UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

The Gabelli Natural Resources, Gold & Income Trust

 

(Exact name of registrant as specified in charter)

One Corporate Center
Rye, New York 10580-1422

(Address of principal executive offices) (Zip code)

Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-800-422-3554

Date of fiscal year end: December 31

Date of reporting period: March 31, 2011

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

The Gabelli Natural Resources, Gold & Income Trust
Period ended March 31, 2011

Caesar Bryan		Vincent H. Roche		Christopher J. Marangi		Kevin V. Dreyer

To Our Shareholders,

     For the period ended March 31, 2011, The Gabelli Natural Resources, Gold & Income Trust’s (the “Fund”) net asset value (“NAV”) total return was 3.4% compared with the Chicago Board Options Exchange (“CBOE”) S&P 500 Buy/Write Index, Philadelphia Gold & Silver Index, Dow Jones U.S. Basic Materials Index, and S&P Global Agribusiness Equity Index, 0.4%, 8.4%, 6.1%, and 2.3%, respectively. The total return for the Fund’s publicly traded shares was (5.9%) for the period ended March 31, 2011.

     Enclosed is the investment portfolio as of March 31, 2011.

Comparative Results

(a)		Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. 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. Performance returns for periods of less than one year are not annualized. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The CBOE S&P 500 Buy/Write Index is an unmanaged benchmark index designed to reflect the return on a portfolio that consists of a long position in the stocks in the S&P 500 Index and a short position in a S&P 500 (SPX) call option. The Philadelphia Gold & Silver Index is an unmanaged indicator of stock market performance of large North American gold and silver companies. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials sector of the U.S. equity market. The S&P Global Agribusiness Equity Index is designed to provide exposure to twenty-four of the largest publicly traded agribusiness companies, comprised of a mix of Producers, Distributors & Processors, and Equipment & Materials Suppliers companies.
(b)		Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.
(c)		Total returns and average annual returns reflect changes in closing market values on the NewYork Stock Exchange. Since inception return is based on an initial offering price of $20.0 0.

