GDL FUND — Annual Report 2020

Mar 6, 2020

N-CSR 1 d877931dncsr.htm GDL FUND GDL Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-21969

The GDL Fund

(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: December 31, 2019

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.

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 (“OMB”) 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. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

The GDL Fund

Annual Report — December 31, 2019

(Y)our Portfolio Management Team

●	●	●
Mario J. Gabelli, CFA	Willis M. Brucker	Regina M. Pitaro,
Chief Investment Officer	Portfolio Manager	Managing Director,
	BS, Boston College	MBA, Columbia
		Business School

To Our Shareholders,

For the year ended December 31, 2019, the net asset value (NAV) total return of The GDL Fund was 5.1%, compared with a total return of 2.3% for the ICE Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index. The total return for the Fund’s publicly traded shares was 5.8%. The Fund’s NAV per share was $11.15, while the price of the publicly traded shares closed at $9.30 on the New York Stock Exchange (NYSE). See page 2 for additional performance information.

Enclosed are the financial statements, including the schedule of investments, as of December 31, 2019.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’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’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.

Comparative Results

| Average Annual Returns through

December 31, 2019 (a) (Unaudited) — 1 Year	3 Year	5 Year	10 Year	Since Inception (01/31/07)
GDL Fund
NAV Total Return (b)	5.15 %	1.92 %	2.95 %	3.07 %	2.75 %
Investment Total Return (c)	5.81	2.91	3.53	3.18	1.96
ICE Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index	2.28	1.67	1.07	0.58	0.97

(a) Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. The Fund’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. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The ICE Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month, that issue is sold and rolled into the outstanding Treasury Bill that matures closest to, but not beyond three months from the re-balancing date. To qualify for selection, an issue must have settled on or before the re-balancing (month end) date. Dividends are not reinvested for the ICE Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index. You cannot invest directly in an index.

(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 NYSE and reinvestment of distributions. Since inception return is based on an initial offering price of $20.00.

2

Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of total investments before securities sold short as of December 31, 2019:

The GDL Fund

Long Positions
U.S. Government Obligations	27.1 %
Health Care	19.0 %
Energy and Utilities	8.8 %
Hotels and Gaming	4.8 %
Aerospace	4.5 %
Specialty Chemicals	4.3 %
Retail	3.7 %
Business Services	3.6 %
Automotive: Parts and Accessories	3.5 %
Telecommunications	3.1 %
Computer Software and Services	2.9 %
Closed-End Funds	2.5 %
Food and Beverage	2.2 %
Semiconductors	1.8 %
Entertainment	1.3 %
Financial Services	1.2 %
Transportation	1.2 %
Building and Construction	1.1 %
Electronics	1.0 %

Cable and Satellite	0.7	%
Real Estate	0.7	%
Paper and Forest Products	0.4	%
Machinery	0.3	%
Metals and Mining	0.2	%
Wireless Communications	0.1	%
Diversified Industrial	0.0	%*
	100.0	%
Short Positions
Health Care	(2.5	)%
Hotels and Gaming	(1.7	)%
Building and Construction	(0.5	)%
Financial Services	(0.2	)%
Real Estate	(0.1	)%
	(5.0	)%

• Amount represents less than 0.05%.

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 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’s Form N-PORT is available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

Proxy Voting

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’s proxy voting policies, procedures, and how the 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’s website at www.sec.gov.

3

The GDL Fund

Schedule of Investments — December 31, 2019

Shares		Cost	Market Value
	COMMON STOCKS— 70.0%
	Aerospace — 4.5%
4,500,000	Cobham plc	$ 9,026,236	$ 9,790,513
500,000	Wesco Aircraft Holdings Inc.†	5,503,571	5,510,000
		14,529,807	15,300,513
	Automotive: Parts and Accessories — 3.5%
52,000	Haldex AB	503,811	283,141
85,000	WABCO Holdings Inc.†	11,297,430	11,517,500
		11,801,241	11,800,641
	Building and Construction — 1.1%
50,000	Continental Building Products Inc.†	1,823,495	1,821,500
5,000	Cramo Oyj	74,310	74,257
1,000	Koninklijke Volkerwessels NV	24,500	24,621
40,000	Lennar Corp., Cl. B	1,454,362	1,788,000
5,000	William Lyon Homes, Cl. A†	105,410	99,900
		3,482,077	3,808,278
	Business Services — 3.6%
120,038	Clear Channel Outdoor Holdings Inc.†	427,179	343,309
87,000	exactEarth Ltd.†	249,767	18,089
82,974	Tech Data Corp.†	11,912,683	11,915,066
		12,589,629	12,276,464
	Cable and Satellite — 0.7%
23,000	Liberty Global plc, Cl. A†	820,747	523,020
48,000	Liberty Global plc, Cl. C†	1,678,557	1,046,160
16,000	Liberty Latin America Ltd., Cl. A†	348,022	308,800
28,000	Liberty Latin America Ltd., Cl. C†	630,975	544,880
		3,478,301	2,422,860
	Computer Software and Services — 2.9%
51,000	Altran Technologies SA	793,723	810,051
10,000	Business & Decision†	92,512	86,652
800,000	Cision Ltd.†	7,986,257	7,976,000
5,000	Instructure Inc.†	241,400	241,050
2,000	Just Eat plc†	19,156	22,116
4,000	LogMeIn Inc.	344,244	342,960
6,000	NortonLifeLock Inc.	155,458	153,120
20,000	Sophos Group plc	146,825	147,826
		9,779,575	9,779,775
	Diversified Industrial — 0.0%
500	Anixter International Inc.†	41,064	46,050
	Electronics — 1.0%
71,000	Bel Fuse Inc., Cl. A	1,818,628	1,136,000
360,000	Fitbit Inc., Cl. A†	2,577,205	2,365,200
		4,395,833	3,501,200
	Energy and Utilities — 8.8%
39,000	AltaGas Canada Inc.	989,265	1,002,218

Shares		Cost	Market Value
20,000	Alvopetro Energy Ltd.†	$ 7,446	$ 12,013
3,500	Avista Corp.	179,305	168,315
146,915	El Paso Electric Co.	9,842,774	9,974,059
45,000	Endesa SA	1,123,130	1,200,841
727	Energy Transfer LP	9,162	9,327
460,000	Gulf Coast Ultra Deep Royalty Trust	30,398	11,960
10,000	Noble Energy Inc.	379,709	248,400
95,756	Pattern Energy Group Inc., Cl. A	2,584,983	2,561,952
670,000	Tallgrass Energy LP, Cl. A	14,758,704	14,820,400
		29,904,876	30,009,485
	Entertainment — 1.3%
500,054	Central European Media Enterprises Ltd., Cl. A†	2,251,361	2,265,245
2,000	Cineplex Inc.	51,709	52,135
3,500	Fox Corp., Cl. A	128,589	129,745
55,000	Fox Corp., Cl. B	2,277,000	2,002,000
		4,708,659	4,449,125
	Financial Services — 1.2%
3,000	Bolsas y Mercados Espanoles SHMSF SA	116,016	115,693
1,000	Charles Taylor plc	4,079	4,557
1,000	Entegra Financial Corp.†	29,504	30,160
900,000	Ladenburg Thalmann Financial Services Inc.	3,146,856	3,132,000
45,000	MoneyGram International Inc.†	95,628	94,500
2,500	SLM Corp.	21,099	22,275
10,000	Steuben Trust Co.	647,708	718,750
1,500	VersaPay Corp.†	3,056	3,096
		4,063,946	4,121,031
	Food and Beverage — 2.2%
405,888	Craft Brew Alliance Inc.†	6,676,848	6,697,152
1,300,000	Premier Foods plc†	866,058	651,774
950,000	Yashili International Holdings Ltd.	429,196	85,341
		7,972,102	7,434,267
	Health Care — 18.7%
70,000	Achillion Pharmaceuticals Inc.†	432,817	422,100
100,000	Akorn Inc.†	680,304	150,000
45,000	Allergan plc	7,776,390	8,602,650
76,855	ArQule Inc.†	1,539,706	1,534,026
14,000	AstraZeneca plc, ADR	467,992	698,040
253,700	Audentes Therapeutics Inc.†	15,171,081	15,181,408
10,000	Consort Medical plc	135,863	135,772
350,000	Diplomat Pharmacy Inc.†	1,381,353	1,400,000
17,400	Hemacare Corp.†	437,927	439,350
30,000	Idorsia Ltd.†	308,848	928,084
324,000	Pacific Biosciences of California Inc.†	2,353,908	1,665,360

See accompanying notes to financial statements.

4

The GDL Fund

Schedule of Investments (Continued) — December 31, 2019

Shares		Cost	Market Value
	COMMON STOCKS (Continued)
	Health Care (Continued)
14,000	Ra Pharmaceuticals Inc.†	$ 646,976	$ 657,020
30,000	Spark Therapeutics Inc.†	3,341,629	3,435,000
180,000	The Medicines Co.†	15,241,020	15,289,200
23,982	WellCare Health Plans Inc.†	7,934,079	7,919,096
174,132	Wright Medical Group NV†	5,254,230	5,307,543
		63,104,123	63,764,649
	Hotels and Gaming — 4.8%
1,100,000	Caesars Entertainment Corp.†	14,583,244	14,960,000
18,000	Cherry AB, Cl. B†(a)	170,911	167,194
31,613	Gamenet Group SpA	453,538	460,986
36,000	The Stars Group Inc.†	708,496	939,240
		15,916,189	16,527,420
	Machinery — 0.3%
2,000	AquaVenture Holdings Ltd.†	53,860	54,240
14,000	CIRCOR International Inc.†	559,036	647,360
15,000	CNH Industrial NV	107,938	164,722
		720,834	866,322
	Metals and Mining — 0.1%
55,000	Alamos Gold Inc., Cl. A	743,477	331,100
20,000	Artemis Gold Inc.†	152	20,022
		743,629	351,122
	Paper and Forest Products — 0.4%
150,000	Canfor Corp.†	1,702,958	1,402,333
	Real Estate — 0.7%
288,745	Atrium European Real Estate Ltd.	1,162,687	1,117,409
26,990	Condor Hospitality Trust Inc., REIT	298,357	297,970
2,500	Hansteen Holdings plc	3,840	3,855
8,000	Liberty Property Trust	468,549	480,400
75,000	Temple Hotels Inc.†	119,691	120,134
8,000	Vastned Retail Belgium NV, REIT	553,412	401,122
		2,606,536	2,420,890
	Retail — 3.7%
10,000	Hudson’s Bay Co.	77,010	76,085
20,000	Swedol AB, Cl. B	95,412	98,971
92,000	Tiffany & Co.	12,268,301	12,295,800
		12,440,723	12,470,856
	Semiconductors — 1.8%
80,000	Cypress Semiconductor Corp.	1,825,793	1,866,400
35,000	Mellanox Technologies Ltd.†	4,145,592	4,101,300
		5,971,385	5,967,700
	Specialty Chemicals — 4.3%
161,752	Innophos Holdings Inc.	5,156,169	5,172,829
930,000	OMNOVA Solutions Inc.†	9,344,955	9,402,300

Shares		Cost	Market Value
5,000	SGL Carbon SE†	$ 44,464	$ 26,584
		14,545,588	14,601,713
	Telecommunications — 3.1%
30,000	Acacia Communications Inc.†	1,973,081	2,034,300
3,000	Cincinnati Bell Inc.†	30,967	31,410
175,000	Koninklijke KPN NV	535,802	516,461
1,200	Loral Space & Communications Inc.†	37,479	38,784
713,121	NII Holdings Inc.†	1,546,255	1,547,473
2,400	North State Telecommunications Corp., Cl. B	185,270	187,200
21,000	Parrot SA†	76,152	62,894
180,000	Zayo Group Holdings Inc.†	6,098,470	6,237,000
		10,483,476	10,655,522
	Transportation — 1.2%
40,000	Abertis Infraestructuras SA†(a)	864,972	290,297
100,000	Aircastle Ltd.	3,226,670	3,201,000
2,000	XPO Logistics Europe SA	484,562	583,287
		4,576,204	4,074,584
	Wireless Communications — 0.1%
5,000	T-Mobile US Inc.†	329,589	392,100
	TOTAL COMMON STOCKS	239,888,344	238,444,900
	CLOSED-END FUNDS — 2.5%
415,000	Altaba Inc., Escrow†	8,514,032	8,611,250
	PREFERRED STOCKS — 0.0%
	Financial Services — 0.0%
2,968	Steel Partners Holdings LP, Ser. A, 6.000%, 02/07/26	47,114	69,244
	CONVERTIBLE PREFERRED STOCKS — 0.0%
	Telecommunications — 0.0%
1,000	Cincinnati Bell Inc. 6.750%, , Ser. B	47,351	47,500
	RIGHTS — 0.4%
	Business Services — 0.0%
9,091	TheStreet Inc., CVR†(a)	818	818
	Entertainment — 0.0%
225,000	Media General Inc., CVR†(a)	0	0
	Health Care — 0.3%
215,942	Alder BioPharmaceuticals Inc. – H. Lundbeck A/S, CVR†(a)	0	194,348
79,391	Ambit Biosciences Corp., CVR†(a)	0	160,767
136,000	Bristol-Myers Squibb Co., CVR†	312,800	409,360
30,000	Corium International, CVR†(a)	15,000	5,400
103,040	Dova Pharmaceuticals Inc., CVR†(a)	0	51,520

See accompanying notes to financial statements.

