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N-CSRS 1 gdl-ncsrs_063021.htm CERTIFIED SEMI-ANNUAL SHAREHOLDER REPORT

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: June 30, 2021

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.

(a)

The Report to Shareholders is attached herewith.

The GDL Fund

Semiannual Report — June 30, 2021

(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	BA, Fordham University
		MA, Loyola University, Chicago
		MBA, Columbia Business School

To Our Shareholders,

For the six months ended June 30, 2021 , the net asset value (NAV) total return of The Gabelli GDL Fund was 2.24%, compared with a total return of 0.02% 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 6.78%. The Fund’s NAV per share was $10.74, while the price of the publicly traded shares closed at $9.07 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 June 30, 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 June 30, 2021 (a) (Unaudited)
						Since
	Year to					Inception
	Date	1 Year	3 year	5 year	10 year	(1/31/07)
GDL Fund
NAV Total Return (b)	2.24%	7.14%	2.72%	2.45%	2.59%	2.67%
Investment Total Return (c)	6.78	16.30	4.54	3.36	3.07	2.15
ICE Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index	0.02	0.09	1.34	1.17	0.63	0.92

(a)

Performance returns for periods of less than one year are not annualized. The ICE Bank of America 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 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.

Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing.

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.

Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of total investments before securities sold short as of June 30, 2021:

The GDL Fund

Long Positions

U.S. Government Obligations	45.6	%
Computer Software and Services	8.2	%
Health Care	7.5	%
Energy and Utilities	6.2	%
Automotive: Parts and Accessories	4.3	%
Building and Construction	3.3	%
Closed-End Funds	3.3	%
Telecommunications	2.9	%
Financial Services	2.6	%
Business Services	2.3	%
Aerospace	2.3	%
Real Estate	2.2	%
Retail	1.7	%
Cable and Satellite	1.3	%
Specialty Chemicals	1.0	%
Machinery	0.9	%
Wireless Communications	0.8	%
Electronics	0.8	%
Entertainment	0.6	%
Metals and Mining	0.5	%
Consumer Products	0.4	%

Hotels and Gaming	0.4	%
Semiconductors	0.3	%
Paper and Forest Products	0.3	%
Transportation	0.3	%
Diversified Industrial	0.0	%*
Food and Beverage	0.0	%*
	100.0	%

Short Positions

Building and Construction	(1.5	)%
Health Care	(1.3	)%
Financial Services	(1.1	)%
Semiconductors	(0.9	)%
Computer Software and Services	(0.7	)%
Transportation	(0.1	)%
Food and Beverage	(0.0	)%**
	(5.6	)%

*	Amount represents less than 0.05%.

**	Amount represents greater 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 fiscal year on Form N-PORT. Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI (800-422-3554). The Fund’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 each Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC’s website at www.sec.gov.

The GDL Fund

Schedule of Investments — June 30, 2021 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS — 50.7%
		Aerospace — 2.3%
	83,000	Aerojet Rocketdyne Holdings Inc.	$	4,354,371	$	4,008,070
	5,400	Hexcel Corp.†		290,885		336,960
				4,645,256		4,345,030
		Automotive: Parts and Accessories — 4.3%
	40,000	Haldex AB†		342,572		264,545
	175,085	Navistar International Corp.†		7,499,427		7,791,282
				7,841,999		8,055,827
		Building and Construction — 3.3%
	2,000	Hinokiya Group Co. Ltd.		37,482		44,665
	42,000	Lennar Corp., Cl.B		1,616,152		3,420,900
	37,000	US Concrete Inc.†		2,721,093		2,730,600
				4,374,727		6,196,165
		Business Services — 2.3%
	5,000	CAI International Inc.		278,675		280,000
	135,000	Clear Channel Outdoor Holdings Inc.†		273,502		356,400
	16,500	Core-Mark Holding Co. Inc.		739,727		742,665
	1,775	Devoteam SA†		199,739		231,518
	2,000	eWork Group AB		16,512		22,996
	87,000	exactEarth Ltd.†		249,767		93,344
	50,000	Fly Leasing Ltd., ADR†		847,592		847,000
	3,000	IHS Markit Ltd.		269,702		337,980
	2,000	MDC Partners Inc., Cl.A†		4,570		11,700
	85,000	Sogou Inc., ADR†		735,972		725,050
	40,000	Sportsman's Warehouse Holdings Inc.†		693,432		710,800
				4,309,190		4,359,453
		Cable and Satellite — 1.3%
	50,000	Euskaltel SA(a)		661,294		650,977
	30,000	Liberty Global plc, Cl.A†		963,571		814,800
	15,000	Liberty Global plc, Cl.C†		548,453		405,600
	18,000	Liberty Latin America Ltd., Cl.A†		255,612		249,480
	5,351	Liberty Latin America Ltd., Cl.C†		38,206		75,449
	8,000	Shaw Communications Inc., Cl.B		220,163		231,752
				2,687,299		2,428,058
		Computer Software and Services — 8.2%
	200,000	Cloudera Inc.†		3,171,033		3,172,000
	2,000	Dell Technologies Inc., Cl.C†		196,540		199,340
	6,000	NortonLifeLock Inc.		155,458		163,320
	20,000	Proofpoint Inc.†		3,445,201		3,475,200
	7,500	QAD Inc., Cl.A		653,000		652,650

