VanEck Vectors Gold Miners ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">4,417,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">28.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">08/20/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">VanEck Vectors Gold Miners ETF</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,300</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">4,417,400</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">USD</FONT></TD>
    <TD STYLE="text-align: right">30.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">12/17/21</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: black 1pt solid">143,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: left">TOTAL EXCHANGE TRADED PUT OPTIONS WRITTEN</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: black 2.5pt double">266,790</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">TOTAL OPTIONS WRITTEN</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: black 2.5pt double">8,815,126</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


<!-- Field: Page; Sequence: 10; Value: 3 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:48%">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Statement of Assets and Liabilities</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">June 30, 2021 (Unaudited)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="margin: 0"></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="margin: 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Assets:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 87%; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Investments
    in securities, at value (cost $170,883,800)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">151,112,417</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Foreign currency, at
    value (cost $20,657)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">20,559</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Cash</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">35,366</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Deposit at brokers for
    securities sold short</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,618,597</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Receivable for investments
    in securities sold</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">545,667</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Dividends and interest
receivable</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">192,875</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Deferred offering expense</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">69,853</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Prepaid expenses</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">2,177</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Total
    Assets</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">153,597,511</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Liabilities:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Options written, at
    value (premiums received $9,720,319)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">8,815,126</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Payable to broker</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">577,062</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Distributions payable</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">21,127</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Payable for investment
    securities purchased</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7,299</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Payable for investment
    advisory fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">120,657</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Payable for payroll
    expenses</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">8,109</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Payable for accounting
    fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3,750</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Other accrued expenses</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">212,674</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Total
    Liabilities</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">9,765,804</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Preferred Shares $0.001 par value, unlimited number of shares authorized:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Series A Cumulative
    Preferred Shares (5.200%, $25 liquidation value, 1,170,102 shares outstanding)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">29,252,550</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">Net
    Assets Attributable to Common Shareholders</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">114,579,157</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">Net Assets Attributable to Common Shareholders
    Consist of:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Paid-in capital</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">232,154,423</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Total accumulated loss</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(117,575,266</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">Net
    Assets</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">114,579,157</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Net Asset Value per Common Share:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">($114,579,157 &divide; 18,973,227 shares
    outstanding at $0.001 par value; unlimited number of shares authorized)</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">6.04</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

</div>
<DIV STYLE="POSITION:RELATIVE;FLOAT:RIGHT;WIDTH:48%">

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Statement of Operations</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">For the Six Months Ended June 30, 2021 (Unaudited)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="margin: 0"></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="margin: 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">Investment Income:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 87%; text-align: left; text-indent: -0.125in; padding-left: 0.25in"><FONT STYLE="font-size: 8pt">Dividends
    (net of foreign withholding taxes of $78,247)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">1,633,717</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 0.25in; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Interest</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">35,110</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Total
    Investment Income</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">1,668,827</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Expenses:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Investment advisory
    fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">721,183</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Payroll expenses</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">58,723</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Legal and audit fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">57,926</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Shareholder communications
    expenses</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">56,883</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Trustees&rsquo; fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">38,537</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Accounting fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">22,500</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Shareholder services
    fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">14,619</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Custodian fees</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">8,464</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Service fees for securities
    sold short (See Note 2)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3,432</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Interest expense</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">129</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Miscellaneous expenses</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">39,279</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Total
    Expenses</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">1,021,675</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Less:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 25.9pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Expenses paid indirectly
    by broker (See Note 3)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(1,073</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net
    Expenses</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">1,020,602</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net
    Investment Income</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">648,225</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">Net Realized and Unrealized Gain/(Loss) on Investments
    in Securities, Securities Sold Short, Written Options, and Foreign Currency:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Net realized loss on
    investments in securities</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(2,706,664</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Net realized gainon
    securities sold short</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">40,294</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Net realized gainon
    written options</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3,021,343</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net realized losson
    foreign currency transactions</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(4,801</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net realized gain on
    investments in securities, securities sold short, written options, and foreign currency transactions</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">350,172</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Net change in unrealized
    appreciation/depreciation:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 25.9pt"><FONT STYLE="font-size: 8pt">on investments in securities</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,476,167</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 25.9pt"><FONT STYLE="font-size: 8pt">on written options</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3,173,244</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 25.9pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">on foreign currency
    translations</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(482</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net change in unrealized
    appreciation/depreciation on investments in securities, written options, and foreign currency translations</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">4,648,929</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net
    Realized and Unrealized Gain/(Loss) on Investments in Securities, Securities Sold Short, Written Options, and Foreign Currency</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">4,999,101</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net
    Increase in Net Assets Resulting from Operations</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">5,647,326</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Total Distributions
    to Preferred Shareholders</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(760,566</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">Net
    Increase in Net Assets Attributable to Common Shareholders Resulting from Operations</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">4,886,760</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

</div>
<BR CLEAR="ALL"><BR>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


<!-- Field: Page; Sequence: 11; Value: 3 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Statement
of Changes in Net Assets Attributable to Common Shareholders </B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD COLSPAN="4" STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center">Six Months Ended <BR> June 30, 2021 <BR> (Unaudited)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD COLSPAN="4" STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center">Year Ended <BR> December 31, 2020</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Operations:</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 67%; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net investment income</TD>
    <TD STYLE="width: 1%">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">648,225</TD><TD STYLE="width: 3%; text-align: left">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">531,956</TD><TD STYLE="width: 3%; text-align: left">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net realized gain on investments in securities, securities sold short, written options, and foreign currency transactions</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">350,172</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,877,726</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Net change in unrealized appreciation/depreciation on investments in securities, written options, and foreign currency translations</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,648,929</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(8,688,040</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Net Increase
    in Net Assets Resulting from Operations</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">5,647,326</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">5,721,642</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Distributions to Preferred Shareholders:</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Accumulated earnings</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(603,772</TD><TD STYLE="text-align: left">)*</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,067,709</TD><TD STYLE="text-align: left">)</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt; text-indent: -8.65pt; padding-left: 17.3pt">Return of capital</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(156,794</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)*</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(454,406</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Total Distributions to Preferred Shareholders</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(760,566</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(1,522,115</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Net Increase in Net Assets Attributable to Common Shareholders Resulting from Operations</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,886,760</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4,199,527</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Distributions to Common Shareholders:</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Return of capital</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(3,476,294</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)*</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(9,924,203</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Total Distributions to Common Shareholders</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(3,476,294</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(9,924,203</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Fund Share Transactions:</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net increase in net assets from common shares issued upon reinvestment of distributions</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">82,569</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net decrease from repurchase of common shares</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4,451,331</TD><TD STYLE="text-align: left">)</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5,416,574</TD><TD STYLE="text-align: left">)</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Net increase in net assets from repurchase of preferred shares</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">9,267</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Net Decrease in Net Assets from Fund Share Transactions</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(4,451,331</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(5,324,738</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net Decrease in Net Assets Attributable to Common Shareholders</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3,040,865</TD><TD STYLE="text-align: left">)</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(11,049,414</TD><TD STYLE="text-align: left">)</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Net Assets Attributable to Common Shareholders:</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Beginning of year</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">117,620,022</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">128,669,436</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt">End of period</TD>
    <TD STYLE="padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">114,579,157</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">117,620,022</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2pt">&nbsp;</TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 20%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="margin-top: 0; margin-bottom: 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">*</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Based
                                         on year to date book income. Amounts are subject to change and recharacterization at
                                         year end.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