5

The GDL Fund

Schedule of Investments (Continued) — December 31, 2019

Shares		Cost	Market Value
	RIGHTS (Continued)
	Health Care (Continued)
400,000	Elanco Animal Health Inc., CVR†(a)	$ 2	$ 20,000
300,000	Innocoll, CVR†(a)	180,000	3
125,000	Ipsen SA/Clementia, CVR†(a)	168,750	168,750
23,000	Ocera Therapeutics, CVR†(a)	6,210	6,785
100	Omthera Pharmaceuticals Inc., CVR†(a)	0	0
346,322	Teva Pharmaceutical Industries Ltd., CCCP, expire 02/20/23†(a)	164,073	0
11,000	Tobira Therapeutics Inc., CVR†(a)	660	660
		847,495	1,017,593
	Metals and Mining — 0.1%
419,000	Pan American Silver Corp., CVR†	96,370	314,250
	Specialty Chemicals — 0.0%
25,772	A. Schulman Inc., CVR†(a)	13,479	13,479
	TOTAL RIGHTS	958,162	1,346,140
Principal Amount
	U.S. GOVERNMENT OBLIGATIONS — 27.1%
$92,486,000	U.S. Treasury Bills, 1.515% to 1.888%††, 01/02/20 to 05/28/20(b)	92,237,608	92,260,294
TOTAL INVESTMENTS BEFORE SECURITIES SOLD SHORT — 100.0%		$ 341,692,611	340,779,328
	SECURITIES SOLD SHORT — (5.0)%
	(Proceeds received $16,088,183)		(16,930,174	)

Other Assets and Liabilities (Net)			Market Value — $ (17,961,885	)
PREFERRED STOCK (2,624,025 preferred shares outstanding)			(131,201,250	)
NET ASSETS — COMMON STOCK (15,673,285 common shares outstanding)			$ 174,686,019
NET ASSET VALUE PER COMMON SHARE ($174,686,019 ÷ 15,673,285 shares
outstanding)			$ 11.15
Shares		Proceeds	Market Value
	SECURITIES SOLD SHORT — (5.0)%
	Building and Construction — (0.5)%
30,000	Lennar Corp., Cl. A	$ 1,478,773	$ 1,673,700
	Financial Services — (0.2)%
8,054	Community Bank System Inc.	531,927	571,351
	Health Care — (2.5)%
38,970	AbbVie Inc.	2,923,959	3,450,404
81,060	Centene Corp.	5,112,171	5,096,241
		8,036,130	8,546,645
	Hotels and Gaming — (1.7)%
98,890	Eldorado Resorts Inc.	5,804,395	5,897,800
	Real Estate — (0.1)%
2,700	Prologis Inc., REIT	236,958	240,678
	TOTAL SECURITIES SOLD SHORT(c)	$ 16,088,183	$ 16,930,174

(a) Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) At December 31, 2019, $33,700,000 of the principal amount was pledged as collateral for securities sold short, equity contract for difference swap agreements, and forward foreign exchange contracts.

(c) At December 31, 2019, these proceeds were being held at Pershing LLC.

† Non-income producing security.

†† Represents annualized yields at dates of purchase.

ADR American Depositary Receipt

CCCP Contingent Cash Consideration Payment

CVR Contingent Value Right

REIT Real Estate Investment Trust

See accompanying notes to financial statements.

6

The GDL Fund

Schedule of Investments (Continued) — December 31, 2019

Geographic Diversification	% of Total — Investments*	Value
Long Positions
North America	90.6	%	$ 308,582,999
Europe	9.4		32,110,988
Asia/Pacific	0.0	**	85,341
Total Investments — Long Positions	100.0	%	$ 340,779,328

Geographic Diversification	% of Total — Investments*	Value
Short Positions
North America	(5.0	)%	$ (16,930,174	)
Total Investments — Short Positions	(5.0	)%	$ (16,930,174	)

• Total investments exclude securities sold short.

** Amount represents less than 0.05%.

As of December 31, 2019, forward foreign exchange contracts outstanding were as follows:

Currency Purchased — USD	9,970,006	Currency Sold — GBP	7,700,000	Counterparty — State Street Bank and Trust Co.	01/30/20	Unrealized Depreciation — $ (238,540)
USD	541,102	SEK	5,100,000	State Street Bank and Trust Co.	01/30/20	(4,219)
USD	5,446,825	EUR	4,900,000	State Street Bank and Trust Co.	01/30/20	(60,092)
USD	2,281,882	CAD	3,000,000	State Street Bank and Trust Co.	01/30/20	(28,760)
						$ (331,611)

As of December 31, 2019, equity contract for difference swap agreements outstanding were as follows:

Unrealized Appreciation — $1,089
$1,089

See accompanying notes to financial statements.

7

The GDL Fund

Statement of Assets and Liabilities

December 31, 2019

Assets: — Investments, at value (cost $341,692,611)	$ 340,779,328
Cash	1,682,503
Deposit at broker for securities sold short	14,270,984
Receivable for investments sold	27,342,279
Dividends and interest receivable	549,863
Deferred offering expense	404,072
Prepaid expenses	1,905
Unrealized appreciation on swap contracts	1,089
Total Assets	385,032,023
Liabilities:
Securities sold short, at value (proceeds $16,088,183)	16,930,174
Foreign currency overdraft, at value (cost $145,732)	144,572
Distributions payable	72,890
Payable for Fund shares redeemed	102,171
Payable for investments purchased	59,033,425
Payable for investment advisory fees	2,324,505
Payable for payroll expenses	91,648
Payable for accounting fees	11,250
Unrealized depreciation on forward foreign exchange contracts	331,611
Dividends payable on securities sold short	3,302
Series C Cumulative Preferred Shares, callable and mandatory redemption 03/26/25 (See Notes 2 and

1. | 131,201,250 | | | Other accrued expenses | 99,206 | | | Total Liabilities | 210,346,004 | | | Net Assets Attributable to Common Shareholders | $ 174,686,019 | | | Net Assets Attributable to Common Shareholders Consist of: | | | | Paid-in capital | $ 179,195,191 | | | Total accumulated loss | (4,509,172 | ) | | Net Assets | $ 174,686,019 | | | Net Asset Value per Common Share: | | | | ($174,686,019 ÷ 15,673,285 shares outstanding at $0.001 par value; unlimited number of shares authorized) | $11.15 | |

Statement of Operations

For the Year Ended December 31, 2019

Investment Income: — Dividends (net of foreign withholding taxes of $115,053)	$ 1,746,206
Interest	2,083,015
Total Investment Income	3,829,221
Expenses:
Investment advisory fees	3,752,804
Interest expense on preferred shares	5,248,050
Dividend expense on securities sold short	611,352
Payroll expenses	198,146
Trustees’ fees	132,909
Shareholder communications expenses	113,990
Service fees for securities sold short (See Note 2)	100,688
Offering expense for issuance of preferred shares	67,667
Accounting fees	45,000
Custodian fees	33,052
Shareholder services fees	25,668
Legal and audit fees	6,720
Interest expense	1,971
Miscellaneous expenses	92,368
Total Expenses	10,430,385
Less:
Expenses paid indirectly by broker (See Note 3)	(3,649	)
Advisory fee reduction on unsupervised assets (See Note 3)	(5,864	)
Custodian fee credits	(12,285	)
Total Credits and Reductions	(21,798	)
Net Expenses	10,408,587
Net Investment Loss	(6,579,366	)
Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Swap Contracts, Forward
Foreign Exchange Contracts, and Foreign Currency:
Net realized gain on investments	8,980,787
Net realized loss on securities sold short	(2,054,394	)
Net realized gain on swap contracts	16,648
Net realized gain on forward foreign exchange contracts	1,073,946
Net realized loss on foreign currency transactions	(135,727	)
Net realized gain on investments, securities sold short, swap contracts, forward foreign exchange contracts,
and foreign currency transactions	7,881,260
Net change in unrealized appreciation/depreciation:
on investments	9,004,346
on securities sold short	(2,851,734	)
on swap contracts	(174	)
on forward foreign exchange contracts	(209,094	)
on foreign currency translations	(2,014	)
Net change in unrealized appreciation/depreciation on investments, securities sold short, swap contracts,
forward foreign exchange contracts, and foreign currency translations	5,941,330
Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Swap Contracts, Forward
Foreign Exchange Contracts, and Foreign Currency	13,822,590
Net Increase in Net Assets Attributable to Common Shareholders Resulting from Operations	$ 7,243,224

See accompanying notes to financial statements.

8

The GDL Fund

Statement of Changes in Net Assets Attributable to Common Shareholders

Operations:
Net investment loss	$ (6,579,366	)	$ (2,299,869	)
Net realized gain on investments, securities sold short, swap contracts, forward foreign exchange contracts,
and foreign currency transactions	7,881,260		7,584,482
Net change in unrealized appreciation/depreciation on investments, securities sold short, swap contracts,
forward foreign exchange contracts, and foreign currency translations	5,941,330		(10,680,373	)
Net Increase/(Decrease) in Net Assets Attributable to Common Shareholders Resulting from
Operations	7,243,224		(5,395,760	)
Distributions to Common Shareholders:
Accumulated earnings	(1,053,427	)	(6,393,213	)
Return of capital	(5,358,221	)	(496,010	)
Total Distributions to Common Shareholders	(6,411,648	)	(6,889,223	)
Fund Share Transactions:
Decrease from repurchase of common shares	(9,577,023	)	(8,381,646	)
Decrease in Net Assets from Fund Share Transactions	(9,577,023	)	(8,381,646	)
Net Decrease in Net Assets Attributable to Common Shareholders	(8,745,447	)	(20,666,629	)
Net Assets Attributable to Common Shareholders:
Beginning of year	183,431,466		204,098,095
End of year	$ 174,686,019		$ 183,431,466

See accompanying notes to financial statements.

9

The GDL Fund

Statement of Cash Flows

For the Year Ended December 31, 2019

Net increase in net assets attributable to common shareholders resulting from operations	$
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash from
Operating Activities:
Purchase of long term investment securities	(879,358,795	)
Proceeds from sales of long term investment securities	866,020,957
Proceeds from short sales of investment securities	(108,543,236	)
Purchase of securities to cover short sales	87,129,198
Net purchases of short term investment securities	(389,481	)
Net realized gain on investments	(8,980,787	)
Net realized loss on securities sold short	2,054,394
Net change in unrealized appreciation/depreciation on investments and swap contracts	(9,004,172	)
Net amortization of discount	(1,820,794	)
Net increase in unrealized depreciation on forward foreign exchange contracts	209,094
Net decrease in unrealized appreciation on securities sold short	2,851,734
Increase in receivable for investments sold	(23,483,034	)
Increase in dividends and interest receivable	(290,636	)
Decrease in prepaid expenses	332
Decrease in deferred offering expense	67,668
Increase in payable for accounting fees	3,750
Increase in payable for investments purchased	39,609,671
Increase in payable for investment advisory fees	2,190,984
Increase in payable for payroll expenses	22,392
Decrease in payable for dividends payable on securities sold short	(64,784	)
Decrease in other accrued expenses	(65,225	)
Net cash provided by operating activities:	(24,597,546	)
Net decrease in net assets resulting from financing activities:
Distributions to Common Shareholders	(6,411,648	)
Increase in payable for Fund shares redeemed	7,049
Decrease from repurchase of common shares	(9,577,023	)
Net cash used in financing activities	(15,981,622	)
Net decrease in cash	(40,579,168	)
Cash (including foreign currency and restricted cash):
Beginning of year	56,388,083
End of year	$ 15,808,915
Supplemental disclosure of cash flow information:
Interest paid on preferred shares	$ 5,248,050
Interest paid on bank overdrafts	$ 1,971
The following table provides a reconciliation of cash, foreign currency, and restricted cash
reported within the Statement of Assets and Liabilities that sum to the total of the same amount above at December 31, 2019:
Cash	$ 1,682,503
Deposit at broker for securities sold short	14,270,984
Foreign currency overdraft, at value	(144,572	)
	$ 15,808,915

See accompanying notes to financial statements.

10

The GDL Fund

Financial Highlights

Selected data for a common share of beneficial interest outstanding throughout each year:

2019		2018		2017		2016		2015
Operating Performance:
Net asset value, beginning of year	$ 10.99	$	11.59	$	11.88	$	11.93	$	12.10
Net investment loss	(0.42	)	(0.14	)	(0.22	)	(0.36	)	(0.44	)
Net realized and unrealized gain/(loss) on investments, securities sold short, swap contracts, forward
foreign exchange contracts, and foreign currency transactions	0.88		(0.15	)	0.46		0.84		0.85
Total from investment operations	0.46		(0.29	)	0.24		0.48		0.41
Distributions to Common Shareholders:
Net investment income	—		(0.19	)	—		—		—
Net realized gain	(0.07	)	(0.18	)	—		(0.59	)	(0.56	)
Return of capital	(0.33	)	(0.03	)	(0.58	)	(0.05	)	(0.08	)
Total distributions to common shareholders	(0.40	)	(0.40	)	(0.58	)	(0.64	)	(0.64	)
Common Share Transactions:
Increase in net asset value from repurchase of common shares	0.10		0.09		0.05		0.11		0.06
Net Asset Value, End of Year	$ 11.15	$	10.99	$	11.59	$	11.88	$	11.93
NAV total return †	5.15	%	(1.76	)%	2.50	%	5.09	%	3.95	%
Market value, end of year	$ 9.30	$	9.17	$	9.73	$	9.84	$	10.01
Investment total return ††	5.81	%	(1.62	)%	4.70	%	4.79	%	4.12	%
Ratios to Average Net Assets and Supplemental Data:
Net assets including liquidation value of preferred shares, end of year (in 000’s)	$ 305,887	$	314,633	$	335,299	$	347,980	$	364,160
Net assets attributable to common shares, end of year (in 000’s)	$ 174,686	$	183,431	$	204,098	$	216,779	$	232,959
Ratio of net investment loss to average net assets attributable to common shares including interest and
offering costs(a)	(3.64	)%	(1.18	)%	(1.85	)%	(2.94	)%	(2.75	)%
Ratio of operating expenses to average net assets attributable to common shares(b)(c)	5.76	%(d)	4.04	%	3.65	%(e)	4.72	%(e)(f)	4.23	%(e)(f)
Portfolio turnover rate	380	%	390	%	233	%	284	%	268	%

See accompanying notes to financial statements.