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
SCHEDULE OF INVESTMENTS
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS — 94.9%
				Agriculture — 6.2%
	172,500			Archer-Daniels-Midland Co.		$	6,211,725
	153,000			Bunge Ltd.			11,066,490
	104,000			Monsanto Co. (a)			7,515,040
	30,000			Syngenta AG, ADR			1,955,100
							26,748,355
				Building and Construction — 0.4%
	50,000			Owens Corning†			1,799,500
				Energy and Energy Services — 20.8%
	60,000			American Superconductor Corp.†			1,492,200
	100,000			Anadarko Petroleum Corp.			8,192,000
	45,000			Apache Corp. (a)			5,891,400
	50,000			Baker Hughes Inc. (a)			3,671,500
	290,000			BG Group plc			7,215,572
	155,000			Cameron International Corp.†			8,850,500
	35,000			CONSOL Energy Inc.			1,877,050
	40,000			Halliburton Co. (a)			1,993,600
	135,000			National Oilwell Varco Inc. (a)			10,701,450
	47,000			Noble Corp.			2,144,140
	40,000			Noble Energy Inc.			3,866,000
	40,000			Occidental Petroleum Corp.			4,179,600
	170,000			Renesola Ltd., ADR† (a)			1,793,500
	60,000			Schlumberger Ltd.			5,595,600
	80,000			Suncor Energy Inc.			3,587,200
	120,000			Total SA, ADR			7,316,400
	25,000			Transocean Ltd.†			1,948,750
	130,000			Trina Solar Ltd., ADR†			3,915,600
	270,000			Weatherford International Ltd.†			6,102,000
							90,334,062
				Food and Beverage — 1.3%
	110,000			Corn Products International Inc.			5,700,200
				Machinery — 2.3%
	40,000			CNH Global NV†			1,942,000
	85,000			Deere & Co. (a)			8,235,650
							10,177,650
				Metals and Mining — 50.4%
	165,000			Agnico-Eagle Mines Ltd. (a)			10,947,750
	1,000,000			Allied Gold Ltd., ASE†			651,641
	300,000			Allied Gold Ltd., Toronto†			207,323
	134,000			Alpha Natural Resources Inc.† (a)			7,955,580
	200,000			AngloGold Ashanti Ltd., ADR			9,590,000
	80,000			Antofagasta plc			1,746,663
	140,000			ArcelorMittal			5,061,000
	210,000			Barrick Gold Corp. (a)			10,901,100
	20,000			BHP Billiton Ltd., ADR			1,917,600
	90,000			Cameco Corp.			2,703,600
	40,000			Cliffs Natural Resources Inc.			3,931,200
	150,000			Compania de Minas Buenaventura SA, ADR			6,445,500
	300,000	(b)		Duluth Metals Ltd.†			813,822
	200,000			Eldorado Gold Corp.			3,261,475
	90,000			Franco-Nevada Corp.			3,303,868
	153,000			Freeport-McMoRan Copper & Gold Inc. (a)			8,499,150
	263,000			Globe Specialty Metals Inc.			5,985,880
	500,000			Gold Fields Ltd., ADR			8,730,000
	190,000			Goldcorp Inc. (a)			9,462,000
	360,000			Harmony Gold Mining Co. Ltd., ADR (a)			5,353,200
	200,000			Hochschild Mining plc			2,067,825
	100,000			IAMGOLD Corp., New York			2,202,000
	200,000			Keegan Resources Inc.†			1,743,167
	770,000			Kinross Gold Corp. (a)			12,127,500
	600,000			Lundin Mining Corp., Toronto†			4,981,949
	200,000			Nevada Copper Corp.†			1,219,185
	235,000			Newcrest Mining Ltd.			9,679,146
	205,000			Newmont Mining Corp. (a)			11,188,900
	300,000			Northam Platinum Ltd.			1,951,220
	58,000			Peabody Energy Corp.			4,173,680
	600,000			Perseus Mining Ltd.†			1,917,687
	75,000			POSCO, ADR			8,571,750
	130,000			Randgold Resources Ltd., ADR† (a)			10,600,200
	77,500			Rio Tinto plc, ADR (a)			5,511,800
	150,000			Royal Gold Inc. (a)			7,860,000
	50,000			Teck Resources Ltd., Cl. B			2,651,000
	160,000			Titanium Metals Corp.†			2,972,800
	46,000			Umicore SA			2,281,355
	670,000			USEC Inc.†			2,948,000
	150,000			Vale SA, ADR (a)			5,002,500
	50,000			Vedanta Resources plc			1,908,207
	80,000			Xstrata plc			1,869,866
	500,000			Yamana Gold Inc.			6,155,000
							219,053,089
				Paper and Forest Products — 1.4%
	240,000			Sino-Forest Corp.†			6,263,022
				Specialty Chemicals — 12.1%
	80,000			Agrium Inc.			7,380,800
	27,500			Air Liquide SA			3,654,091
	39,000			CF Industries Holdings Inc.			5,334,810
	105,000			E. I. du Pont de Nemours and Co. (a)			5,771,850
	88,000			FMC Corp.			7,473,840
	50,000			Intrepid Potash Inc.†			1,741,000
	105,000			Potash Corp of Saskatchewan Inc.			6,187,650
	18,000			Praxair Inc.			1,828,800
	60,000			Rockwood Holdings Inc.†			2,953,200

See accompanying notes to schedule of investments.

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				Specialty Chemicals (Continued)
	190,000			The Dow Chemical Co. (a)		$	7,172,500
	40,000			The Mosaic Co.			3,150,000
							52,648,541
				TOTAL COMMON STOCKS			412,724,419

Principal
Amount
				U.S. GOVERNMENT OBLIGATIONS — 5.1%
$	22,228,000			U.S. Treasury Bill, 0.141%††, 09/08/11 (a)
							22,214,174
TOTAL INVESTMENTS — 100.0%    (Cost $419,614,888)						$	434,938,593
				Aggregate tax cost		$	419,616,239
				Gross unrealized appreciation		$	19,650,333
				Gross unrealized depreciation			(4,327,979	)
				Net unrealized appreciation/depreciation		$	15,322,354