<!-- Field: Page; Sequence: 12; Value: 3 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence -->&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Financial
Highlights </B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Selected
data for a common share of beneficial interest outstanding throughout each period:</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; white-space: nowrap">Six Months Ended</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD STYLE="font-size: 10pt">&nbsp;</TD>
    <TD COLSPAN="7" STYLE="font-size: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">June 30, 2021</TD>
    <TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="18" STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Year Ended December 31,</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">(Unaudited)</TD>
    <TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2020</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2019</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2018</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2017</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2016</TD>
    <TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Operating Performance:</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Net asset value, beginning of year</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 10%; text-align: right; border-bottom: Black 1pt solid">5.93</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 6%; text-align: right; border-bottom: Black 1pt solid">6.16</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 6%; text-align: right; border-bottom: Black 1pt solid">5.72</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 6%; text-align: right; border-bottom: Black 1pt solid">7.11</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 6%; text-align: right; border-bottom: Black 1pt solid">7.14</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1pt solid">$</TD><TD STYLE="width: 6%; text-align: right; border-bottom: Black 1pt solid">6.49</TD><TD STYLE="width: 3%; text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net investment income</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.03</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.02</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.03</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.06</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.01</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Net realized and unrealized gain/(loss) on investments and foreign currency transactions</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.27</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.26</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1.08</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.78</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.59</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1.47</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Total from investment operations</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.30</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.28</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1.11</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.72</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.64</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1.48</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Distributions to Preferred Shareholders: (a)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right"></TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right"></TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right"></TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right"></TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right"></TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right"></TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net investment income</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.03</TD><TD STYLE="text-align: left">)*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.05</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.05</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.06</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Return of capital</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.01</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)*</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.02</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.02</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.01</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Total distributions to preferred shareholders</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.04</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.07</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.07</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.07</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.01</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 8.65pt; padding-bottom: 1pt">Net Increase/(Decrease) in Net Assets Attributable to Common Shareholders Resulting from Operations</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.26</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.21</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1.04</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.79</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.63</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">1.48</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Distributions to Common Shareholders:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net investment income</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.06</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.03</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Return of capital</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.18</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)*</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.48</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.60</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.60</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.54</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.81</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Total distributions to common shareholders</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.18</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.48</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.60</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.60</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.60</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.84</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Fund Share Transactions:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Increase in net asset value from common share transactions</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">(b)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">(b)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.01</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Increase in net asset value from repurchase of common shares</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.03</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.04</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">(b)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Increase in net asset value from repurchase of preferred shares</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">(b)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">(b)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">(b)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Offering costs for preferred shares charged to paid-in capital</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.06</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">&mdash;</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 1pt">Total Fund share transactions</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.03</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.04</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.00</TD><TD STYLE="text-align: left; padding-bottom: 1pt">(b)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.00</TD><TD STYLE="text-align: left; padding-bottom: 1pt">(b)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">(0.06</TD><TD STYLE="text-align: left; padding-bottom: 1pt">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">0.01</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt">Net Asset Value Attributable to Common Shareholders, End of Period</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">6.04</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">5.93</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">6.16</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">5.72</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">7.11</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">7.14</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt">NAV total return &dagger;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">4.92</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">5.22</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">19.04</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">(11.75</TD><TD STYLE="text-align: left; padding-bottom: 2pt">)%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">8.29</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">23.53</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt">Market value, end of period</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">5.47</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">5.11</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">5.96</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">4.95</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">6.71</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">6.67</TD><TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt; padding-bottom: 2pt">Investment total return &dagger;&dagger;</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">10.71</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">(5.56</TD><TD STYLE="text-align: left; padding-bottom: 2pt">)%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">33.64</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">(18.56</TD><TD STYLE="text-align: left; padding-bottom: 2pt">)%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">9.59</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD><TD STYLE="padding-bottom: 2pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double">31.52</TD><TD STYLE="text-align: left; padding-bottom: 2pt">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 8.65pt">Ratios to Average Net Assets and Supplemental Data:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net assets including liquidation value of preferred shares, end of period (in 000&rsquo;s)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">143,832</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">146,873</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">158,002</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">149,051</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">178,668</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Net assets attributable to common shares, end of period (in 000&rsquo;s)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">114,579</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">117,620</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">128,669</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">119,466</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">148,668</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">149,032</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Ratio of net investment income to average net assets attributable to common shares before preferred distributions</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.12</TD><TD STYLE="text-align: left">%(c)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.46</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.93</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.74</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.20</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Ratio of operating expenses to average net assets attributable to common shares (d)(e) (f)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.77</TD><TD STYLE="text-align: left; white-space: nowrap">%(c)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.94</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.72</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.68</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.38</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.37</TD><TD STYLE="text-align: left">%(g)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Portfolio turnover rate</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">62</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">95</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">109</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">167</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">238</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">183</TD><TD STYLE="text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


<!-- Field: Page; Sequence: 13; Value: 3 -->
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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Financial
Highlights (Continued)</B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Selected
data for a common share of beneficial interest outstanding throughout each period:</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; white-space: nowrap">Six Months Ended</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD STYLE="font-size: 10pt">&nbsp;</TD>
    <TD COLSPAN="7" STYLE="font-size: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">June 30, 2021</TD>
    <TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="18" STYLE="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Year Ended December 31,</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">(Unaudited)</TD>
    <TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2020</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2019</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2018</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2017</TD>
    <TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">2016</TD>
    <TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Cumulative Preferred Shares:</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="3">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">5.200% Series A Preferred(h)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 42%; text-indent: -8.65pt; padding-left: 17.3pt">Liquidation value, end of period (in 000&rsquo;s)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">29,253</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 6%; text-align: right">29,253</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 6%; text-align: right">29,333</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 6%; text-align: right">29,585</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right">30,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 6%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Total shares outstanding (in 000&rsquo;s)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,170</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,170</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,173</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,183</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right">1,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt">Liquidation preference per share</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right">25.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt">Average market value (i)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">25.95</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">25.44</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">24.66</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">23.56</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right">24.92</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-indent: -8.65pt; padding-left: 17.3pt">Asset coverage per share</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">122.92</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">125.52</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">134.66</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">125.95</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right">148.89</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt">Asset Coverage</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">492</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">502</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">539</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">504</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right">596</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 20%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="margin-top: 0; margin-bottom: 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&dagger;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Based
                                         on net asset value per share, adjusted for reinvestment of distributions at the net asset
                                         value per share on the ex-dividend dates. Total return for a period of less than one
                                         year is not annualized.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&dagger;&dagger;</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Based
                                         on market value per share, adjusted for reinvestment of distributions at prices obtained
                                         under the Fund&rsquo;s dividend reinvestment plan. Total return for a period of less
                                         than one year is not annualized.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">*</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Based
                                         on year to date book income. Amounts are subject to change and recharacterization at
                                         year end.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(a)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Calculated
                                         based on average common shares outstanding on the record dates throughout the periods.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(b)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Amount
                                         represents less than $0.005 per share.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(c)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Annualized.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(d)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Ratio
                                         of operating expenses to average net assets including liquidation value of preferred
                                         shares for the six months ended June 30, 2021 and the years ended December 31, 2020,
                                         2019, 2018, and 2017, would have been 1.41%, 1.55%, 1.39%, 1.38%, and 1.33%, respectively.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(e)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Ratio
                                         of operating expenses to average net assets attributable to common shares excluding interest
                                         and dividend expense and service fees on securities sold short for the six months ended
                                         June 30, 2021 and the years ended December 31, 2020, 2019, 2018, 2017, and 2016 was 1.76%,
                                         1.88%, 1.69%, 1.67%, 1.36%, and 1.36%, respectively, and 1.41%, 1.50%, 1.36%, 1.37%,
                                         and 1.31% including liquidation value of preferred shares for the six months ended June
                                         30, 2021 and the years ended December 31, 2020, 2019, 2018, and 2017.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(f)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The
                                         Fund received credits from a designated broker who agreed to pay certain Fund operating
                                         expenses. For all years presented, there was no impact on the expense ratios.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(g)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">For
                                         the year ended December 31, 2016, the ratio of operating expenses to average net assets
                                         excluded dividend expense and service fees on securities sold short. Including dividend
                                         expense and service fees on securities sold short, for the year ended December 31, 2016,
                                         the ratio of operating expenses to average net assets would have been 1.39%.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"></FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(h)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The
                                         5.200% Series A was issued October 26, 2017.</FONT></TD></TR><TR STYLE="vertical-align: top">
<TD></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(i)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Based on weekly prices.</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">See
accompanying notes to financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) </B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>1.
Organization.</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The GAMCO Natural Resources, Gold &amp; Income
Trust (the Fund) is a non-diversified closed-end management investment company organized as a Delaware statutory trust on June
26, 2008 and registered under the Investment Company Act of 1940, as amended (the 1940 Act). Investment operations commenced on
January 27, 2011.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund&rsquo;s primary investment objective is to provide a high level of current income from interest, dividends, and option premiums.
The Fund&rsquo;s secondary investment objective is to seek capital appreciation consistent with the Fund&rsquo;s strategy and
its primary objective. The Fund will attempt to achieve its objectives, under normal market conditions, by investing at least
80% of its assets in equity securities of companies principally engaged in the natural resources and gold industries. As part
of its investment strategy, the Fund intends to generate current income from short term gains through an option strategy of writing
(selling) covered call options of the equity securities in its portfolio. The Fund may invest in the securities of companies located
anywhere in the world.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund may invest a high percentage of its assets in specific sectors of the market in order to achieve a potentially greater investment
return. As a result, the Fund may be more susceptible to economic, political, and regulatory developments in a particular sector
of the market, positive or negative, and may experience increased volatility to the Fund&rsquo;s NAV and a magnified effect in
its total return.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>2.
Significant Accounting Policies.</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">As an investment company, the
Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles
(GAAP) that may require the use of management estimates and assumptions in the preparation of its financial statements. Actual
results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund
in the preparation of its financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations,
regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may materially
impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its
ability to achieve its investment objectives. <B><I></I></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>&nbsp;</I></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Security
Valuation. </I></B>Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S.
over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a
market&rsquo;s official closing price as of the close of business on the day the securities are being valued. If there were
no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked
prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are
quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the Board) so
determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio
securities traded on more than one national securities exchange or market are valued according to the broadest and most
representative market, as determined by Gabelli Funds, LLC (the Adviser).</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Portfolio
securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the
relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly
after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt obligations
for which market quotations are readily available</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">are
valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the securities are
valued using the closing bid price, unless the Board determines such amount does not reflect the securities&rsquo; fair value,
in which case these securities will be fair valued as determined by the Board. Certain securities are valued principally using
dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the
applicable contract is traded. OTC futures and options on futures for which market quotations are readily available will be valued
by quotations received from a pricing service or, if no quotations are available from a pricing service, by quotations obtained
from one or more dealers in the instrument in question by the Adviser.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities
and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies
and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about
the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign
securities with the equivalent U.S. dollar value American Depositary Receipt securities at the close of the U.S. exchange; and
evaluation of any other information that could be indicative of the value of the security.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
inputs and valuation techniques used to measure fair value of the Fund&rsquo;s investments are summarized into three levels as
described in the hierarchy below:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt">&#9679;</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
1 &mdash; quoted prices in active markets for identical securities;</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt">&#9679;</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
2 &mdash; other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.); and</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt">&#9679;</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
3 &mdash; significant unobservable inputs (including the Board&rsquo;s determinations as to the fair value of investments).</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A financial
instrument&rsquo;s level within the fair value hierarchy is based on the lowest level of any input both individually and in the
aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. The summary of the Fund&rsquo;s investments in securities
and other financial instruments by inputs used to value the Fund&rsquo;s investments as of June 30, 2021 is as follows:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt"><B>Valuation Inputs</B></FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Level 1<BR>
 Quoted Prices</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; white-space: nowrap"><FONT STYLE="font-size: 8pt">Level 2 Other Significant<BR>
Observable
    Inputs</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Total Market Value <BR>
at 06/30/21</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">INVESTMENTS IN SECURITIES:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">ASSETS (Market Value):</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 46%; text-align: left"><FONT STYLE="font-size: 8pt">Common Stocks (a)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 15%; text-align: right"><FONT STYLE="font-size: 8pt">131,496,106</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 15%; text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 15%; text-align: right"><FONT STYLE="font-size: 8pt">131,496,106</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Rights (a)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">76,500</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">76,500</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Warrants (a)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">14,077</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">14,077</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Convertible Corporate Bonds (a)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">911,744</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">911,744</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Corporate Bonds (a)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">520,800</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">520,800</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">U.S. Government Obligations</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">18,093,190</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">18,093,190</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">TOTAL INVESTMENTS IN SECURITIES &ndash; ASSETS</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">131,586,683</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">19,525,734</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">151,112,417</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>