11

The GDL Fund

Financial Highlights (Continued)

Selected data for a common share of beneficial interest outstanding throughout each year:

2019	2018	2017	2016	2015
Cumulative Preferred Shares
Series B Preferred
Liquidation value, end of year (in 000’s)	—	—	$ 131,201	$ 131,201	$ 131,201
Total shares outstanding (in 000’s)	—	—	2,624	2,624	2,624
Liquidation preference per share	—	—	$ 50.00	$ 50.00	$ 50.00
Average market value(g)	—	—	$ 50.51	$ 50.51	$ 50.30
Asset coverage per share	—	—	$ 127.78	$ 132.61	$ 138.78
Series C Preferred
Liquidation value, end of year (in 000’s)	$ 131,201	$ 131,201	—	—	—
Total shares outstanding (in 000’s)	2,624	2,624	—	—	—
Liquidation preference per share	$ 50.00	$ 50.00	—	—	—
Average market value(g)	$ 50.71	$ 51.63	—	—	—
Asset coverage per share	$ 116.57	$ 119.90	—	—	—
Asset coverage	233 %	240 %	256 %	265 %	278 %

† Based on net asset value per share, adjusted for reinvestment of distributions at the net asset value per share on the ex-dividend dates.

†† Based on market value per share, adjusted for reinvestment of distributions at prices determined under the Fund’s dividend reinvestment plan.

(a) The Fund incurred interest expense during all periods presented. Interest expense on Preferred Shares relates to the $50 Series B Preferred Shares to May 29, 2018 and the $50 Series C Preferred Shares from March 26, 2018 through December 31, 2019 (see Footnotes 2 and 5).

(b) The Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. For the years ended December 31, 2019, 2018, 2017, 2016, and 2015, there was no impact on the expense ratios.

(c) The ratio of operating expenses excluding interest, dividends and service fees on securities sold short, and offering costs to average net assets attributable to common shares for the years ended December 31, 2019, 2018, 2017, 2016, and 2015 would have been 2.41%, 1.28%, 1.75%, 2.92%, and 2.87%, respectively.

(d) The ratio of operating expenses excluding the custodian fee credit for the year ended December 31, 2019 would have been 5.75%

(e) The ratio of operating expenses does not include custodian fee credits. Including such custodian fee credits, the ratio of operating expenses to average net assets for the year ended December 31, 2017 would have been 3.64%. For the years ended December 31, 2016, and 2015, the effect was minimal.

(f) For the years ended December 31, 2016 and 2015, the ratio of operating expenses excluded interest, dividends and service fees on securities sold short, and offering costs. Including these expenses, the ratio of operating expenses for the years ended December 31, 2016, and 2015, would have been 4.84%, and 4.43%, respectively.

(g) Based on weekly prices.

See accompanying notes to financial statements.

12

The GDL Fund

Notes to Financial Statements

1. Organization. The GDL Fund currently operates as a diversified closed-end management investment company organized as a Delaware statutory trust on October 17, 2006 and registered under the Investment Company Act of 1940, as amended (the 1940 Act). Investment operations commenced on January 31, 2007.

The Fund’s primary investment objective is to achieve absolute returns in various market conditions without excessive risk of capital. The Fund will seek to achieve its objective by investing primarily in merger arbitrage transactions and, to a lesser extent, in corporate reorganizations involving stubs, spin-offs, and liquidations. The Fund will invest at least 80% of its assets, under normal market conditions, in securities or hedging arrangements relating to companies involved in corporate transactions or reorganizations, giving rise to the possibility of realizing gains upon or within relatively short periods of time after the completion of such transactions or reorganizations.

The principal risk associated with the Fund’s investment strategy is that certain of the proposed reorganizations in which the Fund invests may involve a longer time frame than originally contemplated or be renegotiated or terminated, in which case losses may be realized. The Fund invests all or a portion of its assets to seek short term capital appreciation. This can be expected to increase the portfolio turnover rate and cause increased brokerage commission costs.

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’s NAV and a magnified effect in its total return.

2. Significant Accounting Policies. 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.

New Accounting Pronouncements. To improve the effectiveness of fair value disclosure requirements, the Financial Accounting Standards Board recently issued Accounting Standard Update (ASU) 2018-13, Fair Value Measurement Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13), which adds, removes, and modifies certain aspects relating to fair value disclosure. ASU 2018-13 is effective for interim and annual reporting periods beginning after December 15, 2019; early adoption of the additions relating to ASU 2018-13 is not required, even if early adoption is elected for the removals and modifications under ASU 2018-13. Management has early adopted the removals and modifications set forth in ASU 2018-13 in these financial statements and has not early adopted the additions set forth in ASU 2018-13.

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

13

The GDL Fund

Notes to Financial Statements (Continued)

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 obligations 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 securities are valued using the closing bid price, 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. 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.

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.

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 Board’s determinations as to the fair value of investments).

14

The GDL Fund

Notes to Financial Statements (Continued)

A financial instrument’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’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of December 31, 2019 is as follows:

Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs	Total Market Value at 12/31/19
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Computer Software and Services	$ 9,693,123	$	86,652		—	$ 9,779,775
Financial Services	3,402,281		718,750		—	4,121,031
Health Care	60,329,649		3,435,000		—	63,764,649
Hotels and Gaming	16,360,226		—	$	167,194	16,527,420
Transportation	3,784,287		—		290,297	4,074,584
Other Industries (a)	140,177,441		—		—	140,177,441
Total Common Stocks	233,747,007		4,240,402		457,491	238,444,900
Closed-End Funds	—		8,611,250		—	8,611,250
Preferred Stocks (a)	69,244		—		—	69,244
Convertible Preferred Stocks (a)	47,500		—		—	47,500
Rights (a)	409,360		314,250		622,530	1,346,140
U.S. Government Obligations	—		92,260,294		—	92,260,294
TOTAL INVESTMENTS IN SECURITIES – ASSETS	$ 234,273,111	$	105,426,196	$	1,080,021	$ 340,779,328
LIABILITIES (Market Value):
Common Stocks Sold Short (a)	$ (16,930,174	)	—		—	$ (16,930,174	)
TOTAL INVESTMENTS IN SECURITIES - LIABILITIES	$ (16,930,174	)	—		—	$ (16,930,174	)
OTHER FINANCIAL INSTRUMENTS:*
ASSETS (Unrealized Appreciation):
EQUITY CONTRACTS
Contract for Difference Swap Agreements	—	$	1,089		—	$ 1,089
LIABILITIES (Unrealized Depreciation):
FORWARD CURRENCY EXCHANGE CONTRACTS
Forward Foreign Exchange Contracts	—		(331,611	)	—	(331,611	)
TOTAL OTHER FINANCIAL INSTRUMENTS	—	$	(330,522	)	—	$ (330,522	)

(a) Please refer to the Schedule of Investments (SOI) for the industry classifications of these portfolio holdings.

• Other financial instruments are derivatives reflected in the SOI, such as options, futures, forwards, and swaps, which may be valued at the unrealized appreciation/(depreciation) of the instrument.

During the year ended December 31, 2019 Fund did not have material transfers into or out of Level 3.

15

The GDL Fund

Notes to Financial Statements (Continued)

Additional Information to Evaluate Qualitative Information.

General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – 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.

Fair Valuation. 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. Among the factors to be considered to fair value a security are 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.

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.

Derivative Financial Instruments. 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, 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, 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.

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

16

The GDL Fund

Notes to Financial Statements (Continued)

the Schedule of Investments. Cash collateral, if any, pledged for the same purpose will be reported separately in the Statement of Assets and Liabilities.

The Fund’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.

The Fund’s derivative contracts held at December 31, 2019, if any, are not accounted for as hedging instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.

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 an equity contract for difference 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.

Unrealized gains related to swaps are reported as an asset and unrealized losses are reported as a liability in the Statement of Assets and Liabilities. The change in value of swaps, including the accrual of periodic amounts of interest to be paid or received on swaps, is reported as unrealized gain or loss in the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of swap agreements. Equity contract for difference swap agreements held at December 31, 2019 are reflected within the Schedule of Investments.

The Fund’s volume of activity in equity contract for difference swap agreements during the year ended December 31, 2019 had an average monthly notional amount of approximately $123,293.

At December 31, 2019, the value of equity contract for difference swap agreements can be found in the Statement of Assets and Liabilities under Assets, Unrealized appreciation on swap contracts. For the year ended December 31, 2019, the effect of equity contract for difference swap agreements can be found in the Statement of Operations under Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Swap Contracts, Forward Foreign Exchange Contracts, and Foreign Currency; Net realized gain on swap contracts; and Net change in unrealized appreciation/depreciation on swap contracts. For the year ended December 31, 2019, the effect of equity contract for difference swap agreements can be found in the Statement of Cash Flows under Net change in unrealized appreciation/depreciation on investments and swap contracts.

Forward Foreign Exchange Contracts. The Fund may engage in forward foreign exchange contracts for the purpose of hedging a specific transaction with respect to either the currency in which the transaction is denominated or another currency as deemed appropriate by the Adviser. Forward foreign exchange contracts are valued at the forward rate and are marked-to-market daily. The change in market value is included in unrealized appreciation/depreciation on foreign currency translations. When the contract is closed, the Fund

17

The GDL Fund

Notes to Financial Statements (Continued)

records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The use of forward foreign exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s portfolio securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign exchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. Forward foreign exchange contracts at December 31, 2019 are reflected within the Schedule of Investments. The Fund’s monthly volume of activity in forward foreign exchange contracts during the year ended December 31, 2019 had an average monthly notional amount of approximately $34,676,923.

At December 31, 2019, the value of forward foreign exchange contracts can be found in the Statement of Assets and Liabilities under Liabilities, Unrealized depreciation on forward foreign exchange contracts. For the year ended December 31, 2019, the effect of forward foreign exchange contracts can be found in the Statement of Operations under Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Swap Contracts, Forward Foreign Exchange Contracts, and Foreign Currency, within Net realized gain on forward foreign exchange contracts and Net change in unrealized appreciation/depreciation on forward foreign currency contracts. For the year ended December 31, 2019, the effect of forward foreign exchange contracts can be found in the Statement of Cash Flows under Net increase in unrealized depreciation on forward foreign exchange contracts.

At December 31, 2019, the Fund’s derivative assets and liabilities (by type) are as follows:

Assets
Equity Contract for Difference Swap Agreements	$1,089	—	$1,089
Gross Amounts of Recognized Liabilities Presented in the Statement of Assets and Liabilities	Gross Amounts Available for Offset in the Statement of Assets and Liabilities	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Liabilities
Forward Foreign Exchange Contracts	$331,611	—	$331,611

18

The GDL Fund

Notes to Financial Statements (Continued)

The following table presents the Fund’s derivative liabilities by counterparty net of the related collateral segregated by the Fund for the benefit of the counterparty as of December 31, 2019:

Assets and Liabilities
Net Amounts of
Assets Presented in
the Statement of	Securities Pledged as	Cash Collateral
Assets and Liabilities	Collateral	Received	Net Amount
Counterparty
The Goldman Sachs Group, Inc.	$1,089	—	—	$1,089
Net Amounts Not Offset in the Statement of
Assets and Liabilities
Net Amounts of
Liabilities Presented in
the Statement of	Securities Pledged as	Cash Collateral
Assets and Liabilities	Collateral	Pledged	Net Amount
Counterparty
State Street Bank and Trust Co.	$331,611	$331,611	—	—

Limitations on the Purchase and Sale of Futures Contracts, Certain Options, and Swaps. Subject to the guidelines of the Board, the Fund may engage in “commodity interest” 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 “commodity pool operator” with respect to the Fund. The Fund and the Adviser are therefore not subject to registration or regulation as a commodity 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) “bona fide hedging” transactions, as that term is defined and interpreted by the CFTC and its staff, without regard to the percentage of the Fund’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’s existing futures positions or swaps positions and option or swaption premiums would exceed 5% of the market value of the Fund’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’s commodity interest transactions would not exceed 100% of the market value of the Fund’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’s performance.

Securities Sold Short. 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

19

The GDL Fund

Notes to Financial Statements (Continued)

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. Securities sold short and details of collateral at December 31, 2019 are reflected within the Schedule of Investments. During the year ended December 31, 2019, the Fund incurred $100,688 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.