Number of						Expiration Date/		Market
Contracts						Exercise Price		Value
				OPTIONS CONTRACTS WRITTEN (c) — (4.4)%
				Call Options Written — (4.4)%
	220			Agnico-Eagle Mines Ltd.		May 11/75		$	15,840
	770			Agnico-Eagle Mines Ltd.		May 01/80			20,790
	660			Agnico-Eagle Mines Ltd.		Aug. 11/80			83,820
	200			Agrium Inc.		Apr. 11/95			25,000
	600			Agrium Inc.		Jul. 11/95			324,000
	275			Air Liquide SA(d)		Sep. 11/100			91,196
	500			Alpha Natural Resources Inc.		Jun. 11/62.50			171,500
	840			Alpha Natural Resources Inc.		Jun. 11/65			210,000
	600			American Superconductor Corp.		Jul. 11/36			6,000
	500			Anadarko Petroleum Corp.		May 11/80			265,000
	500			Anadarko Petroleum Corp.		Aug. 11/80			422,500
	1,500			AngloGold Ashanti Ltd., ADR		Jul. 11/50			326,250
	500			AngloGold Ashanti Ltd., ADR		Oct. 11/55			93,750
	80			Antofagasta plc(e)		Sep. 11/16			48,928
	150			Apache Corp.		Apr. 11/130			50,250
	300			Apache Corp.		Jul. 11/130			253,500
	700			ArcelorMittal		Jun. 11/39			66,500
	700			ArcelorMittal		Jun. 11/40			48,300
	425			Archer-Daniels- Midland Co.		May 11/37			45,475
	500			Archer-Daniels- Midland Co.		Jun. 11/38			53,500
	800			Archer-Daniels- Midland Co.		Sep. 11/37			168,000
	500			Baker Hughes Inc.		Apr. 11/70			235,000
	1,100			Barrick Gold Corp.		Jul. 11/55			212,300
	1,000			Barrick Gold Corp.		Jan. 12/60			280,000
	150			BG Group plc(e)		Apr. 11/15			179,270
	140			BG Group plc(e)		Sep. 11/1500			106,119
	200			BHP Billiton Ltd., ADR		Aug. 11/100			94,600
	1,530			Bunge Ltd.		Jul. 11/75			474,300
	900			Cameco Corp.		Apr. 11/42			3,600
	850			Cameron International Corp.		May 11/60			165,750
	700			Cameron International Corp.		Aug. 11/62.50			211,750
	260			CF Industries Holdings Inc.		Aug. 11/145			269,100
	130			CF Industries Holdings Inc.		Aug. 11/155			95,030
	400			Cliffs Natural Resources Inc.		Apr. 11/90			356,000
	400			CNH Global NV		Jun. 11/47.50			146,496
	1,500			Compania de Minas Buenaventura SA		Jun. 11/48			161,250
	350			CONSOL Energy Inc.		Apr. 11/55			35,700
	300			Corn Products International Inc.		Jul. 11/50			123,000
	800			Corn Products International Inc.		Oct. 11/50			428,000
	200			Deere & Co.		Apr. 11/90			136,000
	350			Deere & Co.		Jun. 11/90			325,500
	300			Deere & Co.		Jun. 11/95			174,000
	1,050			E.I. du Pont de Nemours & Co.		Jul. 11/55			258,300
	2,000			Eldorado Gold Corp.(f)		Aug. 11/20			60,856
	700			FMC Corp.		Apr. 11/85			117,250
	180			FMC Corp.		Jul. 11/95			20,700
	400			Franco-Nevada Corp.(f)		Jul. 11/34			110,366
	500			Franco-Nevada Corp.(f)		Jul. 11/36			81,228

See accompanying notes to schedule of investments.