<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt"><B>Valuation Inputs</B></FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Level
    1<BR>
    Quoted Prices</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; white-space: nowrap"><FONT STYLE="font-size: 8pt">Level
    2 Other Significant<BR>
    Observable Inputs</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Total
    Market Value <BR>
    at 06/30/21</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">INVESTMENTS IN SECURITIES:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">LIABILITIES (Market Value):</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -8.65pt; padding-left: 17.3pt"><FONT STYLE="font-size: 8pt">Equity
    Contracts</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 46%; text-align: left; text-indent: -8.65pt; padding-left: 25.9pt"><FONT STYLE="font-size: 8pt">Call Options
    Written</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 15%; text-align: right"><FONT STYLE="font-size: 8pt">(1,302,334</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 15%; text-align: right"><FONT STYLE="font-size: 8pt">(6,967,892</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 15%; text-align: right"><FONT STYLE="font-size: 8pt">(8,270,226</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 25.9pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Put Options Written</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(228,515</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(316,385</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(544,900</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">TOTAL INVESTMENTS IN SECURITIES - LIABLITIES</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(1,530,849</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(7,284,277</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(8,815,126</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

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<P STYLE="margin-top: 0; margin-bottom: 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(a)</FONT></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Please
                                         refer to the Schedule of Investments (SOI) for the industry classifications of these
                                         portfolio holdings.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">There
were no Level 3 investments held at June 30, 2021 or December 31, 2020.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Additional
Information to Evaluate Qualitative Information.</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-indent: 0.25in; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>General.
</I></B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund uses recognized industry pricing services &ndash;
approved by the Board and unaffiliated with the Adviser &ndash; to value most of its securities, and uses broker quotes provided
by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received
to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities.
The data within these feeds are ultimately sourced from major stock exchanges and trading systems where these securities trade.
The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants.
If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a
broker/dealer that trades that security or similar securities.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-indent: 0.25in; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-indent: 0.25in; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Fair
Valuation.</I></B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"> Fair valued securities may be common or
preferred equities, warrants, options, rights, or fixed income obligations. Where appropriate, Level 3 securities are those
for which market quotations are not available, such as securities not traded for several days, or for which current bids are
not available, or which are restricted as to transfer. When fair valuing a security, factors to consider include recent
prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of
valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do
not apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The
circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to
apply.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-indent: 0.25in; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These may include
backtesting the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Derivative
Financial Instruments.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund may engage in various portfolio
investment strategies by investing in derivative financial instruments for the purposes of increasing the income of the Fund,
hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase, or hedging
against a specific transaction with respect to either the currency in which the transaction is denominated or another currency.
Investing in certain derivative financial instruments, including participation in the options,</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">futures,
or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks.
Losses may arise if the Adviser&rsquo;s prediction of movements in the direction of the securities, foreign currency, and interest
rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or, in the
event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under
derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation
in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject
absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact
on the Fund&rsquo;s ability to pay distributions.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Collateral
requirements differ by type of derivative. Collateral requirements are set by the broker or exchange clearing house for exchange
traded derivatives, while collateral terms are contract specific for derivatives traded over-the-counter. Securities pledged to
cover obligations of the Fund under derivative contracts are noted in the Schedule of Investments. Cash collateral, if any, pledged
for the same purpose will be reported separately in the Statement of Assets and Liabilities.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund&rsquo;s policy with respect to offsetting is that, absent an event of default by the counterparty or a termination of the
agreement, the master agreement does not result in an offset of reported amounts of financial assets and financial liabilities
in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability
of the right to offset may vary by jurisdiction.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund&rsquo;s derivative contracts held at June 30, 2021, if any, are not accounted for as hedging instruments under GAAP and are
disclosed in the Schedule of Investments together with the related counterparty.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify; text-indent: 0.25in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Options.
</I></B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund may purchase or write call or put options on securities
or indices for the purpose of increasing the income of the Fund. As a writer of put options, the Fund receives a premium at the
outset and then bears the risk of unfavorable changes in the price of the financial instrument underlying the option. The Fund
would incur a loss if the price of the underlying financial instrument decreases between the date the option is written and the
date on which the option is terminated. The Fund would realize a gain, to the extent of the premium, if the price of the financial
instrument increases between those dates.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">As a
purchaser of put options, the Fund pays a premium for the right to sell to the seller of the put option the underlying security
at a specified price. The seller of the put has the obligation to purchase the underlying security upon exercise at the exercise
price. If the price of the underlying security declines, the Fund would realize a gain upon sale or exercise. If the price of
the underlying security increases or stays the same, the Fund would realize a loss upon sale or at the expiration date, but only
to the extent of the premium paid.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">If a written call option is exercised, the premium is added to the proceeds from the sale of
the underlying security in determining whether there has been a realized gain or loss. If a written put option is exercised, the
premium reduces the cost basis of the security. In the case of call options, the exercise prices are referred to as &ldquo;in-the-money,&rdquo;
&ldquo;at-the-money,&rdquo; and &ldquo;out-of-the-money,&rdquo; respectively. The Fund may write (a) in-the-money call options
when the Adviser expects that the price of the underlying security will remain stable or decline during the option period, (b)
at-the-money call options when the Adviser expects that the price of the underlying security will remain stable, decline, or advance
moderately during the option period, and (c) out-of-the-money call options when the Adviser expects that the premiums received
from writing the call option will be greater</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">than
the appreciation in the price of the underlying security above the exercise price. By writing a call option, the Fund limits its
opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option.
Out-of-the-money, at-the-money, and in-the-money put options (the reverse of call options as to the relation of exercise price
to market price) may be utilized in the same market environments that such call options are used in equivalent transactions. Option
positions at June 30, 2021 are reflected within the Schedule of Investments.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund&rsquo;s volume of activity in equity options contracts during the six months ended June 30, 2021 had an average monthly market
value of approximately $9,943,489.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
June 30, 2021, the Fund&rsquo;s derivative liabilities (by type) are as follows:&nbsp;</FONT></P>