Series C Cumulative Preferred Shares. For financial reporting purposes only, the liquidation value of preferred shares that have a mandatory call date is classified as a liability within the Statement of Assets and Liabilities and the dividends paid on these preferred shares are included as a component of “Interest expense on preferred shares” within the Statement of Operations. Offering costs are amortized over the life of the preferred shares.

Investments in Other Investment Companies . 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’s expenses. For the year ended December 31, 2019, the Fund’s pro rata portion of the periodic expenses charged by the Acquired Funds was less than one basis point.

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 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.

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.

20

The GDL Fund

Notes to Financial Statements (Continued)

Restricted Securities. 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 December 31, 2019, the Fund did not hold restricted securities.

Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized gain or 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. 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.

Custodian Fee Credits and Interest Expense. When cash balances are maintained in the custody account, the Fund receives credits which are used to offset custodian fees. 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 “Custodian fee credits.” When cash balances are overdrawn, the Fund is charged an overdraft fee equal to 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, Interest expense.

Distributions to Shareholders. Distributions to common shareholders are recorded on the ex-dividend date. Distributions to shareholders 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. See Series C Cumulative Preferred Shares above for discussion of GAAP treatment. The distributions on these Preferred Shares are treated as dividends for tax purposes. These differences are also 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. Permanent differences were primarily due to short term gain netted against current year net operating loss, tax treatment of currency gains and losses, reclassification of capital gain on passive foreign investment companies and disallowed expenses. These reclassifications have no impact on the NAV of the Fund. For the year ended December 31, 2019, reclassifications were made to decrease paid-in capital by $67,774, with an offsetting adjustment to total accumulated losses.

Under the Fund’s current common share distribution policy, the Fund declared and paid quarterly distributions from net investment income, capital gains, and paid-in capital. The actual sources of the distribution are determined after the end of the year. To the extent such distributions were made from current earnings and profits, they

21

The GDL Fund

Notes to Financial Statements (Continued)

are considered ordinary income or long term capital gains. Distributions during the year may be made in excess of required distributions. That portion of a distribution that is paid-in capital (and is not sourced from net investment income or realized gains) should not be considered as the yield or total return on an investment in the Fund.

Distributions to shareholders of the Fund’s Series C Cumulative Preferred Shares are recorded on a daily basis and are determined as described in Note 5.

The tax character of distributions paid during the years ended December 31, 2019 and 2018 was as follows:

December 31, 2019	December 31, 2018
Common	Common
Distributions paid from:
Ordinary income (inclusive of short term capital gains)	$ 1,053,427	$ 4,414,307
Long term capital gain	—	1,978,906
Return of capital	5,358,221	496,010
Total distributions paid	$ 6,411,648	$ 6,889,223

Provision for Income Taxes. 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.

As of December 31, 2019, the components of accumulated earnings/losses on a tax basis were as follows:

| Net unrealized appreciation/(depreciation) on investments, swap contracts, forward foreign exchange

contracts, and foreign currency translations	$	)
Qualified late year loss deferral.	(773,569	)
Other temporary differences*	(72,890	)
Total	$ (4,509,172	)

• Other temporary differences are primarily due to adjustments on preferred share class distribution payables.

At December 31, 2019, the temporary differences between book basis and tax basis unrealized appreciation/depreciation were primarily due to deferral of losses from qualified late year losses, deferral of losses from wash sales for tax purposes and adjustments on the sale of securities no longer deemed passive foreign investment companies.

The following summarizes the tax cost of investments and the related net unrealized depreciation at December 31, 2019:

Cost/	Unrealized	Unrealized		Net Unrealized
(Proceeds)	Appreciation	Depreciation		Depreciation
Investments and derivative instruments	$ 327,508,568	$ 5,347,192	$ (9,006,606	)	$ (3,659,414	)

The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the

22

The GDL Fund

Notes to Financial Statements (Continued)

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 year ended December 31, 2019, the Fund did not incur any income tax, interest, or penalties. As of December 31, 2019, the Adviser has reviewed all open tax years and concluded that there was no impact to the Fund’s net assets or results of operations. The Fund’s federal and state tax returns for the prior three years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund’s tax positions to determine if adjustments to this conclusion are necessary.

3. Investment Advisory Agreement and Other Transactions. 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 base fee, computed weekly and paid monthly, equal on an annual basis to 0.50% of the value of the Fund’s average weekly managed assets. Managed assets consist of all of the assets of the Fund without deduction for borrowings, repurchase transactions, and other leveraging techniques, the liquidation value of any outstanding preferred shares, or other liabilities except for certain ordinary course expenses. In addition, the Fund may pay the Adviser an annual performance fee at a calendar year end if the Fund’s total return on its managed assets during the year exceeds the total return of the 3 Month U.S. Treasury Bill Index (the T-Bill Index) during the same period. For every four basis points that the Fund’s total return exceeds the T-Bill Index, the Fund will accrue weekly and pay annually a one basis point performance fee up to a maximum performance fee of 150 basis points. Under the performance fee arrangement, the annual rate of the total fees paid to the Adviser can range from 0.50% to 2.00% of the average weekly managed assets. During the year ended December 31, 2019, the Fund accrued a performance fee of $2,194,836 to the Adviser. In accordance with the Advisory Agreement, the Adviser provides a continuous investment program for the Fund’s portfolio and oversees the administration of all aspects of the Fund’s business and affairs.

During the year ended December 31, 2019, the Fund paid brokerage commissions on security trades of $363,202 to G.research, LLC, an affiliate of the Adviser.

During the year ended December 31, 2019, 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 $3,649.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Advisory Agreement. Under the sub-administration agreement with Bank of New York Mellon, the fees paid include the cost of calculating the Fund’s NAV. The Fund reimburses the Adviser for this service. During the year ended December 31, 2019, the Fund accrued $45,000 in accounting fees in the Statement of Operations.

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). For the year ended December 31, 2019, the Fund accrued $198,146 in payroll expenses in the Statement of Operations.

There was a reduction in the advisory fee paid to the Adviser relating to certain portfolio holdings, i.e., unsupervised assets, of the Fund with respect to which the Adviser transferred dispositive and voting control to the Fund’s Proxy Voting Committee. During the year ended December 31, 2019, the Fund’s Proxy Voting Committee

23

The GDL Fund

Notes to Financial Statements (Continued)

exercised control and discretion over all rights to vote or consent with respect to such securities, and the Adviser reduced its fee with respect to such securities by $5,864.

The Fund pays each Trustee who is not considered an affiliated person an annual retainer of $9,000 plus $2,000 for each Board meeting attended. Each Trustee is reimbursed by the Fund for any out of pocket expenses incurred in attending meetings. All Board committee members receive $1,000 per meeting attended, the Audit Committee Chairman receives an annual fee of $3,000, the Nominating Committee Chairman and the Lead Trustee each receives an annual fee of $2,000. A Trustee may receive a single meeting fee, allocated among the participating funds, for participation in certain meetings held on behalf of multiple funds. Trustees who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

4. Portfolio Securities. Purchases and sales of securities during the year ended December 31, 2019, other than short term securities and U.S. Government Obligations, aggregated $812,486,008 and $793,278,689, respectively. Purchases and sales of U.S. Government Obligations for the year ended December 31, 2019, aggregated $706,114,709 and $705,725,228, respectively.

5. Capital. 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 the Fund’s common shares on the open market when its shares are trading at a discount of 7.5% or more (or such other percentage as the Board may determine from time to time) from the NAV per share. During the year ended December 31, 2019, the Fund repurchased and retired 1,022,741 shares in the open market at an investment of $9,574,923 and an average discount of approximately 16.35% from its NAV. During the year ended December 31, 2018, the Fund repurchased and retired 912,392 shares in the open market at an investment of $8,381,646 and an average discount of approximately 18.20% from its NAV.

The Fund has an effective shelf registration authorizing the offering of an additional $200 million of common or preferred shares. As of December 31, 2019, after considering the preferred share rights offering, the Fund has approximately $70 million available for issuance under the current shelf registration.

The Fund’s Declaration of Trust, as amended, authorizes the issuance of an unlimited number of shares of $0.001 par value Preferred Shares. The Preferred Shares are senior to the common shares and result in the financial leveraging of the common shares. Such leveraging tends to magnify both the risks and opportunities to common shareholders.

During the year ended December 31, 2018, the Fund completed a rights offering whereby one transferable right was issued for each Series B Cumulative Puttable and Callable Preferred Share held as of February 14, 2018. On March 26, 2018, the Fund issued 2,624,025 Series C Cumulative Puttable and Callable Preferred Shares (Series C Preferred), liquidation value $50 and $0.001 par value per share, upon the submission of one right and either $50 or one share of Series B Preferred. In this regard, subscribing Series B Preferred shareholders submitted 1,720,681 Series B Preferred at the liquidation value of $50 per share totaling $86,034,050 to acquire the same number Series C Preferred. In total, the Fund issued 2,624,025 Series C Preferred with a liquidation value of $131,201,250 at a cost of $289,011. Other rights totaling 903,344 submitted $50 cash, total $45,167,200, to acquire the same number of Series C Preferred. At December 31, 2019, there were 2,624,025 Series C Preferred outstanding and accrued dividends amounted to $72,890.

24

The GDL Fund

Notes to Financial Statements (Continued)

On March 26, 2018, 652,848 Series B Preferred were put back to the Fund at the liquidation value of $32,642,400, plus accumulated and unpaid dividends. On May 29, 2018, the Fund called all remaining 250,496 outstanding Series B Preferred at the redemption value $50 per share totaling $12,524,800 plus accumulated and unpaid dividends to the redemption date of $0.2625 per share. The Fund retired all Series B Preferred.

The $50 Series B Preferred paid quarterly distributions in March, June, September, and December of each year. On January 23, 2015, the Board reset the annual dividend rate to 3.000% on the Series B Preferred for dividend periods through the call date, May 29, 2018.

The Series C Preferred paid distributions at an annualized rate of 4.000% on the $50 per share liquidation preference for the quarterly dividend periods ended on or prior to March 26, 2019 (Year 1). On February 22, 2019, the Fund’s Board announced a reset fixed dividend rate of 4.000% that will apply for the next eight quarterly dividend periods (Year 2 and Year 3). At least 30 days prior to the end of Year 3, the Fund’s Board will publicly announce a reset fixed dividend rate that will apply for all remaining quarterly dividend periods prior to the mandatory redemption date of March 26, 2025 for the Series C Preferred. The reset dividend rate will be neither less than an annualized rate of 4.000% nor greater than an annualized rate of 6.000%.

Dividends on the Preferred Shares are cumulative. The Fund is required by the 1940 Act and by the Fund’s Statement of Preferences to meet certain asset coverage tests with respect to the Preferred Shares. 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 C Preferred at the redemption price of $50 per share plus an amount equal to the accumulated and unpaid dividends whether or not declared on such shares in order to meet these requirements. Additionally, failure to meet the foregoing asset coverage requirements could restrict the Fund’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’s assets may vary in a manner unrelated to the fixed and variable rates, which could have either a beneficial or detrimental impact on net investment income and gains available to common shareholders.

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 stock as a single class. The 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’s outstanding voting stock 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’s outstanding voting securities are required to approve certain other actions, including changes in the Fund’s investment objectives or fundamental investment policies.

6. Indemnifications. The Fund enters into contracts that contain a variety of indemnifications. The Fund’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’s existing contracts and expects the risk of loss to be remote.

25

The GDL Fund

Notes to Financial Statements (Continued)

7. Subsequent Events. 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 other subsequent events requiring recognition or disclosure in the financial statements.

26

The GDL Fund

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

The GDL Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of The GDL Fund (the “Fund”), including the schedule of investments, as of December 31, 2019, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets attributable to common shareholders for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund at December 31, 2019, the results of its operations and its cash flows for the year then ended, the changes in its net assets attributable to common shareholders for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodians and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Gabelli/GAMCO Funds investment companies since 1992.

Philadelphia, Pennsylvania

February 27, 2020

27

The GDL Fund

Additional Fund Information (Unaudited)

The business and affairs of the Fund are managed under the direction of the Fund’s Board of Trustees. Information pertaining to the Trustees and officers of the Fund is set forth below. The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available without charge, upon request, by calling 800-GABELLI (800-422-3554) or by writing to The GDL Fund at One Corporate Center, Rye, NY 10580-1422.