Shares			Cost		Market Value
	4,000	QAD Inc., Cl.B	$	344,891	$	344,840
	73,000	Slack Technologies Inc., Cl.A†		3,181,231		3,233,900
	20,000	Sykes Enterprises Inc.†		1,069,056		1,074,000
	22,000	Talend SA, ADR†		1,430,989		1,443,200
	12,000	Xilinx Inc.		1,558,105		1,735,680
				15,205,504		15,494,130
		Consumer Products — 0.4%
	75,000	Asaleo Care Ltd.		83,566		79,870
	9,000	Dorel Industries Inc., Cl.B†		94,474		113,407
	5,000	Hunter Douglas NV†		392,937		545,445
	3,000	Knoll Inc.		69,316		77,970
				640,293		816,692
		Diversified Industrial — 0.0%
	2,500	Forterra Inc.†		57,643		58,775

		Electronics — 0.8%
	62,500	Bel Fuse Inc., Cl.A		1,463,642		895,000
	1,000	Coherent Inc.†		202,740		264,340
	25,000	EXFO Inc.†		148,962		148,750
	13,000	Neways Electronics International NV†		222,828		225,055
				2,038,172		1,533,145
		Energy and Utilities — 6.2%
	40,000	Alvopetro Energy Ltd.†		21,911		31,946
	8,000	Avista Corp.		343,200		341,360
	13,500	Enable Midstream Partners LP		77,409		122,985
	40,000	Endesa SA		1,023,527		970,418
	460,000	Gulf Coast Ultra Deep Royalty Trust		30,398		11,500
	110,000	PNM Resources Inc.		5,366,630		5,364,700
	28,000	PRA Health Sciences Inc.†		4,697,747		4,625,880
	4,000	Solarpack Corp. Tecnologica SA†		126,998		124,029
	10,000	Tilt Renewables Ltd.†		54,559		56,130
				11,742,379		11,648,948
		Entertainment — 0.6%
	34,000	Fox Corp., Cl.B		1,301,873		1,196,800
	500	Meredith Corp.†		17,765		21,720
				1,319,638		1,218,520
		Financial Services — 2.6%
	4,000	Bank of Commerce Holdings		59,650		60,080
	6,000	Cadence BanCorp.		136,196		125,280
	7,000	Century Bancorp Inc., Cl.A		800,625		798,000
	3,000	Cerved Group SpA†		34,147		34,861
	40,000	MMA Capital Holdings Inc.†		1,081,950		1,086,400

See accompanying notes to financial statements.

The GDL Fund

Schedule of Investments (Continued) — June 30, 2021 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Financial Services (Continued)
	50,000	MoneyGram International Inc.†	$	163,097	$	504,000
	500	ProSight Global Inc.†		6,389		6,380
	24,000	Steel Partners Holdings LP†		229,770		698,880
	500	The Hartford Financial Services Group Inc.		33,656		30,985
	6,500	Willis Towers Watson plc		1,332,088		1,495,130
				3,877,568		4,839,996
		Food and Beverage — 0.0%
	500,000	Yashili International Holdings Ltd.†		225,892		45,078