<P STYLE="margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; white-space: nowrap; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Gross Amounts of<BR>
Recognized Liabilities<BR>
Presented in the<BR>
Statement of<BR>
Assets and Liabilities</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; white-space: nowrap; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Gross Amounts<BR>
Available for<BR>
Offset in the<BR>
Statement of Assets<BR>
and Liabilities</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; white-space: nowrap; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Net Amounts of<BR>
Liabilities Presented in<BR>
the Statement of<BR>
Assets and Liabilities</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Liabilities</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 55%; text-align: left"><FONT STYLE="font-size: 8pt">OTC Equity Written Options</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt"></FONT></TD><TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-size: 8pt">$6,164,469</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt"></FONT></TD><TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-size: 8pt">$6,164,469</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
following table presents the Fund&rsquo;s derivative liabilities by counterparty net of the related collateral segregated by the
Fund for the benefit of the counterparty as of June 30, 2021:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="14" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Net Amounts Not Offset in the Statement of</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="14" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Assets and Liabilities</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Net
                                         Amounts of</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Liabilities
                                         Presented in</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">the
                                         Statement of</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Securities
                                         Pledged</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Cash
                                         Collateral</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Assets
                                         and Liabilities</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">as
                                         Collateral</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Pledged</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center; border-bottom: Black 1pt solid; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Net
                                         Amount</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Counterparty</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left"><FONT STYLE="font-size: 8pt">Pershing LLC</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">$5,875,877</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">$(5,875,877</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Morgan Stanley</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">288,592</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(288,592</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.125in"><FONT STYLE="font-size: 8pt">Total</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$6,164,469</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$(6,164,469</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">As of
June 30, 2021, the value of equity options written can be found in the Statement of Assets and Liabilities, under Liabilities,
options written, at value. For the six months ended June 30, 2021, the effect of equity options written can be found in the Statement
of Operations under Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Written Options, and Foreign
Currency, within Net realized gain on written options, and Net change in unrealized appreciation/(depreciation) on written options.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Limitations
on the Purchase and Sale of Futures Contracts, Certain Options, and Swaps.</I></B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">
Subject to the guidelines of the Board, the Fund may engage in &ldquo;commodity interest&rdquo; transactions (generally,
transactions in futures, certain options, certain currency transactions, and certain types of swaps) only for bona fide
hedging or other permissible transactions in accordance with the rules and regulations of the Commodity Futures Trading
Commission (CFTC). Pursuant to amendments by the CFTC to Rule 4.5 under the Commodity Exchange Act (CEA), the Adviser has
filed a notice of exemption from registration as a &ldquo;commodity pool operator&rdquo; with respect to the Fund. The Fund
and the Adviser are therefore not subject to registration or regulation as a commodity</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">pool
operator under the CEA. In addition, certain trading restrictions are now applicable to the Fund which permit the Fund to engage
in commodity interest transactions that include (i) &ldquo;bona fide hedging&rdquo; transactions, as that term is defined and
interpreted by the CFTC and its staff, without regard to the percentage of the Fund&rsquo;s assets committed to margin and options
premiums and (ii) non-bona fide hedging transactions, provided that the Fund does not enter into such non-bona fide hedging transactions
if, immediately thereafter, either (a) the sum of the amount of initial margin deposits on the Fund&rsquo;s existing futures positions
or swaps positions and option or swaption premiums would exceed 5% of the market value of the Fund&rsquo;s liquidating value,
after taking into account unrealized profits and unrealized losses on any such transactions, or (b) the aggregate net notional
value of the Fund&rsquo;s commodity interest transactions would not exceed 100% of the market value of the Fund&rsquo;s liquidating
value, after taking into account unrealized profits and unrealized losses on any such transactions. Therefore, in order to claim
the Rule 4.5 exemption, the Fund is limited in its ability to invest in commodity futures, options, and certain types of swaps
(including securities futures, broad based stock index futures, and financial futures contracts). As a result, in the future the
Fund will be more limited in its ability to use these instruments than in the past, and these limitations may have a negative
impact on the ability of the Adviser to manage the Fund, and on the Fund&rsquo;s performance.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Securities
Sold Short.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund may enter into short sale transactions.
Short selling involves selling securities that may or may not be owned and, at times, borrowing the same securities for delivery
to the purchaser, with an obligation to replace such borrowed securities at a later date. The proceeds received from short sales
are recorded as liabilities and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds
received and the value of an open short position on the day of determination. The Fund records a realized gain or loss when the
short position is closed out. By entering into a short sale, the Fund bears the market risk of an unfavorable change in the price
of the security sold short. Dividends on short sales are recorded as an expense by the Fund on the ex-dividend date and interest
expense is recorded on the accrual basis. The broker retains collateral for the value of the open positions, which is adjusted
periodically as the value of the position fluctuates. For the six months ended June 30, 2021, the Fund incurred $3,432 in service
fees related to its investment positions sold short and held by the broker. These amounts are included in the Statement of Operations
under Expenses, Service fees for securities sold short.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Investments
in Other Investment Companies.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund may invest, from
time to time, in shares of other investment companies (or entities that would be considered investment companies but are excluded
from the definition pursuant to certain exceptions under the 1940 Act) (the Acquired Funds) in accordance with the 1940 Act and
related rules. Shareholders in the Fund would bear the pro rata portion of the periodic expenses of the Acquired Funds in addition
to the Fund&rsquo;s expenses. For the six months ended June 30, 2021, the Fund&rsquo;s pro rata portion of the periodic expenses
charged by the Acquired Funds was less than one basis point.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Foreign
Currency Translations.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The books and records of the Fund
are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars
at current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate
prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange
rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments
and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include
foreign currency gains and losses between trade</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">date
and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts
of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency
gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date
is included in realized gain/(loss) on investments. <B><I></I></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>&nbsp;</I></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Foreign Securities.</I></B> The Fund may directly purchase securities
of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing
in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete
financial information about companies, and possible future adverse political and economic developments. Moreover, securities of
many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Foreign
Taxes.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund may be subject to foreign taxes on income,
gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries
as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Restricted Securities.</I></B> The Fund may invest up to 15% of its net assets in securities for which the markets are restricted.
Restricted securities include securities whose disposition is subject to substantial legal or contractual restrictions. The sale
of restricted securities often requires more time and results in higher brokerage charges or dealer discounts and other selling
expenses than the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets.
Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities
freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they
satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that
of publicly traded securities, and accordingly the Board will monitor their liquidity. At June 30, 2021, the Fund held no restricted
securities.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Securities
Transactions and Investment Income.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities transactions
are accounted for on the trade date with realized gain/(loss) on investments determined by using the identified cost method. Interest
income (including amortization of premium and accretion of discount) is recorded on an accrual basis. Premiums and discounts on
debt securities are amortized using the effective yield to maturity method or amortized to earliest call date, if applicable.
Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as
soon after the ex-dividend date as the Fund becomes aware of such dividends.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Custodian
Fee Credits and Interest Expense.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">When cash balances are
maintained in the custody account, the Fund receives credits which are used to offset custodian fess. The gross expenses paid
under the custody arrangement are included in custodian fees in the Statement of Operations with the corresponding expense offset,
if any, shown as &ldquo;Custodian fee credits.&rdquo; When cash balances are overdrawn, the Fund is charged an overdraft fee of
110% of the 90 day U.S. Treasury Bill rate on outstanding balances. This amount, if any, would be included in the Statement of
Operations.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Distributions
to Shareholders</I></B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">. Distributions to common stockholders are
recorded on the ex-dividend date. Distributions to stockholders are based on income and capital gains as determined in accordance
with federal income tax regulations, which may differ from income and capital gains as determined under GAAP. These</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">differences
are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions
held by the Fund, timing differences, and differing characterizations of distributions made by the Fund. Distributions from net
investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax
differences are either temporary or permanent in nature. To the extent these differences are permanent, adjustments are made to
the appropriate capital accounts in the period when the differences arise. These reclassifications have no impact on the NAV of
the Fund.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund declares and pays monthly distributions from net investment income, capital gains, and paid-in capital. The actual source
of the distribution is determined after the end of the year. Distributions during the year may be made in excess of required distributions.
Distributions sourced from paid-in capital should not be considered as dividend yield or the total return from an investment in
the Fund. The Board will continue to monitor the Fund&rsquo;s distribution level, taking into consideration the Fund&rsquo;s NAV
and the financial market environment. The Fund&rsquo;s distribution policy is subject to modification by the Board at any time.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Distributions
to shareholders of the Fund&rsquo;s 5.200% Series A Cumulative Preferred Shares (Series A Preferred) are accrued on a daily basis
and are determined as described in Note 5.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
tax character of distributions paid during the year ended December 31, 2020 was as follows:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 80%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Common</FONT></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Preferred</FONT></TD><TD STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">Distributions paid from:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 54%; text-align: left"><FONT STYLE="font-size: 8pt">Ordinary income</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">1,067,709</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Return of capital</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">9,924,203</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">454,406</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">Total distributions paid</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">9,924,203</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">1,522,115</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B><I>Provision
for Income Taxes.</I></B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund intends to continue to qualify
as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). It is the policy
of the Fund to comply with the requirements of the Code applicable to regulated investment companies and to distribute substantially
all of its net investment company taxable income and net capital gains. Therefore, no provision for federal income taxes is required.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
December 31, 2020, the Fund had net long term capital loss carryforwards for federal income tax purposes which are available to
reduce future required distributions of net capital gains to shareholders for an unlimited period. These capital losses will retain
their character as short term or long term capital losses.&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 80%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 67%; text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">Long term capital loss carryforward with no expiration</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 10%; text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">(91,167,747</FONT></TD><td style="border-bottom: Black 2.5pt double; text-align: left; width: 1%"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
following summarizes the tax cost of investments, written options, and the related net unrealized depreciation at June 30, 2021:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="width: 97%; font: 10pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 49%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Gross</B></FONT></TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Gross</B></FONT></TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 10%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Cost/</B></FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Unrealized</B></FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Unrealized</B></FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Net Unrealized</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(Premiums)</B></FONT></TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Appreciation</B></FONT></TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Depreciation</B></FONT></TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Depreciation</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-left: 0.125in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Investments and derivative instruments</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$152,268,017</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$6,400,826</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$(16,371,552)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$(9,970,726)</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund&rsquo;s tax returns
to determine whether the tax positions are &ldquo;more-likely-than-not&rdquo; of being sustained by the applicable tax authority.
Income tax and related interest and penalties would be recognized by the Fund as tax expense in the Statement of Operations if
the tax positions were deemed not to meet the more-likely-than-not threshold. During the six months ended June 30, 2021, the Fund
did not incur any income tax, interest, or penalties. As of June 30, 2021, the Adviser has reviewed all open tax years and concluded
that there was no impact to the Fund&rsquo;s net assets or results of operations. The Fund&rsquo;s federal and state tax returns
for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund&rsquo;s
tax positions to determine if adjustments to this conclusion are necessary.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>3.
Investment Advisory Agreement and Other Transactions.</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund
has entered into an investment advisory agreement (the Advisory Agreement) with the Adviser which provides that the Fund will
pay the Adviser a fee, computed weekly and paid monthly, equal on an annual basis to 1.00% of the value of the Fund&rsquo;s average
weekly net assets including the liquidation value of preferred shares. In accordance with the Advisory Agreement, the Adviser
provides a continuous investment program for the Fund&rsquo;s portfolio and oversees the administration of all aspects of the
Fund&rsquo;s business and affairs.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">During
the six months ended June 30, 2021, the Fund received credits from a designated broker who agreed to pay certain Fund
operating expenses. The amount of such expenses paid through this directed brokerage arrangement during this period was
$1,073.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
cost of calculating the Fund&rsquo;s NAV per share is a Fund expense pursuant to the Advisory Agreement between the Fund and the
Adviser. Under the sub-administration agreement with Bank of New York Mellon, the fees paid include the cost of calculating the
Fund&rsquo;s NAV. The Fund reimburses the Adviser for this service. During the six months ended June 30, 2021, the Fund accrued
$22,500 in accounting fees in the Statement of Operations.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">As per
the approval of the Board, the Fund compensates officers of the Fund, who are employed by the Fund and are not employed by the
Adviser (although the officers may receive incentive based variable compensation from affiliates of the Adviser). During the six
months ended June 30, 2021, the Fund accrued $58,723 in Payroll expenses in the Statement of Operations.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund pays retainer and per meeting fees to Trustees not affiliated with the Adviser, plus specified amounts to the Lead Trustee
and Audit Committee Chairman. Trustees are also reimbursed for out of pocket expenses incurred in attending meetings. Trustees
who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the
Fund.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>4.
Portfolio Securities.</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchases and sales of securities during
the six months ended June 30, 2021, other than short term securities and U.S. Government obligations, aggregated $86,755,499 and
$81,137,102, respectively.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>5.
Capital.</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund is authorized to issue an unlimited number
of common shares of beneficial interest (par value $0.001). The Board has authorized the repurchase of its shares in the open
market when the shares are trading at a discount of 10% or more (or such other percentage as the Board may determine from time
to time) from the NAV of the shares. During the six months ended June 30, 2021 and the year ended December</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 4pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,
2020, the Fund repurchased and retired 859,964 and 1,082,741, respectively, of its common shares at an investment of $4,451,331
and $5,416,574, respectively, and an average discount of approximately 13.08% and 14.70%, respectively, from its NAV.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transactions
in common shares of beneficial interest for the six months ended June 30, 2021 and the year ended December 31, 2020, respectively
were as follows:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Six Months Ended</FONT></TD><TD STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">June 30, 2021</FONT></TD><TD STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Year Ended</FONT></TD><TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></TD><TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">December 31, 2020</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Shares</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Amount</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Shares</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Amount</FONT></TD><TD STYLE="font-weight: bold; text-align: center; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 48%; text-align: left; text-indent: -8.65pt; padding-left: 8.65pt"><FONT STYLE="font-size: 8pt">Net increase
    in net assets from common shares issued in offering</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">13,820</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 10%; text-align: right"><FONT STYLE="font-size: 8pt">82,569</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: -8.65pt; padding-left: 8.65pt; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Net decrease from repurchase
    of common shares</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(859,964</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(4,451,331</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(1,082,741</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">(5,416,574</FONT></TD><TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 2pt; padding-left: 0.125in"><FONT STYLE="font-size: 8pt">Net decrease</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">(859,964</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">(4,451,331</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; padding-bottom: 2pt; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">(1,068,921</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right; border-bottom: Black 2.5pt double"><FONT STYLE="font-size: 8pt">(5,334,005</FONT></TD><TD STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund has an effective shelf registration authorizing the issuance of $200 million in common or preferred shares.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund&rsquo;s Declaration of Trust, as amended, authorizes the issuance of an unlimited number of $0.001 par value Preferred Shares.
On October 26, 2017, the Fund issued 1,200,000 shares of 5.200% Series A Cumulative Preferred Shares (Series A Preferred), receiving
$28,851,132, after the deduction of offering expenses of $203,868 and underwriting fees of $945,000. The Series A Preferred has
a liquidation value of $25 per share, an annual dividend rate of 5.200%, and is noncallable before October 26, 2022. The Board
has authorized the repurchase of the Series A Preferred in the open market at prices less than $25 liquidation value per share.
During the year ended December 31, 2020, the Fund repurchased and retired 3,200 of the Series A Preferred shares in the open market
at an investment of $70,473 and an average discount of approximately 11.95% from its liquidation preference, respectively. The
Fund did not repurchase any Preferred Shares in 2021. At June 30, 2021, 1,170,102 shares were outstanding and accrued dividends
amounted to $21,127.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Series A Preferred is senior to the common shares and results in the financial leveraging of the common shares. Such leveraging
tends to magnify both the risks and opportunities to common shareholders. Dividends on the Series A Preferred are cumulative.
The Fund is required by the 1940 Act and by the Statement of Preferences to meet certain asset coverage tests with respect to
the Series A Preferred. If the Fund fails to meet these requirements and does not correct such failure, the Fund may be required
to redeem, in part or in full, the Series A Preferred at the redemption price of $25 per share plus an amount equal to the accumulated
and unpaid dividends whether or not declared on such shares in order to meet the requirements. Additionally, failure to meet the
foregoing asset coverage requirements could restrict the Fund&rsquo;s ability to pay dividends to common shareholders and could
lead to sales of portfolio securities at inopportune times. The income received on the Fund&rsquo;s assets may vary in a manner
unrelated to the fixed rate, which could have either a beneficial or detrimental impact on net investment income and gains available
to common shareholders.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
holders of Preferred Shares generally are entitled to one vote per share held on each matter submitted to a vote of shareholders
of the Fund and will vote together with holders of common shares as a single class. The</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">holders
of Preferred Shares voting together as a single class also have the right currently to elect two Trustees and, under certain circumstances,
are entitled to elect a majority of the Board of Trustees. In addition, the affirmative vote of a majority of the votes entitled
to be cast by holders of all outstanding shares of the Preferred Shares, voting as a single class, will be required to approve
any plan of reorganization adversely affecting the Preferred Shares, and the approval of two-thirds of each class, voting separately,
of the Fund&rsquo;s outstanding voting shares must approve the conversion of the Fund from a closed-end to an open-end investment
company. The approval of a majority (as defined in the 1940 Act) of the outstanding Preferred Shares and a majority (as defined
in the 1940 Act) of the Fund&rsquo;s outstanding voting securities are required to approve certain other actions, including changes
in the Fund&rsquo;s investment objectives or fundamental investment policies.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>6.
Indemnifications.</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Fund enters into contracts that contain
a variety of indemnifications. The Fund&rsquo;s maximum exposure under these arrangements is unknown. However, the Fund has not
had prior claims or losses pursuant to these contracts. Management has reviewed the Fund&rsquo;s existing contracts and expects
the risk of loss to be remote.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>7.
Subsequent Events.</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Management has evaluated the impact on the
Fund of all subsequent events occurring through the date the financial statements were issued and has determined that there were
no subsequent events requiring recognition or disclosure in the financial statements.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></P>