Name, Position(s) — Address 1	Term of Office — and Length of	Number of Funds — in Fund Complex	Principal Occupation(s)	Other Directorships
and Age	Time Served 2	Overseen by Trustee	During Past Five Years	Held by Trustee 3
INTERESTED
TRUSTEES 4 :
Mario J. Gabelli, CFA Trustee and Chief Investment Officer Age: 77	Since 2006**	33	Chairman, Chief Executive Officer, and Chief Investment Officer– Value Portfolios of GAMCO Investors, Inc. and Chief Investment Officer– Value Portfolios of Gabelli Funds, LLC and GAMCO Asset Management Inc.;
Director/Trustee or Chief Investment Officer of other registered investment companies within the Gabelli/GAMCO Fund Complex; Chief Executive Officer of GGCP, Inc.; Executive Chairman of Associated Capital Group, Inc.	Director of Morgan Group Holdings, Inc. (holding company) (2001-2019); Chairman of the Board and Chief Executive Officer of LICT Corp. (multimedia and communication services company); Director of CIBL, Inc. (broadcasting and
wireless communications); Director of ICTC Group Inc. (communications) (2013-2018)
Edward T. Tokar Trustee Age: 72	Since 2006***	2	Private investor; Senior Managing Director of Beacon Trust Company (trust services) (2004- 2016); Chief Executive Officer of Allied Capital Management LLC (1977-2004); Vice President of Honeywell International Inc. (1977-2004)	Trustee of William & Mary Business School Foundation; Director of CH Energy Group (energy services) (2009-2013); Director, Teton Advisors, Inc. (financial services) (2008-2010)
INDEPENDENT TRUSTEES 5 :
Anthony S. Colavita 6,7	Since 2018***	18	Attorney, Anthony S. Colavita, P.C.	—
Trustee Age: 58
James P. Conn 6 Trustee Age: 81	Since 2006*	24	Former Managing Director and Chief Investment Officer of Financial Security Assurance Holdings Ltd. (1992-1998)	—
Clarence A. Davis Trustee Age: 78	Since 2006*	3	Former Chief Executive Officer of Nestor, Inc. (2007-2009); Former Chief Operating Officer (2000- 2005) and Chief Financial Officer (1999-2000) of the American Institute of Certified Public Accountants	Director of Telephone & Data Systems, Inc. (telephone services); Director of Pennichuck Corp. (water supply) (2009-2012)
Leslie F. Foley 8 Trustee Age: 51	Since 2017**	9	Attorney; Serves on the Boards of the Addison Gallery of American Art at Phillips Academy Andover, National Humanities Center, and Greenwich Country Day School; Vice President, Global Ethics & Compliance and Associate
General Counsel for News Corporation (2008-2010)	—
Michael J. Melarkey Trustee Age: 70	Since 2006**	21	Of Counsel in the law firm of McDonald Carano Wilson LLP; Partner in the law firm of Avansino, Melarkey, Knobel, Mulligan & McKenzie (1980- 2015)	Chairman of Southwest Gas Corporation (natural gas utility)
Salvatore J. Zizza 9 Trustee Age: 74	Since 2006***	31	President of Zizza & Associates Corp. (private holding company); President of Bergen Cove Realty Inc.; Chairman of Harbor Diversified, Inc. (pharmaceuticals) (2009-2018); Chairman of BAM (semiconductor and aerospace
manufacturing)(2000-2018); Chairman of Metropolitan Paper Recycling Inc. (recycling) (2005-2014)	Director and Chairman of Trans-Lux Corporation (business services); Director and Chairman of Harbor Diversified Inc. (pharmaceuticals) (2009-2018)

28

The GDL Fund

Additional Fund Information (Continued) (Unaudited)

Name, Position(s) Address 1 and Age	Term of Office and Length of Time Served 2	Principal Occupation(s) During Past Five Years
OFFICERS:
Bruce N. Alpert President Age: 68	Since 2006	Executive Vice President and Chief Operating Officer of Gabelli Funds, LLC since 1988; Officer of registered investment companies within the Gabelli/GAMCO Fund Complex; Senior Vice President of GAMCO Investors, Inc. since
2008
John C. Ball Treasurer Age: 43	Since 2017	Treasurer of funds within the Gabelli/GAMCO Fund Complex since 2017; Vice President and Assistant Treasurer of AMG Funds, 2014-2017; Vice President of State Street Corporation, 2007-2014
Agnes Mullady Vice President Age: 61	Since 2006	Officer of registered investment companies within the Gabelli/GAMCO Fund Complex since 2006; President and Chief Operating Officer of the Fund Division of Gabelli Funds, LLC since 2015; Chief Executive Officer of G.distributors, LLC
since 2010; Senior Vice President of GAMCO Investors, Inc. since 2009; Vice President of Gabelli Funds, LLC since 2007; Executive Vice President of Associated Capital Group, Inc. since 2016
Andrea R. Mango Secretary and Vice President Age: 47	Since 2013	Vice President of GAMCO Investors, Inc. since 2016; Counsel of Gabelli Funds, LLC since 2013; Secretary of registered investment companies within the Gabelli/GAMCO Fund Complex since 2013; Vice President of closed-end funds within the Gabelli/GAMCO Fund Complex since 2014
Richard J. Walz Chief Compliance Officer Age: 60	Since 2013	Chief Compliance Officer of registered investment companies within the Gabelli/GAMCO Fund Complex since 2013

29

The GDL Fund

Additional Fund Information (Continued) (Unaudited)

Name, Position(s) Address 1 and Age	Term of Office and Length of Time Served 2	Principal Occupation(s) During Past Five Years
Laurissa M. Martire Vice President and Ombudsman Age: 43	Since 2018	Vice President and/or Ombudsman of closed-end funds within the Gabelli/GAMCO Fund Complex; Senior Vice President (since 2019) and other positions (2003-2019) of GAMCO Investors, Inc.
Carter W. Austin Vice President Age: 53	Since 2006	Vice President and/or Ombudsman of closed-end funds within the Gabelli/GAMCO Fund Complex; Senior Vice President (since 2015) and Vice President (1996-2015) of Gabelli Funds, LLC
David I. Schachter Vice President Age: 66	Since 2006	Vice President and/or Ombudsman of closed-end funds within the Gabelli/GAMCO Fund Complex; Senior Vice President (since 2015) and Vice President (1999-2015) of G.research, LLC

1 Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted.

2 The Fund’s Board of Trustees is divided into three classes, each class having a term of three years. Each year the term of office of one class expires and the successor or successors elected to such class serve for a three year term. The three year term for each class expires as follows:

• Term expires at the Fund’s 2020 Annual Meeting of Shareholders or until their successors are duly elected and qualified.

** Term expires at the Fund’s 2021 Annual Meeting of Shareholders or until their successors are duly elected and qualified.

*** Term expires at the Fund’s 2022 Annual Meeting of Shareholders or until their successors are duly elected and qualified.

For officers, includes time served in prior officer positions with the Fund. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his or her successor is elected and qualified.

3 This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934, as amended, i.e., public companies, or other investment companies registered under the 1940 Act.

4 “Interested person” of the Fund as defined in the 1940 Act. Mr. Gabelli is considered an “interested person” because of his affiliation with the Gabelli Funds, LLC, which acts as the Fund’s investment adviser. Mr. Tokar is considered an “interested person” because of his son’s employment by an affiliate of the investment adviser.

5 Trustees who are not interested persons are considered “Independent” Trustees.

6 This Trustee is elected solely by and represents the shareholders of the preferred shares issued by this Fund.

7 Mr. Colavita’s father, Anthony J. Colavita, serves as a director of other funds in the Fund Complex.

8 Ms. Foley’s father, Frank J. Fahrenkopf, Jr., serves as a director of other funds in the Fund Complex.

9 Mr. Zizza is an independent director of Gabelli International Ltd., which may be deemed to be controlled by Mario J. Gabelli and/or affiliates and in that event would be deemed to be under common control with the Fund’s Adviser. On September 9, 2015, Mr. Zizza entered into a settlement with the SEC to resolve an inquiry relating to an alleged violation regarding the making of false statements or omissions to the accountants of a company concerning a related party transaction. The company in question is not an affiliate of, nor has any connection to, the Fund. Under the terms of the settlement, Mr. Zizza, without admitting or denying the SEC’s findings and allegation, paid $150,000 and agreed to cease and desist committing or causing any future violations of Rule 13b2-2 of the Securities Exchange Act of 1934, as amended. The Board has discussed this matter and has determined that it does not disqualify Mr. Zizza from serving as an Independent Trustee.

30

THE GDL FUND

INCOME TAX INFORMATION (Unaudited)

December 31, 2019

Cash Dividends and Distributions

Common Shares
03/22/19	03/15/19	$0.01670	—	$0.08330	$0.10000	$9.58820
06/21/19	06/14/19	0.01670	—	0.08330	0.10000	9.26850
09/23/19	09/16/19	0.01670	—	0.08330	0.10000	9.37960
12/20/19	12/13/19	0.01670	—	0.08330	0.10000	9.28210
		$0.06680	—	$0.33320	$0.40000
Series C Cumulative Preferred Shares
03/26/19	03/19/19	$0.50000	—	—	$0.50000
06/26/19	06/19/19	0.50000	—	—	0.50000
09/26/19	09/19/19	0.50000	—	—	0.50000
12/26/19	12/18/19	0.50000	—	—	0.50000
		$2.00000	—	—	$2.00000

A Form 1099-DIV has been mailed to all shareholders of record for the distributions mentioned above, setting forth specific amounts to be included in the 2019 tax returns. Ordinary distributions are composed of realized net short term capital gains. Ordinary income is reported in box 1a of Form 1099-DIV.

Corporate Dividends Received Deduction, Qualified Dividend Income, and U.S. Government Securities Income

The Fund paid to Common and Series C Cumulative Preferred shareholders ordinary income dividends composed of short term capital gains of $0.066 and $2.0000, respectively, per share in 2019. For the year ended December 31, 2019, 8.28% of the ordinary dividend qualified for the dividend received deduction available to corporations, 20.98% of the ordinary income distribution was qualified dividend income and 0.00% of the ordinary income distribution was qualified interest income. The Fund designates 100% of the short term capital gain dividends distributed during the year ended December 31, 2019 as qualified short term gain pursuant to the American Jobs creation Act of 2004. The percentage of U.S. Government securities held as of December 31, 2019 was 27.01%.

31

THE GDL FUND

INCOME TAX INFORMATION (Unaudited) (Continued)

December 31, 2019

Historical Distribution Summary

Common Shares
2019	—	$0.06680	—	$0.33320	$0.40000	$0.33320
2018	$0.26620	0.03960	$0.06540	0.02880	0.40000	0.02880
2017	—	—	—	0.58000	0.58000	0.58000
2016	0.01280	0.29120	0.28200	0.05400	0.64000	0.05400
2015	0.09700	0.18040	0.28120	0.08140	0.64000	0.08140
2014	0.16930	0.22920	0.17540	0.22610	0.80000	0.22160
2013	—	0.17300	0.11540	0.99160	1.28000	0.99160
2012	—	0.08840	—	1.19160	1.28000	1.19160
2011	0.00667	0.39930	0.00102	0.87302	1.28000	0.87302
2010	—	0.02364	—	1.25636	1.28000	1.25636
Series B Cumulative Preferred Shares
2018	$0.55500	$0.08250	—	—	$0.63750	—
2017	—	0.62900	$0.64780	$0.22320	1.50000	$0.22320
2016	0.03340	0.75580	0.71080	—	1.50000	—
2015	0.26220	0.48780	0.75000	—	1.50000	—
2014	0.49980	0.67680	0.32340	—	1.50000	—
2013	—	1.36280	0.13720	—	1.50000	—
2012	—	2.00000	—	—	2.00000	—
2011	0.03992	2.39135	0.00900	—	2.44028	—
Series C Cumulative Preferred Shares
2019	—	$2.00000	—	—	$2.00000	—
2018	$1.01810	0.15130	$0.33060	—	1.50000	—

(a) Taxable as ordinary income for Federal tax purposes.

(b) Non-taxable.

(c) Total amounts may differ due to rounding.

(d) Decrease in cost basis.

All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

32

The GDL Fund

Annual Approval of Continuance of Investment Advisory Agreement (Unaudited)

During the six months ended December 31, 2019, the Board of Trustees of the Trust approved the continuation of the investment advisory agreement with the Adviser for the Trust on the basis of the recommendation by the trustees (the “Independent Board Members”) who are not “interested persons” of the Trust. The following paragraphs summarize the material information and factors considered by the Independent Board Members as well as their conclusions relative to such factors.

1. Nature, Extent, and Quality of Services. The Independent Board Members considered information regarding the portfolio manager, the depth of the analyst pool available to the Adviser, the scope of services provided by the Adviser, and the absence of significant service problems reported to the Board. The Independent Board Members noted the experience, length of service, and reputation of the portfolio management team in the merger arbitrage area.

2. Investment Performance. The Independent Board Members noted that the performance fulcrum point for the Adviser to either earn incentive compensation or give up a portion of its compensation was the three month Treasury Index plus 300 basis points (the “Fulcrum Point”). The Independent Board Members recognized that the Fund had underperformed the Fulcrum Point for the one year period ended September 30, 2019. The Independent Board Members also reviewed information regarding the investment performance of the Fund over one, three, five, and ten year periods (as of September 30, 2019) in comparison with a group of event driven funds selected by the Adviser, which were primarily open-end funds, and noted that there were no closely comparable closed-end funds. The Fund’s performance was below average for the one, three, five, and ten year periods.

3. Profitability. The Independent Board Members reviewed summary data regarding the profitability of the Fund to the Adviser and also noted that the fulcrum fee was designed so that the Adviser would likely experience higher than average profitability if the Fund substantially outperformed the T-Bill Index and that the performance to date has resulted in fee rates that have varied from the lowest fee under the formula to the highest.

4. Economies of Scale. The Independent Board Members discussed the major elements of the Adviser’s cost structure, the relationship of those elements to potential economies of scale, and reviewed data provided by the Adviser, noting that meaningful economies of scale could not occur in the absence of very substantial secondary offerings.

5. Sharing of Economies of Scale. The Independent Board Members noted that the investment management fee for the Fund did not take into account any potential economies of scale.