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

Number of						Expiration Date/		Market
Contracts						Exercise Price		Value
				OPTIONS CONTRACTS WRITTEN (Continued)
				Call Options Written (Continued)
	230			Freeport-McMoRan Copper & Gold Inc.		May 11/57.50		$	48,990
	980			Freeport-McMoRan Copper & Gold Inc.		May 11/60			125,440
	320			Freeport-McMoRan Copper & Gold Inc.		May 11/62			26,240
	630			Globe Specialty Metals Inc.		Jun. 11/25			59,850
	2,000			Globe Specialty Metals Inc.		Sep. 11/25			365,000
	1,600			Gold Fields Ltd., ADR		Apr. 11/17			102,400
	1,600			Gold Fields Ltd., ADR		Jul. 11/17			219,200
	800			Gold Fields Ltd., ADR		Jul. 11/18			73,600
	1,000			Gold Fields Ltd., ADR		Jul. 11/19			57,500
	900			Goldcorp Inc.		Apr. 11/45			432,000
	1,000			Goldcorp Inc.		Jul. 11/49			360,000
	400			Halliburton Co.		Apr. 11/50			52,400
	2,000			Harmony Gold Mining Co. Ltd., ADR		Apr. 11/12			565,000
	1,600			Harmony Gold Mining Co. Ltd., ADR		May 11/12			480,000
	1,000			IAMGOLD Corp.		Sep. 11/26			105,000
	250			Intrepid Potash Inc.		Jun. 11/36			56,875
	250			Intrepid Potash Inc.		Jun. 11/37			48,125
	3,500			Kinross Gold Corp.		May 11/19			42,000
	1,200			Kinross Gold Corp.		May 11/20			7,200
	3,000			Kinross Gold Corp.		Aug. 11/20			84,000
	2,500			Lundin Mining Corp.(f)		Apr. 11/8			70,913
	3,500			Lundin Mining Corp.(f)		Jul. 11/8			234,657
	240			Monsanto Co.		Apr. 11/75			15,600
	800			Monsanto Co.		Jul. 11/75			260,000
	350			National Oilwell Varco Inc.		May 11/85			71,750
	1,000			National Oilwell Varco Inc.		Aug. 11/85			467,500
	850			Newmont Mining Corp.		Jun. 11/55			230,775
	600			Newmont Mining Corp.		Jun. 11/57.50			105,000
	600			Newmont Mining Corp.		Sep. 11/57.50			198,000
	470			Noble Corp.		Jun. 11/39			341,925
	400			Noble Energy Inc.		May 11/90			352,000
	200			Occidental Petroleum Corp.		May 11/100			151,000
	200			Occidental Petroleum Corp.		Aug. 11/105			137,000
	500			Owens Corning		May 11/36			81,500
	300			Peabody Energy Corp.		Jun. 11/70			201,000
	280			Peabody Energy Corp.		Sep. 11/70			238,000
	200			POSCO, ADR		May 11/120			58,000
	200			POSCO, ADR		Aug. 11/125			91,000
	350			POSCO, ADR		Aug. 11/130			114,625
	1,050			Potash Corp of Saskatchewan Inc.		Jun. 11/58.33			452,550
	180			Praxair Inc.		Jul. 11/100			87,300
	900			Randgold Resources Ltd., ADR		Jun. 11/90			149,400
	400			Randgold Resources Ltd., ADR		Jun. 11/95			41,600
	1,000			Renesola Ltd., ADR		Apr. 11/14			5,000
	700			Renesola Ltd., ADR		Jul. 11/15			12,250
	500			Rio Tinto plc, ADR		Jul. 11/80			90,000
	275			Rio Tinto plc, ADR		Oct. 11/80			99,000
	300			Rockwood Holdings Inc.		Aug. 11/45			193,500
	300			Rockwood Holdings Inc.		Aug. 11/50			112,500
	1,500			Royal Gold Inc.		Apr. 11/50			405,000
	400			Schlumberger Ltd.		May 11/95			146,000
	200			Schlumberger Ltd.		Aug. 11/95			136,000
	1,600			Sino-Forest Corp.(f)		Jul. 11/25			272,305
	800			Sino-Forest Corp.(f)		Jul. 11/26			96,957
	800			Suncor Energy Inc.		Sep. 11/47			288,000
	300			Syngenta AG, ADR		Jun. 11/65			83,250
	500			Teck Resources Ltd., Cl. B		Aug. 11/65			78,250
	900			The Dow Chemical Co.		Sep. 11/39			207,900
	1,000			The Dow Chemical Co.		Sep. 11/40			187,000
	400			The Mosaic Co.		Jun. 11/90			77,600
	800			Titanium Metals Corp.		Apr. 11/20			8,000
	800			Titanium Metals Corp.		Apr. 11/21			4,000
	1,200			Total SA		May 11/62.50			138,000
	250			Transocean Ltd.		Aug. 11/85			94,375
	300			Trina Solar Ltd., ADR		Apr. 11/32			10,500
	300			Trina Solar Ltd., ADR		Jun. 11/33			44,700
	700			Trina Solar Ltd., ADR		Sep. 11/34			177,800
	460			Umicore SA(d)		Apr. 11/40			41,070
	2,300			USEC Inc.		Oct. 11/5			115,000
	4,400			USEC Inc.		Oct. 11/6			121,000
	1,000			Vale SA, ADR		Jun. 11/39			20,000
	500			Vale SA, ADR		Jun. 11/40			6,500
	50			Vedanta Resources plc(e)		Jun. 11/24			116,706
	2,700			Weatherford International Ltd.		May 11/23			275,400
	65			Xstrata plc(e)		Jun. 11/16			4,197
	15			Xstrata plc(e)		Sep. 11/16			19,973
	2,500			Yamana Gold Inc.		Jul. 11/14			80,000
	2,500			Yamana Gold Inc.		Jul. 11/15			42,500
				TOTAL CALL OPTIONS WRITTEN (Premiums received $16,395,464)					18,923,712

See accompanying notes to schedule of investments.

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

Number of						Expiration Date/		Market
Contracts						Exercise Price		Value
				OPTIONS CONTRACTS WRITTEN (Continued)
				Put Options Written — (0.0)%
	300			Potash Corp of Saskatchewan Inc.		Jun. 11/58.33		$	108,000
				TOTAL PUT OPTIONS WRITTEN (Premiums received $109,457)					108,000
				TOTAL OPTION CONTRACTS WRITTEN (Premiums received $16,504,921)				$	19,031,712
				Aggregate premiums				$	16,504,921
				Gross unrealized appreciation				$	2,807,596
				Gross unrealized depreciation					(5,334,387	)
				Net unrealized appreciation/depreciation				$	(2,526,791	)

See accompanying notes to schedule of investments.