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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>GAMCO
Natural Resources, Gold &amp; Income Trust</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 12pt"><B>Notes
to Financial Statements (Unaudited) (Continued)</B></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 12pt Arial, Helvetica, Sans-Serif"><B></B></FONT>&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Certifications</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund&rsquo;s Chief Executive Officer has certified to the New York Stock Exchange (NYSE) that, as of June 7, 2021, he was not
aware of any violation by the Fund of applicable NYSE corporate governance listing standards. The Fund reports to the SEC on Form
N-CSR which contains certifications by the Fund&rsquo;s principal executive officer and principal financial officer that relate
to the Fund&rsquo;s disclosure in such reports and that are required by Rule 30a-2(a) under the 1940 Act.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shareholder
Meeting &ndash; May 10, 2021 &ndash; Final Results</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Fund&rsquo;s Annual Meeting of Shareholders was held virtually on May 10, 2021. At that meeting, common and preferred shareholders,
voting together as a single class, re-elected Anthony S. Colavita, Frank J. Fahrenkopf, Jr., and William F. Heitmann as Trustees
of the Fund, with a total 14,949,382 votes, 14,880,430 votes, and 14,903,271 in favor of these Trustees, and a total of 504,106
votes, 573,058 votes, and 550,217 votes withheld for these Trustees, respectively.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">In addition,
preferred shareholders, voting as a separate class, re-elected Salvatore J. Zizza as a Trustee of the Fund, with 929,094 votes
cast in favor of this Trustee and 28,937 votes withheld for this Trustee.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">James
P. Conn, Vincent D. Enright, Kuni Nakamura, Michael J. Melarkey, Agnes Mullady, and Anthonie C. van Ekris continue to serve in
their capacities as Trustees of the Fund.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">We thank
you for your participation and appreciate your continued support.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 11pt"><B>GAMCO
NATURAL RESOURCES, GOLD &amp; INCOME TRUST</B>&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 11pt"><B>One
Corporate Center</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 11pt Arial, Helvetica, Sans-Serif"><B>Rye, NY 10580-1422</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 11pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 11pt"><B>Portfolio
Management Team Biographies</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>Caesar
M. P. Bryan </B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">joined GAMCO Asset Management in 1994. He is a
member of the global investment team of Gabelli Funds, LLC and portfolio manager of several funds within the Fund Complex. Prior
to joining Gabelli, Mr. Bryan was a portfolio manager at Lexington Management. He began his investment career at Samuel Montagu
Company, the London based merchant bank. Mr. Bryan graduated from the University of Southampton in England with a Bachelor of
Law and is a member of the English Bar.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt"><B>Vincent
Hugonnard-Roche </B></FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">joined GAMCO Investors, Inc. in 2000. He is
Director of Quantitative Strategies, head of the Gabelli Risk Management Group, serves as a portfolio manager of Gabelli Funds,
LLC, and manages several funds within the Fund Complex. He received a Master&rsquo;s degree in Mathematics of Decision Making
from EISITI, France and an MS in Finance from ESSEC, France.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="2" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%; border: Black 1pt solid; text-align: justify; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt">We have
separated the portfolio managers&rsquo; commentary from the financial statements and investment portfolio due to corporate governance
regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that the contents of the portfolio managers&rsquo;
commentary are unrestricted. Both the commentary and the financial statements, including the portfolio of investments, will be
available on our website at www.gabelli.com.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Net Asset Value per share appears in the Publicly Traded Funds column, under the heading &ldquo;Specialized Equity Funds,&rdquo;
in Monday&rsquo;s The Wall Street Journal. It is also listed in Barron&rsquo;s Mutual Funds/Closed End Funds section under the
heading &ldquo;Specialized Equity Funds.&rdquo;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
NASDAQ symbol for the Net Asset Value is &ldquo;XGNTX.&rdquo;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="2" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%; border: Black 1pt solid; text-align: justify; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 10pt">Notice
is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may from time
to time purchase its common shares in the open market when the Fund&rsquo;s shares are trading at a discount of 10% or more from
the net asset value of the shares. The Fund may also, from time to time, purchase its preferred shares in the open market when
the preferred shares are trading at a discount to the liquidation value.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:48%">
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">GAMCO
NATURAL RESOURCES, GOLD </FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">&amp; INCOME TRUST</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">One
Corporate Center Rye, New York 10580-1422</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.2in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">t</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">800-GABELLI
                                         (800-422-3554)</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.2in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">f</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">914-921-5118</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.2in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">e</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">info@gabelli.com</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0in"></TD><TD STYLE="width: 0.2in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">&nbsp;</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">GABELLI.COM</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>