6. Service and Cost Comparisons. The Independent Board Members reviewed the Fund’s expense ratios and found them to be below average within the group. The Independent Board Members were presented with, but did not consider to be material to their decision, various information comparing the advisory fee with the fee for other types of accounts managed by the Adviser.

Conclusions. The Independent Board Members concluded that the Fund enjoyed highly experienced portfolio management services, good ancillary services, and acceptable performance. The Independent Board Members determined that the reference index chosen for the fulcrum fee structure was appropriate inasmuch as arbitrage performance is often measured against risk free returns, that the rate of profit sharing built into the formula was fair, that the maximum fee was not unreasonable (particularly in light of the requirement that the higher returns necessary for higher fee levels must be earned net of the higher fees) and that the one year measuring period was sufficient and consistent with the short term nature of the Fund’s investment program. The Independent

33

The GDL Fund

Annual Approval of Continuance of Investment Advisory Agreement (Unaudited) (Continued)

Board Members concluded that the profitability of the Fund to the Adviser was reasonable in view of the performance necessary to achieve any particular level of profitability and that potential economies of scale and potential additional profit to the Adviser and its affiliates from portfolio execution services were not a significant factor in their thinking. On the basis of the foregoing and without assigning particular weight to any single conclusion, the Independent Board Members determined to recommend approval of the Advisory Agreement to the full Board of Trustees.

Based on a consideration of all these factors in their totality, the Board Members, including all of the Independent Board Members, determined that the Fund’s advisory fee was fair and reasonable with respect to the quality of services provided and in light of the other factors described above that the Board deemed relevant. Accordingly, the Board Members determined to approve the continuation of the Fund’s Advisory Agreement. The Board Members based their decision on evaluations of all these factors as a whole and did not consider any one factor as all important or controlling.

34

THE GDL FUND

One Corporate Center

Rye, NY 10580-1422

Portfolio Management Team Biographies

Mario J. Gabelli, CFA, is Chairman, Chief Executive Officer, and Chief Investment Officer - Value Portfolios of GAMCO Investors, Inc. that he founded in 1977, and Chief Investment Officer - Value Portfolios of Gabelli Funds, LLC and GAMCO Asset Management Inc. He is also Executive Chairman of Associated Capital Group, Inc. Mr. Gabelli is a summa cum laude graduate of Fordham University and holds an MBA degree from Columbia Business School and Honorary Doctorates from Fordham University and Roger Williams University.

Regina M. Pitaro is a Managing Director and Head of Institutional Marketing at GAMCO Investors, Inc. Ms. Pitaro joined the firm in 1984 and coordinates the organization’s focus with consultants and plan sponsors. She also serves as a Managing Director and Director of GAMCO Asset Management, Inc., and serves as a portfolio manager for Gabelli Funds, LLC. Ms. Pitaro holds an MBA in Finance from the Columbia University Graduate School of Business, a Master’s degree in Anthropology from Loyola University of Chicago, and a Bachelor’s degree from Fordham University.

Willis M. Brucker is a portfolio manager and global merger arbitrage analyst with 15 years’ experience analyzing and investing in global merger transactions and special situations. He joined GAMCO Investors, Inc. in 2004 as a research analyst after graduating from the Boston College Carroll School of Management with a BS in Finance and Corporate Reporting and Analysis.

We have separated the portfolio managers’ 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 content of the portfolio managers’ commentary is unrestricted. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabelli.com.

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 www.gabelli.com.

The NASDAQ symbol for the Net Asset Value is “XGDLX.”

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’s shares are trading at a discount of 7.5% 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.

THE GDL FUND

One Corporate Center

Rye, NY 10580-1422

t 800-GABELLI (800-422-3554)

f 914-921-5118

e info@gabelli.com

GABELLI.COM

TRUSTEES Mario J. Gabelli, CFA Chairman & Chief Executive Officer, GAMCO Investors, Inc. Executive Chairman, Associated Capital Group Inc. Anthony S. Colavita Attorney, Anthony S. Colavita, P.C. James P. Conn Former Managing Director & Chief Investment Officer, Financial Security Assurance Holdings Ltd. Clarence A. Davis Former Chief Executive Officer, Nestor, Inc. Leslie F. Foley Attorney Michael J. Melarkey Of Counsel, McDonald Carano Wilson LLP Edward T. Tokar Former Chief Executive Officer of Allied Capital Management, LLC, and Vice President of Honeywell International, Inc. Salvatore J. Zizza Chairman, Zizza & Associates Corp.

OFFICERS Bruce N. Alpert President John C. Ball Treasurer Agnes Mullady Vice President Andrea R. Mango Secretary & Vice President Richard J. Walz Chief Compliance Officer Laurissa M. Martire Vice President& Ombudsman Carter W. Austin Vice President David I. Schachter Vice President INVESTMENT ADVISER Gabelli Funds, LLC One Corporate Center Rye, New York 10580-1422 CUSTODIAN The Bank of New York Mellon COUNSEL Skadden, Arps, Slate, Meagher & Flom LLP TRANSFER AGENT AND REGISTRAR American Stock Transfer and Trust Company

GDL Q4/2019

Item 2. Code of Ethics.

(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s Board of Directors has determined that Michael J. Melarkey is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $24,800 for 2018 and $24,800 for 2019.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2018 and $0 for 2019.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $3,800 for 2018 and $3,800 for 2019. Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $1,148 for 2018 and $2,439 for 2019. The fees relate to Passive Foreign Investment Company identification database subscription fees billed on an annual basis.

(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to the Adviser, Gabelli Funds, LLC, and any affiliate of Gabelli Funds, LLC (“Gabelli”) that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement related directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to the other persons (other than Gabelli or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (ii) such services are promptly brought to the attention of the Committee and approved by the Committee or Chairperson prior to the completion of the audit.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) N/A

(c) 0%

(d) 0%

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $43,421 for 2018 and $53,598 for 2019.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

(a) The registrant has a separately designated audit committee consisting of the following members: Clarence A. Davis, Michael J. Melarkey, Salvatore J. Zizza.

Item 6. Investments.

(a) 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.

(b) Not applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

ITEM 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The Proxy Voting Policies are attached herewith.

SECTION HH

The Voting of Proxies on Behalf of Clients

(This section pertains to all affiliated SEC registered investment advisers)

Rule 206(4)-6 under the Investment Advisers Act of 1940 and Rule 30b1-4 under the Investment Company Act of 1940 require investment advisers to adopt written policies and procedures governing the voting of proxies on behalf of their clients.

These procedures will be used by GAMCO Asset Management Inc., Gabelli Funds, LLC, Gabelli & Company Investment Advisers, Inc., and Teton Advisors, Inc. (collectively, the “Advisers”) to determine how to vote proxies relating to portfolio securities held by their clients, including the procedures that the Advisers use when a vote presents a conflict between the interests of the shareholders of an investment company managed by one of the Advisers, on the one hand, and those of the Advisers; the principal underwriter; or any affiliated person of the investment company, the Advisers, or the principal underwriter. These procedures will not apply where the Advisers do not have voting discretion or where the Advisers have agreed to with a client to vote the client’s proxies in accordance with specific guidelines or procedures supplied by the client (to the extent permitted by ERISA).

I. Proxy Voting Committee

The Proxy Voting Committee was originally formed in April 1989 for the purpose of formulating guidelines and reviewing proxy statements within the parameters set by the substantive proxy voting guidelines originally published in 1988 and updated periodically, a copy of which are appended as Exhibit A. The Committee will include representatives of Research, Administration, Legal, and the Advisers. Additional or replacement members of the Committee will be nominated by the Chairman and voted upon by the entire Committee.

Meetings are held on an as needed basis to form views on the manner in which the Advisers should vote proxies on behalf of their clients.

In general, the Director of Proxy Voting Services, using the Proxy Guidelines, and the analysts of GAMCO Investors, Inc. (“GBL”), will determine how to vote on each issue. For non-controversial matters, the Director of Proxy Voting Services may vote the proxy if the vote is: (1) consistent with the recommendations of the issuer’s Board of Directors and not contrary to the Proxy Guidelines; (2) consistent with the recommendations of the issuer’s Board of Directors and is a non-controversial issue not covered by the Proxy Guidelines; or (3) the vote is contrary to the recommendations of the Board of Directors but is consistent with the Proxy Guidelines. In those instances, the Director of Proxy Voting Services or the Chairman of the Committee may sign and date the proxy statement indicating how each issue will be voted.

Revised: October 23, 2019 HH-1 INTERNAL USE ONLY

All matters identified by the Chairman of the Committee, the Director of Proxy Voting Services or the Legal Department as controversial, taking into account the recommendations of the analysts of GBL, will be presented to the Proxy Voting Committee. If the Chairman of the Committee, the Director of Proxy Voting Services or the Legal Department has identified the matter as one that (1) is controversial; (2) would benefit from deliberation by the Proxy Voting Committee; or (3) may give rise to a conflict of interest between the Advisers and their clients, the Chairman of the Committee will initially determine what vote to recommend that the Advisers should cast and the matter will go before the Committee.

A. Conflicts of Interest.

The Advisers have implemented these proxy voting procedures in order to prevent conflicts of interest from influencing their proxy voting decisions. By following the Proxy Guidelines and the analysts of GBL, the Advisers are able to avoid, wherever possible, the influence of potential conflicts of interest. Nevertheless, circumstances may arise in which one or more of the Advisers are faced with a conflict of interest or the appearance of a conflict of interest in connection with its vote. In general, a conflict of interest may arise when an Adviser knowingly does business with an issuer, and may appear to have a material conflict between its own interests and the interests of the shareholders of an investment company managed by one of the Advisers regarding how the proxy is to be voted. A conflict also may exist when an Adviser has actual knowledge of a material business arrangement between an issuer and an affiliate of the Adviser.

In practical terms, a conflict of interest may arise, for example, when a proxy is voted for a company that is a client of one of the Advisers, such as GAMCO Asset Management Inc. A conflict also may arise when a client of one of the Advisers has made a shareholder proposal in a proxy to be voted upon by one or more of the Advisers. The Director of Proxy Voting Services, together with the Legal Department, will scrutinize all proxies for these or other situations that may give rise to a conflict of interest with respect to the voting of proxies.

B. Operation of Proxy Voting Committee

For matters submitted to the Committee, each member of the Committee will receive, prior to the meeting, a copy of the proxy statement, a summary of any views provided by the Chief Investment Officer and any recommendations by GBL analysts. The Chief Investment Officer or the GBL analysts may be invited to present their viewpoints. If the Director of Proxy Voting Services or the Legal Department believe that the matter before the committee is one with respect to which a conflict of interest may exist between the Advisers and their clients, counsel may provide an

Revised: October 23, 2019 HH-2 INTERNAL USE ONLY

opinion to the Committee concerning the conflict. If the matter is one in which the interests of the clients of one or more of the Advisers may diverge, counsel may so advise and the Committee may make different recommendations as to different clients. For any matters where the recommendation may trigger appraisal rights, counsel may provide an opinion concerning the likely risks and merits of such an appraisal action.

Each matter submitted to the Committee will be determined by the vote of a majority of the members present at the meeting. Should the vote concerning one or more recommendations be tied in a vote of the Committee, the Chairman of the Committee will cast the deciding vote. The Committee will notify the proxy department of its decisions and the proxies will be voted accordingly.

Although the Proxy Guidelines express the normal preferences for the voting of any shares not covered by a contrary investment guideline provided by the client, the Committee is not bound by the preferences set forth in the Proxy Guidelines and will review each matter on its own merits. The Advisers subscribe to Institutional Shareholder Services Inc (“ISS”) and Glass Lewis & Co., LLC (“Glass Lewis”), which supply current information on companies, matters being voted on, regulations, trends in proxy voting and information on corporate governance issues. The information provided by ISS and GL is for informational purposes only.

If the vote cast either by the analyst or as a result of the deliberations of the Proxy Voting Committee runs contrary to the recommendation of the Board of Directors of the issuer, the matter may be referred to legal counsel to determine whether an amendment to the most recently filed Schedule 13D is appropriate.

II. Social Issues and Other Client Guidelines

If a client has provided and the Advisers have accepted special instructions relating to the voting of proxies, they should be noted in the client’s account file and forwarded to the proxy department. This is the responsibility of the investment professional or sales assistant for the client. In accordance with Department of Labor guidelines, the Advisers’ policy is to vote on behalf of ERISA accounts in the best interest of the plan participants with regard to social issues that carry an economic impact. Where an account is not governed by ERISA, the Advisers will vote shares held on behalf of the client in a manner consistent with any individual investment/voting guidelines provided by the client. Otherwise the Advisers may abstain with respect to those shares.

Specific to the Gabelli ESG Fund, the Proxy Voting Committee will rely on the advice of the portfolio managers of the Gabelli ESG Fund to provide voting recommendations on the securities held in the portfolio.

III. Client Retention of Voting Rights

Revised: October 23, 2019 HH-3 INTERNAL USE ONLY

If a client chooses to retain the right to vote proxies or if there is any change in voting authority, the following should be notified by the investment professional or sales assistant for the client.

• Operations

• Proxy Department

• Investment professional assigned to the account

In the event that the Board of Directors (or a Committee thereof) of one or more of the investment companies managed by one of the Advisers has retained direct voting control over any security, the Proxy Voting Department will provide each Board Member (or Committee member) with a copy of the proxy statement together with any other relevant information.