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

     The Fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”), which may require the use of management estimates and assumptions. Actual results could differ from those estimates. The following is a summary of significant accounting policies to be followed by the Fund in the preparation of its financial statements.

Organization. The Gabelli Natural Resources, Gold & 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 Act of 1940, as amended (the “1940 Act”). Investment operations commenced operations on January 31, 2011.

Security Valuation. 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’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”).

     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 instruments with remaining maturities of sixty days or less that are not credit impaired are valued at amortized cost, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Debt instruments having a maturity greater than sixty days for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price. U.S. government obligations with maturities greater than sixty days are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations.

     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 ADR 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.

     The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

	•		Level 1 — quoted prices in active markets for identical securities;
	•		Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
	•		Level 3 — significant unobservable inputs (including the Fund’s determinations as to the fair value of investments).

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

     A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in 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’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of March 31, 2011 is as follows:

		Valuation Inputs
		Level 1				Level 2				Total
		Quoted				Other Significant				Market Value
		Prices				Observable Inputs				at 3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Other Industries (a)		$	412,724,419				—			$	412,724,419
Total Common Stocks			412,724,419				—				412,724,419
U.S. Government Obligations			—			$	22,214,174				22,214,174
TOTAL INVESTMENTS IN SECURITIES — ASSETS		$	412,724,419			$	22,214,174			$	434,938,593
INVESTMENTS IN SECURITIES:
LIABILITIES (Market Value):
EQUITY CONTRACTS:
Call Options Written		$	(9,261,566	)		$	(9,662,146	)		$	(18,923,712	)
Put Options Written			(108,000	)			—				(108,000	)
TOTAL INVESTMENTS IN SECURITIES — LIABILITIES		$	(9,369,566	)		$	(9,662,146	)		$	(19,031,712	)

          The Fund did not have significant transfers between Level 1 and Level 2 during the period ended March 31, 2011.

          There were no Level 3 investments held at March 31, 2011. The Fund commenced investment operations on January 31, 2011.

Foreign Currency Translations. 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 the 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 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.

Foreign Securities. 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.

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

Foreign Taxes. 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.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purposes of increasing the income of the Fund. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser’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 that, 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’s ability to pay distributions.

     The Fund’s derivative contracts held at March 31, 2011, if any, are not accounted for as hedging instruments under GAAP.

     Swap Agreements. The Fund may enter into equity contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an equity contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction. During the period ended March 31, 2011, the Fund held no investments in equity contract for difference swap agreements.

     Options. The Fund may purchase or write call or put options on securities or indices for the purpose of achieving additional return or for hedging the value of the Fund’s portfolio. 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. 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.

     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.

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

     In the case of call options, these exercise prices are referred to as “in-the-money,” “at-the-money,” and “out-of-the-money,” 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 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 March 31, 2011 are reflected within the Schedule of Investments.

     The Fund held equity options contracts from February 1, 2011 through the period ended March 31, 2011, with an average monthly premium amount while outstanding of approximately $10,392,168.

     Written options activity for the Fund for the period ended March 31, 2011 was as follows:

		Number of
		Contracts				Premiums
Options outstanding at December 31, 2010			—				—
Stock splits on options			850				—
Options written			104,850			$	17,026,261
Options repurchased			(1,500	)			(133,478	)
Options expired			(1,990	)			(323,957	)
Options exercised			(1,055	)			(63,905	)
Options outstanding at March 31, 2011			101,155			$	16,504,921

     The following table summarizes the market value of derivatives held at March 31, 2011 by primary risk exposure:

Liability Derivatives:		Market Value
Equity Contracts		$	(19,031,712	)

Tax Information. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.

TRUSTEES AND OFFICERS
THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST
One Corporate Center, Rye, NY 10580-1422

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “Specialized Equity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds section under the heading “Specialized Equity Funds.”

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting ww.gabelli.com.

Item 2. Controls and Procedures.

	(a)		The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (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)).
	(b)		There were no changes in the registrant’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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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.

(Registrant) The Gabelli Natural Resources, Gold & Income Trust

By (Signature and Title)*		/s/ Bruce N. Alpert   Bruce N. Alpert, Principal Executive Officer
Date 5/31/11

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.

By (Signature and Title)*		/s/ Bruce N. Alpert   Bruce N. Alpert, Principal Executive Officer
Date 5/31/11
By (Signature and Title)*		/s/ Agnes Mullady   Agnes Mullady, Principal Financial Officer and Treasurer
Date 5/31/11