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<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>
<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:48%">
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">BOARD OF TRUSTEES</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Anthony S. Colavita</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Attorney,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Anthony S. Colavita, P.C.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">James P. Conn</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Former Managing Director &amp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Chief Investment Officer,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Financial Security Assurance</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Holdings LTD.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Vincent D. Enright</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Former Senior Vice President &amp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Chief Financial Officer,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">KeySpan Corp.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Frank J. Fahrenkopf, Jr.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Former President &amp; Chief</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Executive Officer,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">American Gaming Association</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">William F. Heitmann</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Former Senior Vice President</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">of Finance,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Verizons Communications, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Michael J. Melarkey</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Of Counsel,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">McDonald Carano Wilson LLP</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Agnes Mullady</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Former Senior Vice President</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GAMCO Investors, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Kuni Nakamura</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">President,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Advanced Polymer, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Anthonie C. van Ekris</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Chairman,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BALMAC International, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Salvatore J. Zizza</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Chairman,</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Zizza &amp; Associates Corp.</FONT></TD></TR>
</TABLE>
</div>
<DIV STYLE="POSITION:RELATIVE;FLOAT:RIGHT;WIDTH:48%">
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">OFFICERS</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Bruce N. Alpert</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">President</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">John C. Ball</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Treasurer</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Peter Goldstein</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Secretary &amp; Vice President</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Richard J. Walz</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Chief Compliance Officer</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Molly A.F. Marion</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Vice President &amp; Ombudsman</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">David I. Schachter</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Vice President and Ombudsman</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Carter W. Austin</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Vice President</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">INVESTMENT ADVISER</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Gabelli Funds, LLC</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">One Corporate Center</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Rye, New York 10580-1422</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">CUSTODIAN</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The Bank of New York</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Mellon</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">COUNSEL</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Skadden, Arps, Slate, Meagher &amp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Flom LLP</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">TRANSFER AGENT AND</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">REGISTRAR</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">American Stock Transfer and</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Trust Company</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD></TR>
</TABLE>
</div>
<BR CLEAR="ALL">
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>
<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: rgb(82,120,165) 1pt solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; color: #5278A5">GNT
Q2/2021</FONT></P>

</div>
<DIV STYLE="POSITION:RELATIVE;FLOAT:RIGHT;WIDTH:48%">

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><IMG SRC="gb41gnt003.jpg" ALT="">&nbsp;</FONT></P>
</div>
<BR CLEAR="ALL"><BR>



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    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: normal 10pt Times New Roman, Times, Serif">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->