IV. Proxies of Certain Non-U.S. Issuers

Proxy voting in certain countries requires “share-blocking.” Shareholders wishing to vote their proxies must deposit their shares shortly before the date of the meeting with a designated depository. During the period in which the shares are held with a depository, shares that will be voted at the meeting cannot be sold until the meeting has taken place and the shares are returned to the clients’ custodian. Absent a compelling reason to the contrary, the Advisers believe that the benefit to the client of exercising the vote is outweighed by the cost of voting and therefore, the Advisers will not typically vote the securities of non-U.S. issuers that require share-blocking.

In addition, voting proxies of issuers in non-U.S. markets may also give rise to a number of administrative issues or give rise to circumstances under which voting would impose a cost (real or implied) on its client which may cause the Advisers to abstain from voting such proxies. For example, the Advisers may receive the notices for shareholder meetings without adequate time to consider the proposals in the proxy or after the cut-off date for voting. Other markets require the Advisers to provide local agents with power of attorney prior to implementing their respective voting instructions on the proxy. Other markets may require disclosure of certain ownership information in excess of what is required to vote in the U.S. market. Although it is the Advisers’ policies to vote the proxies for its clients for which they have proxy voting authority, in the case of issuers in non-U.S. markets, we vote client proxies on a best efforts basis.

V. Voting Records

The Proxy Voting Department will retain a record of matters voted upon by the Advisers for their clients. The Advisers will supply information on how they voted a client’s proxy upon request from the client.

The complete voting records for each registered investment company (the “Fund”) that is managed by the Advisers will be filed on Form N-PX for the twelve months ended June 30th, no later than August 31st of each year. A description of the

Revised: October 23, 2019 HH-4 INTERNAL USE ONLY

Fund’s proxy voting policies, procedures, and how the Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to Gabelli Funds, LLC at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC’s website at www.sec.gov.

The Advisers’ proxy voting records will be retained in compliance with Rule 204-2 under the Investment Advisers Act.

VI. Voting Procedures

1. Custodian banks, outside brokerage firms and clearing firms are responsible for forwarding proxies directly to the Advisers.

Proxies are received in one of two forms:

● Shareholder Vote Instruction Forms (“VIFs”) - Issued by Broadridge Financial Solutions, Inc. (“Broadridge”). Broadridge is an outside service contracted by the various institutions to issue proxy materials.

● Proxy cards which may be voted directly.

1. Upon receipt of the proxy, the number of shares each form represents is logged into the proxy system, electronically or manually, according to security.

2. Upon receipt of instructions from the proxy committee, the votes are cast and recorded for each account.

Records have been maintained on the ProxyEdge system.

ProxyEdge records include:

Security Name and CUSIP Number

Date and Type of Meeting (Annual, Special, Contest)

Directors’ Recommendation (if any)

How the Adviser voted for the client on item

1. VIFs are kept alphabetically by security. Records for the current proxy season are located in the Proxy Voting Department office. In preparation for the upcoming season, files are transferred to an offsite storage facility during January/February.

2. If a proxy card or VIF is received too late to be voted in the conventional matter, every attempt is made to vote including:

● When a solicitor has been retained, the solicitor is called. At the solicitor’s direction, the proxy is faxed or sent electronically.

Revised: October 23, 2019 HH-5 INTERNAL USE ONLY

● In some circumstances VIFs can be faxed or sent electronically to Broadridge up until the time of the meeting.

1. In the case of a proxy contest, records are maintained for each opposing entity.

2. Voting in Person

a) At times it may be necessary to vote the shares in person. In this case, a “legal proxy” is obtained in the following manner:

● Banks and brokerage firms using the services at Broadridge:

Broadridge is notified that we wish to vote in person. Broadridge issues individual legal proxies and sends them back via email or overnight (or the Adviser can pay messenger charges). A lead-time of at least two weeks prior to the meeting is needed to do this. Alternatively, the procedures detailed below for banks not using Broadridge may be implemented.

● Banks and brokerage firms issuing proxies directly:

The bank is called and/or faxed and a legal proxy is requested.

All legal proxies should appoint:

“Representative of [Adviser name] with full power of substitution.”

b) The legal proxies are given to the person attending the meeting along with the limited power of attorney.

Revised: October 23, 2019 HH-6 INTERNAL USE ONLY

Appendix A

Proxy Guidelines

PROXY VOTING GUIDELINES

General Policy Statement

It is the policy of GAMCO Investors, Inc, and its affiliated advisers (collectively “the Advisers”) to vote in the best economic interests of our clients. As we state in our Magna Carta of Shareholders Rights, established in May 1988, we are neither for nor against management. We are for shareholders.

At our first proxy committee meeting in 1989, it was decided that each proxy statement should be evaluated on its own merits within the framework first established by our Magna Carta of Shareholders Rights. The attached guidelines serve to enhance that broad framework.

We do not consider any issue routine. We take into consideration all of our research on the company, its directors, and their short and long-term goals for the company. In cases where issues that we generally do not approve of are combined with other issues, the negative aspects of the issues will be factored into the evaluation of the overall proposals but will not necessitate a vote in opposition to the overall proposals.

Board of Directors

We do not consider the election of the Board of Directors a routine issue. Each slate of directors is evaluated on a case-by-case basis.

Factors taken into consideration include:

● Historical responsiveness to shareholders

This may include such areas as:

-Paying greenmail

-Failure to adopt shareholder resolutions receiving a majority of shareholder votes

● Qualifications

● Nominating committee in place

● Number of outside directors on the board

● Attendance at meetings

● Overall performance

Selection of Auditors

Revised: October 23, 2019 HH-7 INTERNAL USE ONLY

In general, we support the Board of Directors’ recommendation for auditors.

Blank Check Preferred Stock

We oppose the issuance of blank check preferred stock.

Blank check preferred stock allows the company to issue stock and establish dividends, voting rights, etc. without further shareholder approval.

Classified Board

A classified board is one where the directors are divided into classes with overlapping terms. A different class is elected at each annual meeting.

While a classified board promotes continuity of directors facilitating long range planning, we feel directors should be accountable to shareholders on an annual basis. We will look at this proposal on a case-by-case basis taking into consideration the board’s historical responsiveness to the rights of shareholders.

Where a classified board is in place we will generally not support attempts to change to an annually elected board.

When an annually elected board is in place, we generally will not support attempts to classify the board.

Increase Authorized Common Stock

The request to increase the amount of outstanding shares is considered on a case-by-case basis.

Factors taken into consideration include:

● Future use of additional shares

-Stock split

-Stock option or other executive compensation plan

-Finance growth of company/strengthen balance sheet

-Aid in restructuring

-Improve credit rating

-Implement a poison pill or other takeover defense

● Amount of stock currently authorized but not yet issued or reserved for stock option plans

Revised: October 23, 2019 HH-8 INTERNAL USE ONLY

● Amount of additional stock to be authorized and its dilutive effect

We will support this proposal if a detailed and verifiable plan for the use of the additional shares is contained in the proxy statement.

Confidential Ballot

We support the idea that a shareholder’s identity and vote should be treated with confidentiality.

However, we look at this issue on a case-by-case basis.

In order to promote confidentiality in the voting process, we endorse the use of independent Inspectors of Election.

Cumulative Voting

In general, we support cumulative voting.

Cumulative voting is a process by which a shareholder may multiply the number of directors being elected by the number of shares held on record date and cast the total number for one candidate or allocate the voting among two or more candidates.

Where cumulative voting is in place, we will vote against any proposal to rescind this shareholder right.

Cumulative voting may result in a minority block of stock gaining representation on the board. When a proposal is made to institute cumulative voting, the proposal will be reviewed on a case-by-case basis. While we feel that each board member should represent all shareholders, cumulative voting provides minority shareholders an opportunity to have their views represented.

Director Liability and Indemnification

We support efforts to attract the best possible directors by limiting the liability and increasing the indemnification of directors, except in the case of insider dealing.

Revised: October 23, 2019 HH-9 INTERNAL USE ONLY

Equal Access to the Proxy

The SEC’s rules provide for shareholder resolutions. However, the resolutions are limited in scope and there is a 500 word limit on proponents’ written arguments. Management has no such limitations. While we support equal access to the proxy, we would look at such variables as length of time required to respond, percentage of ownership, etc.

Fair Price Provisions

Charter provisions requiring a bidder to pay all shareholders a fair price are intended to prevent two-tier tender offers that may be abusive. Typically, these provisions do not apply to board-approved transactions.

We support fair price provisions because we feel all shareholders should be entitled to receive the same benefits.

Reviewed on a case-by-case basis.

Golden Parachutes

Golden parachutes are severance payments to top executives who are terminated or demoted after a takeover.

We support any proposal that would assure management of its own welfare so that they may continue to make decisions in the best interest of the company and shareholders even if the decision results in them losing their job. We do not, however, support excessive golden parachutes. Therefore, each proposal will be decided on a case-by- case basis.

Anti-Greenmail Proposals

We do not support greenmail. An offer extended to one shareholder should be extended to all shareholders equally across the board.

Revised: October 23, 2019 HH-10 INTERNAL USE ONLY

Limit Shareholders’ Rights to Call Special Meetings

We support the right of shareholders to call a special meeting.

Reviewed on a case-by-case basis.

Consideration of Nonfinancial Effects of a Merger

This proposal releases the directors from only looking at the financial effects of a merger and allows them the opportunity to consider the merger’s effects on employees, the community, and consumers.

As a fiduciary, we are obligated to vote in the best economic interests of our clients. In general, this proposal does not allow us to do that. Therefore, we generally cannot support this proposal.

Reviewed on a case-by-case basis.

Mergers, Buyouts, Spin-Offs, Restructurings

Each of the above is considered on a case-by-case basis. According to the Department of Labor, we are not required to vote for a proposal simply because the offering price is at a premium to the current market price. We may take into consideration the long term interests of the shareholders.

Military Issues

Shareholder proposals regarding military production must be evaluated on a purely economic set of criteria for our ERISA clients. As such, decisions will be made on a case-by-case basis.

In voting on this proposal for our non-ERISA clients, we will vote according to the client’s direction when applicable. Where no direction has been given, we will vote in the best economic interests of our clients. It is not our duty to impose our social judgment on others.

Northern Ireland

Shareholder proposals requesting the signing of the MacBride principles for the purpose of countering the discrimination of Catholics in hiring practices must be evaluated on a purely economic set of criteria for our ERISA clients. As such, decisions will be made on a case-by-case basis.

Revised: October 23, 2019 HH-11 INTERNAL USE ONLY

In voting on this proposal for our non-ERISA clients, we will vote according to client direction when applicable. Where no direction has been given, we will vote in the best economic interests of our clients. It is not our duty to impose our social judgment on others.

Opt Out of State Anti-Takeover Law

This shareholder proposal requests that a company opt out of the coverage of the state’s takeover statutes. Example: Delaware law requires that a buyer must acquire at least 85% of the company’s stock before the buyer can exercise control unless the board approves.

We consider this on a case-by-case basis. Our decision will be based on the following:

● State of Incorporation

● Management history of responsiveness to shareholders

● Other mitigating factors

Poison Pill

In general, we do not endorse poison pills.

In certain cases where management has a history of being responsive to the needs of shareholders and the stock is very liquid, we will reconsider this position.

Reincorporation

Generally, we support reincorporation for well-defined business reasons. We oppose reincorporation if proposed solely for the purpose of reincorporating in a state with more stringent anti-takeover statutes that may negatively impact the value of the stock.

Stock Incentive Plans

Director and Employee Stock incentive plans are an excellent way to attract, hold and motivate directors and employees. However, each incentive plan must be evaluated on its own merits, taking into consideration the following:

● Dilution of voting power or earnings per share by more than 10%.

● Kind of stock to be awarded, to whom, when and how much.

● Method of payment.

● Amount of stock already authorized but not yet issued under existing stock plans.

● The successful steps taken by management to maximize shareholder value.

Revised: October 23, 2019 HH-12 INTERNAL USE ONLY

Supermajority Vote Requirements

Supermajority vote requirements in a company’s charter or bylaws require a level of voting approval in excess of a simple majority of the outstanding shares. In general, we oppose supermajority-voting requirements. Supermajority requirements often exceed the average level of shareholder participation. We support proposals’ approvals by a simple majority of the shares voting.

Reviewed on a case-by-case basis.

Limit Shareholders Right to Act by Written Consent

Written consent allows shareholders to initiate and carry on a shareholder action without having to wait until the next annual meeting or to call a special meeting. It permits action to be taken by the written consent of the same percentage of the shares that would be required to effect proposed action at a shareholder meeting.

Reviewed on a case-by-case basis.

“Say-on-Pay” / “Say-When-on-Pay” / “Say-on-Golden-Parachutes”

Required under the Dodd-Frank Act; these proposals are non-binding advisory votes on executive compensation. We will generally vote with the Board of Directors’ recommendation(s) on advisory votes on executive compensation (“Say-on-Pay”), advisory votes on the frequency of voting on executive compensation (“Say-When-on-Pay”) and advisory votes relating to extraordinary transaction executive compensation (“Say-on-Golden-Parachutes”). In those instances when we believe that it is in our clients’ best interest, we may abstain or vote against executive compensation and/or the frequency of votes on executive compensation and/or extraordinary transaction executive compensation advisory votes.