<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
                                         applicable.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
2. Code of Ethics.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
3. Audit Committee Financial Expert.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
4. Principal Accountant Fees and Services.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
5. Audit Committee of Listed Registrants.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
6. Investments.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
 <TD STYLE="width: 22.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(a)</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Schedule
                                         of Investments in securities of unaffiliated issuers as of the close of the reporting
                                         period is included as part of the report to shareholders filed under Item 1 of this form.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
 <TD STYLE="width: 22.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
                                         applicable.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 40.5pt; text-align: justify; text-indent: -40.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 40.5pt; text-align: justify; text-indent: -40.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
8. Portfolio Managers of Closed-End Management Investment Companies.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">There
has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1)
of this Item in the registrant&rsquo;s most recently filed annual report on Form N-CSR.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 40.5pt; text-align: justify; text-indent: -40.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 40.5pt; text-align: justify; text-indent: -40.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>REGISTRANT
PURCHASES OF EQUITY SECURITIES</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: center; width: 15%; padding-bottom: 10pt; vertical-align: bottom; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; border-top: Gray 1pt solid; padding-left: 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Period
    </B></FONT></TD>
    <TD STYLE="width: 19%; text-align: center; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; border-top: Gray 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>(a)
    Total Number of<BR>
 Shares (or Units)<BR>
 Purchased</B></FONT></TD>
    <TD STYLE="width: 19%; text-align: center; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; border-top: Gray 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>(b)
    Average Price Paid<BR>
 per Share (or Unit)</B></FONT></TD>
    <TD STYLE="width: 19%; text-align: center; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; border-top: Gray 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>(c)
    Total Number of<BR>
 Shares (or Units)<BR>
 Purchased as Part of <BR>
Publicly Announced<BR>
 Plans or Programs</B></FONT></TD>
    <TD STYLE="width: 28%; text-align: center; padding-bottom: 10pt; border: Gray 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>(d)
    Maximum Number (or<BR>
 Approximate Dollar Value)<BR>
 of Shares (or Units) that<BR>
 May Yet Be Purchased<BR>
 Under the Plans or<BR>
 Programs</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; padding-left: 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Month #1<BR>
 01/01/2021<BR>
 through<BR>
 01/31/2021</FONT></TD>
    <TD STYLE="padding-left: 2.5pt; border-bottom: Gray 1pt solid; border-left: Gray 1pt solid; text-align: left; vertical-align: top; padding-bottom: 10pt"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common
&ndash; 205,621</FONT></P>
        <P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>
        <P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Preferred
Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; $5.11</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 205,621</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash;
                                                                            N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-right: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 19,833,191 - 205,621 = 19,627,570</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; 1,170,102</FONT></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; padding-left: 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Month #2<BR>
 02/01/2021<BR>
 through<BR>
 02/28/2021</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 139,355</FONT></P>
                                                      <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                      <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; $5.09</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 139,355</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-right: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 19,627,570&nbsp;&nbsp;- 139,355 = 19,488,215</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash;
                                                                            1,170,102</FONT></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; padding-left: 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Month #3<BR>
 03/01/2021<BR>
 through<BR>
 03/31/2021</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 198,221</FONT></P>
                                                      <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                      <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; $4.98</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 198,221</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-right: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 19,488,215 - 198,221 = 19,289,994</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; 1,170,102</FONT></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; padding-left: 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Month #4<BR>
 04/01/2021<BR>
 through<BR>
 04/30/2021</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 311,826</FONT></P>
                                                      <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                      <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; $5.32</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 311,826</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-right: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 19,289,994 - 311,826 = 18,978,168</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; 1,170,102</FONT></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; padding-left: 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Month #5<BR>
 05/01/2021<BR>
 through<BR>
 05/31/2021</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 4,941</FONT></P>
                                                      <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                      <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; $4.7139</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 4,941</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-right: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 18,978,168 - 4,941 = 18,973,227</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; 1,170,102</FONT></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; padding-left: 2.5pt"><P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Month
        #6<BR>
 06/01/2021<BR>
 through<BR>
 06/30/2021</FONT></P>
        <P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; N/A</FONT></P>
                                                      <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                      <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; N/A</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; N/A</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-right: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 18,973,227</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; 1,170,102</FONT></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 2.5pt; text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid; padding-left: 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Total</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 859,964</FONT></P>
                                                      <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                      <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash;
                                                      N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; $5.15</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-bottom: Gray 1pt solid"><P STYLE="margin: 0 2.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Common &ndash; 859,964</FONT></P>
                                                                            <P STYLE="margin: 0 2.5pt">&nbsp;</P>
                                                                            <P STYLE="margin: 0 2.5pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Preferred Series A &ndash; N/A</FONT></P></TD>
    <TD STYLE="text-align: left; vertical-align: top; padding-bottom: 10pt; border-left: Gray 1pt solid; border-right: Gray 1pt solid; border-bottom: Gray 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">N/A</FONT></TD></TR>
</TABLE>




<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.5pt; text-align: justify">&nbsp;</P>

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    <DIV STYLE="margin: 6pt 2.5pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: normal 10pt Times New Roman, Times, Serif">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Footnote
columns (c) and (d) of the table, by disclosing the following information in the aggregate for all plans or programs publicly
announced:</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">a.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The
                                         date each plan or program was announced &ndash; The notice of the potential repurchase
                                         of common and preferred shares occurs in the Fund&rsquo;s reports to shareholders in
                                         accordance with Section 23(c) of the Investment Company Act of 1940, as amended.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
 <TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">b.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The
                                         dollar amount (or share or unit amount) approved &ndash; Any or all common shares outstanding
                                         may be repurchased when the Fund&rsquo;s common shares are trading at a discount of 10%
                                         or more from the net asset value of the shares. Any or all preferred shares outstanding
                                         may be repurchased when the Fund&rsquo;s preferred shares are trading at a discount to
                                         the liquidation value of $25.00.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"></FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top; text-align: justify">
 <TD STYLE="width: 0.5in; text-align: left"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">c.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The
expiration date (if any) of each plan or program &ndash; The Fund&rsquo;s repurchase plans are ongoing.</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
 <TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">d.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Each
                                         plan or program that has expired during the period covered by the table &ndash; The Fund&rsquo;s
                                         repurchase plans are ongoing.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
 <TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">e.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Each
                                         plan or program the registrant has determined to terminate prior to expiration, or under
                                         which the registrant does not intend to make further purchases. &ndash; The Fund&rsquo;s
                                         repurchase plans are ongoing.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
10. Submission of Matters to a Vote of Security Holders.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">There
have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant&rsquo;s Board
of Trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements
of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
11. Controls and Procedures.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The
                                         registrant&rsquo;s principal executive and principal financial officers, or persons performing
                                         similar functions, have concluded that the registrant&rsquo;s disclosure controls and
                                         procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as
                                         amended (the &ldquo;1940 Act&rdquo;) (17 CFR 270.30a-3(c))) are effective, as of a date
                                         within 90 days of the filing date of the report that includes the disclosure required
                                         by this paragraph, based on their evaluation of these controls and procedures required
                                         by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b)
                                         under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">There
                                         were no changes in the registrant&rsquo;s internal control over financial reporting (as
                                         defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during
                                         the period covered by this report that has materially affected, or is reasonably likely
                                         to materially affect, the registrant&rsquo;s internal control over financial reporting.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 40.5pt; text-align: justify; text-indent: -40.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 40.5pt; text-align: justify; text-indent: -40.5pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Item
13. Exhibits.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.5in; text-align: left"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(a)(1)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><A HREF="ex99-certs.htm">(a)(2)</A></FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><A HREF="ex99-certs.htm">Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.</A></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.5in; text-align: left"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(a)(3)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
applicable.</FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(a)(4)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Not
                                         applicable.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.5in; text-align: left"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><A HREF="ex99-906cert.htm">(b)</A></FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><A HREF="ex99-906cert.htm">Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.</A></FONT></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in; text-align: justify"></P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>SIGNATURES</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 7%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">(Registrant)</FONT></TD>
    <TD STYLE="width: 13%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 70%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">GAMCO
    Natural Resources, Gold &amp; Income Trust</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 18%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">By (Signature and Title)*</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="width: 70%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">/s/
    Bruce N. Alpert</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Bruce N. Alpert, Principal Executive
    Officer</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 3%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Date</FONT></TD>
    <TD STYLE="width: 17%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 70%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">September
    3, 2021 </FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 18%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">By (Signature and Title)*</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="width: 70%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">/s/
    Bruce N. Alpert</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Bruce N. Alpert, Principal Executive
    Officer</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 3%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Date</FONT></TD>
    <TD STYLE="width: 17%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 70%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">September
    3, 2021 </FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 18%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">By (Signature and Title)*</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="width: 70%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">/s/
    John C. Ball </FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">John C. Ball, Principal Financial
    Officer and Treasurer</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 3%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Date</FONT></TD>
    <TD STYLE="width: 17%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 70%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">September
    3, 2021 </FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><SUP>*
</SUP>Print the name and title of each signing officer under his or her signature.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>