Proxy Access

Proxy access is a tool used to attempt to promote board accountability by requiring that a company’s proxy materials contain not only the names of management nominees, but also any candidates nominated by long-term shareholders holding at least a certain stake in the company. We will review proposals regarding proxy access on a case-by-case basis taking into account the provisions of the proposal, the company’s current governance structure, the successful steps taken by management to maximize shareholder value, as well as other applicable factors.

Revised: October 23, 2019 HH-13 INTERNAL USE ONLY

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

PORTFOLIO MANAGER

Mario J. Gabelli , CFA, is Chairman, Chief Executive Officer, and Chief Investment Officer – Value Portfolios of GAMCO Investors, Inc. that he founded in 1977, and Chief Investment Officer – Value Portfolios of Gabelli Funds, LLC and GAMCO Asset Management Inc. He is also Executive Chairman of the Board of Directors of Associated Capital Group, Inc. Mr. Gabelli is a summa cum laude graduate of Fordham University and holds an MBA degree from Columbia Business School, and Honorary Doctorates from Fordham University and Roger Williams University.

Willis M. Brucker is a portfolio manager and global merger arbitrage analyst with 15 years’ experience analyzing and investing in global merger transactions and special situations. He joined GAMCO Investors, Inc. in 2004 as a research analyst after graduating from the Boston College Carroll School of Management with a BS in Finance and Corporate Reporting and Analysis.

MANAGEMENT OF OTHER ACCOUNTS

The table below shows the number of other accounts managed by Mario J. Gabelli and the total assets in each of the following categories: registered investment companies, other paid investment vehicles and other accounts as of December 31, 2019. For each category, the table also shows the number of accounts and the total assets in the accounts with respect to which the advisory fee is based on account performance.

| Name of Portfolio Manager | Type of Accounts | Total No. of Accounts Managed | Total Assets | No. of Accounts where Advisory Fee is Based on Performance | Total Assets in Accounts where Advisory Fee is Based on Performance | | --- | --- | --- | --- | --- | --- | | Mario J. Gabelli, CFA | Registered Investment Companies: | 24 | $19.5 billion | 4 | $5.3 billion | | | Other Pooled Investment Vehicles: | 11 | $1.1 billion | 8 | $904.3 million | | | Other Accounts: | 985 | $8.1 billion | 1 | $238.5 million | | Willis M. Brucker | Registered Investment Companies: | 0 | $0 | 0 | $0 | | | Other Pooled Investment Vehicles: | 0 | $0 | 0 | $0 | | | Other Accounts: | 1 | $0.5 million | 0 | $0 |

POTENTIAL CONFLICTS OF INTEREST

As reflected above, Mr. Gabelli manages accounts in addition to the Fund. Actual or apparent conflicts of interest may arise when a Portfolio Manager also has day-to-day management responsibilities with respect to one or more other accounts. These potential conflicts include:

ALLOCATION OF LIMITED TIME AND ATTENTION. As indicated above, Mr. Gabelli manages multiple accounts. As a result, he will not be able to devote all of his time to management of the Fund. Mr. Gabelli, therefore,

may not be able to formulate as complete a strategy or identify equally attractive investment opportunities for each of those accounts as might be the case if he were to devote all of his attention to the management of only the Fund.

ALLOCATION OF LIMITED INVESTMENT OPPORTUNITIES . As indicated above, Mr. Gabelli manages managed accounts with investment strategies and/or policies that are similar to the Fund. In these cases, if the he identifies an investment opportunity that may be suitable for multiple accounts, a Fund may not be able to take full advantage of that opportunity because the opportunity may be allocated among all or many of these accounts or other accounts managed primarily by other Portfolio Managers of the Adviser, and their affiliates. In addition, in the event Mr. Gabelli determines to purchase a security for more than one account in an aggregate amount that may influence the market price of the security, accounts that purchased or sold the security first may receive a more favorable price than accounts that made subsequent transactions.

SELECTION OF BROKER/DEALERS. Because of Mr. Gabelli’s indirect majority ownership interest in G.research, LLC, he may have an incentive to use G.research to execute portfolio transactions for a Fund.

PURSUIT OF DIFFERING STRATEGIES. At times, Mr. Gabelli may determine that an investment opportunity may be appropriate for only some of the accounts for which he exercises investment responsibility, or may decide that certain of the funds or accounts should take differing positions with respect to a particular security. In these cases, he may execute differing or opposite transactions for one or more accounts which may affect the market price of the security or the execution of the transaction, or both, to the detriment of one or more other accounts.

VARIATION IN COMPENSATION. A conflict of interest may arise where the financial or other benefits available to Mr. Gabelli differ among the accounts that he manages. If the structure of the Adviser’s management fee or the Portfolio Manager’s compensation differs among accounts (such as where certain accounts pay higher management fees or performance-based management fees), the Portfolio Manager may be motivated to favor certain accounts over others. The Portfolio Manager also may be motivated to favor accounts in which he has an investment interest, or in which the Adviser, or their affiliates have investment interests. Similarly, the desire to maintain assets under management or to enhance a Portfolio Manager’s performance record or to derive other rewards, financial or otherwise, could influence the Portfolio Manager in affording preferential treatment to those accounts that could most significantly benefit the Portfolio Manager. For example, as reflected above, if Mr. Gabelli manages accounts which have performance fee arrangements, certain portions of his compensation will depend on the achievement of performance milestones on those accounts. Mr. Gabelli could be incented to afford preferential treatment to those accounts and thereby by subject to a potential conflict of interest.

The Adviser, and the Funds have adopted compliance policies and procedures that are designed to address the various conflicts of interest that may arise for the Adviser and their staff members. However, there is no guarantee that such policies and procedures will be able to detect and prevent every situation in which an actual or potential conflict may arise.

COMPENSATION STRUCTURE FOR MARIO J. GABELLI

Mr. Gabelli receives incentive-based variable compensation based on a percentage of net revenues received by the Adviser for managing the Fund. Net revenues are determined by deducting from gross investment management fees the firm’s expenses (other than Mr. Gabelli’s compensation) allocable to this Fund. Four closed-end registered investment companies managed by Mr. Gabelli have arrangements whereby the Adviser will only receive its investment advisory fee attributable to the liquidation value of outstanding preferred stock (and Mr. Gabelli would only receive his percentage of such advisory fee) if certain performance levels are met. Additionally, he receives similar incentive based variable compensation for managing other accounts within the firm and its affiliates. This method of compensation is based on the premise that superior long-term performance in managing a portfolio should be rewarded with higher compensation as a result of growth of assets through appreciation and net investment activity. The level of compensation is not determined with specific reference to the performance of any account against any specific benchmark. This Fund managed by Mr. Gabelli has a performance (fulcrum) fee arrangement for which his compensation is adjusted up or down based on the performance of the investment company relative to an index. Mr. Gabelli manages other accounts with performance fees. Compensation for

managing these accounts has two components. One component is based on a percentage of net revenues to the investment adviser for managing the account. The second component is based on absolute performance of the account, with respect to which a percentage of such performance fee is paid to Mr. Gabelli. As an executive officer of the Adviser’s parent company, GBL, Mr. Gabelli also receives ten percent of the net operating profits of the parent company. He receives no base salary, no annual bonus, and no stock options.

COMPENSATION STRUCTURE FOR THE PORTFOLIO MANAGERS OTHER THAN MR. GABELLI

The compensation for the Portfolio Managers other than Mr. Gabelli for the Trust is structured to enable the Adviser to attract and retain highly qualified professionals in a competitive environment. The Portfolio Managers other than Mr. Gabelli receive a compensation package that includes a minimum draw or base salary, equity-based incentive compensation via awards of restricted stock, and incentive based variable compensation based on a percentage of net revenue received by the Adviser for managing the Trust to the extent that the amount exceeds a minimum level of compensation. Net revenues are determined by deducting from gross investment management fees certain of the firm’s expenses (other than the Portfolio Managers’ compensation) allocable to the Trust (the incentive-based variable compensation for managing other accounts is also based on a percentage of net revenues to the investment adviser for managing the account). This method of compensation is based on the premise that superior long-term performance in managing a portfolio should be rewarded with higher compensation as a result of growth of assets through appreciation and net investment activity. The level of equity-based incentive and incentive-based variable compensation is based on an evaluation by the Adviser’s parent, GBL, of quantitative and qualitative performance evaluation criteria. This evaluation takes into account, in a broad sense, the performance of the accounts managed by the Portfolio Managers, but the level of compensation is not determined with specific reference to the performance of any account against any specific benchmark. Generally, greater consideration is given to the performance of larger accounts and to longer term performance over smaller accounts and short-term performance.

OWNERSHIP OF SHARES IN THE FUND

Mario J. Gabelli owned over $1 million of shares of the Fund and Willis M. Brucker owned $0 of shares of the Fund as of December 31, 2019.

(b) Not applicable.

ITEM 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

REGISTRANT PURCHASES OF EQUITY SECURITIES

| Period | (a) Total Number of Shares (or Units) Purchased) | (b) Average Price Paid per Share (or Unit) | (c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet be Purchased Under the Plans or Programs | | --- | --- | --- | --- | --- | | Month #1 07/01/2019 through 07/31/2019 | Common – 25,163 Preferred Series B – N/A | Common – $9.33 Preferred Series B – N/A | Common – 25,163 Preferred Series B – N/A | Common – 16,164,485 - 25,163 = 16,139,322 Preferred Series B –2,624,025 | | Month #2 08/01/2019 through 08/31/2019 | Common – 323,459 Preferred Series B – N/A | Common – $9.32 Preferred Series B – N/A | Common – 323,459 Preferred Series B – N/A | Common – 16,139,322 - 323,459 = 15,815,863 Preferred Series B – 2,624,025 | | Month #3 09/01/2019 through 09/30/2019 | Common – N/A Preferred Series B – N/A | Common – N/A Preferred Series B – N/A | Common – N/A Preferred Series B – N/A | Common – 15,815,863 Preferred Series B – 2,624,025 | | Month #4 10/01/2019 through 10/31/2019 | Common – 28,392 Preferred Series B – N/A | Common – $9.16 Preferred Series B – N/A | Common – 28,392 Preferred Series B – N/A | Common – 15,815,863 - 28,392 = 15,787,471 Preferred Series B – 2,624,025 | | Month #5 11/01/2019 through 11/30/2019 | Common – 59,025 Preferred Series B – N/A | Common – $9.22 Preferred Series B – N/A | Common – 59,025 Preferred Series B – N/A | Common – 15,787,471 - 59,025 = 15,728,446 Preferred Series B – 2,624,025 | | Month #6 12/01/2019 through 12/31/2019 | Common – 55,161 Preferred Series B – N/A | Common – $9.25 Preferred Series B – N/A | Common – 55,161 Preferred Series B – N/A | Common – 15,728,446 - 55,161 = 15,673,285 Preferred Series B – 2,624,025 | | Total | Common – 491,200 Preferred Series B – N/A | Common – $9.26 Preferred Series B – N/A | Common – 491,200 Preferred Series B – N/A | N/A |

Footnote columns (c) and (d) of the table, by disclosing the following information in the aggregate for all plans or programs publicly announced:

a. The date each plan or program was announced – The notice of the potential repurchase of common and preferred shares occurs semiannually in the Fund’s shareholder reports in accordance with Section 23(c) of the Investment Company Act of 1940, as amended.

b. The dollar amount (or share or unit amount) approved – Any or all common shares outstanding may be repurchased when the Fund’s common shares are trading at a discount of 7.5% or more

from the net asset value of the shares. Any or all preferred shares outstanding may be repurchased when the Fund’s preferred shares are trading at a discount to the liquidation value of $50.00.

c. The expiration date (if any) of each plan or program – The Fund’s repurchase plans are ongoing.

d. Each plan or program that has expired during the period covered by the table – The Fund’s repurchase plans are ongoing.

e. 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. – The Fund’s repurchase plans are ongoing.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s Board of Directors, 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.

Item 11. 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) If the registrant is a closed-end management investment company, provide the following dollar amounts of income and fees/compensation related to the securities lending activities of the registrant during its most recent fiscal year:

(1) Gross income from securities lending activities; $0

(2) All fees and/or compensation for each of the following securities lending activities and related services: any share of revenue generated by the securities lending program paid to the securities lending agent(s) (“revenue split”); fees paid for cash collateral management services (including fees deducted from a pooled cash collateral reinvestment vehicle) that are not included in the revenue split; administrative fees that are not included in the revenue split; fees for indemnification that are not included in the revenue split; rebates paid to borrowers; and any other fees relating to the securities lending program that are not included in the revenue split, including a description of those other fees; $0

(3) The aggregate fees/compensation disclosed pursuant to paragraph (2); and $0

(4) Net income from securities lending activities (i.e., the dollar amount in paragraph (1) minus the dollar amount in paragraph (3)). $0

(b) If the registrant is a closed-end management investment company, describe the services provided to the registrant by the securities lending agent in the registrant’s most recent fiscal year. N/A

Item 13. Exhibits.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) 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)(3) Not applicable.

(a)(4) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 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 GDL Fund

By (Signature and Title)*
Bruce N. Alpert, Principal Executive Officer

Date March 6, 2020

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)*
Bruce N. Alpert, Principal Executive Officer

Date March 6, 2020

By (Signature and Title)*
John C. Ball, Principal Financial Officer and Treasurer

Date March 6, 2020

• Print the name and title of each signing officer under his or her signature.