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<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>ex99-certs.htm
<DESCRIPTION>CERTIFICATIONS
<TEXT>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><A HREF="gnt-ncsrs_063021.htm">GAMCO Natural Resources, Gold &amp; Income Trust N-CSRS</A></P>

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<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Exhibit
99.(a)(2)</B></FONT></P>

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<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Certification
Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act</B></FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">I,
Bruce N. Alpert, certify that:</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1.</FONT></TD><TD STYLE="text-align: justify"><P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">I
                                         have reviewed this report on Form N-CSR of GAMCO Natural Resources, Gold &amp; Income
                                         Trust;&nbsp;</FONT></P>


</TD></TR></TABLE>

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<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Based
                                         on my knowledge, this report does not contain any untrue statement of a material fact
                                         or omit to state a material fact necessary to make the statements made, in light of the
                                         circumstances under which such statements were made, not misleading with respect to the
                                         period covered by this report;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Based
                                         on my knowledge, the financial statements, and other financial information included in
                                         this report, fairly present in all material respects the financial condition, results
                                         of operations, changes in net assets, and cash flows (if the financial statements are
                                         required to include a statement of cash flows) of the registrant as of, and for, the
                                         periods presented in this report;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">4.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         registrant&rsquo;s other certifying officer(s) and I are responsible for establishing and maintaining
                                         disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
                                         Company Act of 1940) and internal control over financial reporting (as defined in Rule
                                         30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Designed
                                         such disclosure controls and procedures, or caused such disclosure controls and procedures
                                         to be designed under our supervision, to ensure that material information relating to
                                         the registrant, including its consolidated subsidiaries, is made known to us by others
                                         within those entities, particularly during the period in which this report is being prepared;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Designed
                                         such internal control over financial reporting, or caused such internal control over
                                         financial reporting to be designed under our supervision, to provide reasonable assurance
                                         regarding the reliability of financial reporting and the preparation of financial statements
                                         for external purposes in accordance with generally accepted accounting principles;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(c)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Evaluated
                                         the effectiveness of the registrant&rsquo;s disclosure controls and procedures and presented
                                         in this report our conclusions about the effectiveness of the disclosure controls and
                                         procedures, as of a date within 90 days prior to the filing date of this report based
                                         on such evaluation; and</FONT></TD></TR></TABLE>

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<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(d)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Disclosed
                                         in this report any change in the registrant&rsquo;s internal control over financial reporting
                                         that occurred during the period covered by this report that has materially affected,
                                         or is reasonably likely to materially affect, the registrant&rsquo;s internal control over
                                         financial reporting; and</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">5.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         registrant&rsquo;s other certifying officer(s) and I have disclosed to the registrant&rsquo;s auditors
                                         and the audit committee of the registrant&rsquo;s board of directors (or persons performing
                                         the equivalent functions):</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">All
                                         significant deficiencies and material weaknesses in the design or operation of internal
                                         control over financial reporting which are reasonably likely to adversely affect the
                                         registrant&rsquo;s ability to record, process, summarize, and report financial information;
                                         and</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Any
                                         fraud, whether or not material, that involves management or other employees who have
                                         a significant role in the registrant&rsquo;s internal control over financial reporting.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:</FONT></TD>
    <TD STYLE="width: 35%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;September
    3, 2021</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 40%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">/s/
    Bruce N. Alpert</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Bruce N. Alpert, Principal Executive Officer</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;&nbsp;</FONT></P>


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<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Certification
Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act</B></FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">I,
John C. Ball, certify that:</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">I
                                         have reviewed this report on Form N-CSR of GAMCO Natural Resources, Gold &amp; Income
                                         Trust;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Based
                                         on my knowledge, this report does not contain any untrue statement of a material fact
                                         or omit to state a material fact necessary to make the statements made, in light of the
                                         circumstances under which such statements were made, not misleading with respect to the
                                         period covered by this report;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Based
                                         on my knowledge, the financial statements, and other financial information included in
                                         this report, fairly present in all material respects the financial condition, results
                                         of operations, changes in net assets, and cash flows (if the financial statements are
                                         required to include a statement of cash flows) of the registrant as of, and for, the
                                         periods presented in this report;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">4.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         registrant&rsquo;s other certifying officer(s) and I are responsible for establishing and maintaining
                                         disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
                                         Company Act of 1940) and internal control over financial reporting (as defined in Rule
                                         30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Designed
                                         such disclosure controls and procedures, or caused such disclosure controls and procedures
                                         to be designed under our supervision, to ensure that material information relating to
                                         the registrant, including its consolidated subsidiaries, is made known to us by others
                                         within those entities, particularly during the period in which this report is being prepared;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Designed
                                         such internal control over financial reporting, or caused such internal control over
                                         financial reporting to be designed under our supervision, to provide reasonable assurance
                                         regarding the reliability of financial reporting and the preparation of financial statements
                                         for external purposes in accordance with generally accepted accounting principles;</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(c)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Evaluated
                                         the effectiveness of the registrant&rsquo;s disclosure controls and procedures and presented
                                         in this report our conclusions about the effectiveness of the disclosure controls and
                                         procedures, as of a date within 90 days prior to the filing date of this report based
                                         on such evaluation; and</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"></P>

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<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif">&nbsp;</P>




<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(d)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Disclosed
                                         in this report any change in the registrant&rsquo;s internal control over financial reporting
                                         that occurred during the period covered by this report that has materially affected,
                                         or is reasonably likely to materially affect, the registrant&rsquo;s internal control over
                                         financial reporting; and</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">5.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         registrant&rsquo;s other certifying officer(s) and I have disclosed to the registrant&rsquo;s auditors
                                         and the audit committee of the registrant&rsquo;s board of directors (or persons performing
                                         the equivalent functions):</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">All
                                         significant deficiencies and material weaknesses in the design or operation of internal
                                         control over financial reporting which are reasonably likely to adversely affect the
                                         registrant&rsquo;s ability to record, process, summarize, and report financial information;
                                         and</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Any
                                         fraud, whether or not material, that involves management or other employees who have
                                         a significant role in the registrant&rsquo;s internal control over financial reporting.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:</FONT></TD>
    <TD STYLE="width: 35%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;September
    3, 2021</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 40%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">/s/
    John C. Ball</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">John C. Ball, Principal Financial Officer and
    Treasurer</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif">&nbsp;<FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>


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</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>ex99-906cert.htm
<DESCRIPTION>CERTIFICATIONS
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<!-- Field: Rule-Page --><DIV ALIGN="CENTER" STYLE="margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 2px solid; width: 100%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><A HREF="gnt-ncsrs_063021.htm">GAMCO Natural Resources, Gold &amp; Income Trust N-CSRS</A></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>



<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Exhibit
99.(b)</B></FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Certification
Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act</B></FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">I,
Bruce N. Alpert, Principal Executive Officer of GAMCO Natural Resources, Gold &amp; Income Trust (the &ldquo;Registrant&rdquo;),
certify that:</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT>&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         Form N-CSR of the Registrant (the &ldquo;Report&rdquo;) fully complies with the requirements
                                         of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         information contained in the Report fairly presents, in all material respects, the financial
                                         condition and results of operations of the Registrant.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:</FONT></TD>
    <TD STYLE="width: 35%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;September
    3, 2021</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 40%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">/s/
    Bruce N. Alpert</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Bruce N. Alpert, Principal Executive Officer</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">I,
John C. Ball, Principal Financial Officer and Treasurer of GAMCO Natural Resources, Gold &amp; Income Trust (the &ldquo;Registrant&rdquo;),
certify that:</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         Form N-CSR of the Registrant (the &ldquo;Report&rdquo;) fully complies with the requirements
                                         of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 27pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
                                         information contained in the Report fairly presents, in all material respects, the financial
                                         condition and results of operations of the Registrant.</FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; font: 10pt Times New Roman, Times, Serif; width: 100%">
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="width: 5%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:</FONT></TD>
    <TD STYLE="width: 35%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;September
    3, 2021</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 40%; border-bottom: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">/s/
    John C. Ball</FONT></TD>
    <TD STYLE="width: 10%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">John C. Ball, Principal Financial Officer and
    Treasurer</FONT></TD>
    <TD><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 12pt Times New Roman, Times, Serif"></P>

<!-- Field: Page; Sequence: 10 -->
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