		Health Care — 7.3%
	12,000	Alexion Pharmaceuticals Inc.†		1,882,988		2,204,520
	26,799	Change Healthcare Inc.†		624,233		617,449
	75,000	Constellation Pharmaceuticals Inc.†		2,532,437		2,535,000
	6,000	Elos Medtech AB		156,768		150,734
	35,000	Idorsia Ltd.†		433,364		962,335
	5,000	Immunodiagnostic Systems Holdings plc		26,848		26,144
	50,000	Kindred Biosciences Inc.†		459,192		458,500
	100,000	Luminex Corp.		3,682,154		3,680,000
	24,000	Magellan Health Inc.†		2,257,296		2,260,800
	7,500	PPD Inc.†		344,136		345,675
	7,000	QIAGEN NV†		290,061		338,660
	8,500	Soliton Inc.†		189,745		191,165
	900	UDG Healthcare plc		13,279		13,309
				12,892,501		13,784,291
		Hotels and Gaming — 0.4%
	18,000	Cherry AB, Cl.B†(b)		170,911		182,985
	105,000	Diamond Resorts International Inc., Escrow†		0		0
	1,000	Flutter Entertainment plc†		88,098		181,835
	10,000	Gamesys Group plc		267,952		255,080
	4,000	Great Canadian Gaming Corp.†		119,342		143,627
				646,303		763,527
		Machinery — 0.9%
	25,000	CFT SpA†(b)		138,180		136,361
	6,000	CIRCOR International Inc.†		84,838		195,600
	15,000	CNH Industrial NV		107,938		247,674
	100	Lydall Inc.†		6,043		6,052
	3,500	Neles Oyj		48,826		50,465
	15,000	Raven Industries Inc.		864,450		867,750

Shares			Cost		Market Value
	5,000	Welbilt Inc.†	$	101,061	$	115,750
				1,351,336		1,619,652
		Metals and Mining — 0.3%
	50,000	Alamos Gold Inc., Cl.A		662,024		382,500
	20,000	Artemis Gold Inc.†		152		94,708
	25,000	Sierra Metals Inc.†		94,393		75,250
				756,569		552,458
		Paper and Forest Products — 0.3%
	10,000	Domtar Corp.†		549,535		549,600

		Real Estate — 2.2%
	255,000	Atrium European Real Estate Ltd.		1,026,609		907,099
	4,000	Brookfield Property Partners LP		64,696		75,800
	10,000	Corem Property Group AB, Cl.B		22,768		22,645
	12,200	Deutsche Wohnen SE		754,242		746,164
	25,000	QTS Realty Trust Inc., Cl.A, REIT		1,935,146		1,932,500
	12,000	Rayonier Inc., REIT		276,720		431,160
	1,000	S IMMO AG		22,816		23,952
	20,000	Sigma Capital Group plc		56,810		55,885
				4,159,807		4,195,205
		Retail — 1.7%
	88,000	At Home Group Inc.†		3,226,306		3,241,920

		Semiconductors — 0.3%
	2,000	Dialog Semiconductor plc†		158,009		155,476
	2,400	Siltronic AG		416,775		399,835
	600	Siltronic AG		104,194		101,168
				678,978		656,479
		Specialty Chemicals — 1.0%
	25,000	Ferro Corp.†		538,598		539,250
	4,000	SGL Carbon SE†		34,366		38,371
	20,000	W R Grace & Co.		1,306,550		1,382,400
				1,879,514		1,960,021
		Telecommunications — 2.9%
	15,000	Cincinnati Bell Inc.†		212,374		231,300
	175,000	Koninklijke KPN NV		535,802		546,571
	2,000	Loral Space & Communications Inc.		52,911		77,700
	6,700	Netia SA†		12,191		11,808
	60,000	Nuance Communications Inc.†		3,236,097		3,266,400
	30,000	Orange Belgium SA		802,212		673,032
	50,000	ORBCOMM Inc.†		572,802		562,000
	21,000	Parrot SA†		76,153		141,685
				5,500,542		5,510,496

See accompanying notes to financial statements.

The GDL Fund

Schedule of Investments (Continued) — June 30, 2021 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Transportation — 0.3%
	40,000	Abertis Infraestructuras SA†	$	373,493	$	230,036
	1,000	Kansas City Southern		270,317		283,370
				643,810		513,406
		Wireless Communications — 0.8%
	713,121	NII Holdings Inc., Escrow†(b)		1,546,255		1,547,473

		TOTAL COMMON STOCKS		92,797,016		95,934,345

		CLOSED-END FUNDS — 3.3%
	425,000	Altaba Inc., Escrow†		6,169,625		6,183,750

		PREFERRED STOCKS — 0.0%
		Financial Services — 0.0%
	2,000	Steel Partners Holdings LP, Ser.A, 6.000%, 02/07/26		27,852		46,780

		CONVERTIBLE PREFERRED STOCKS — 0.0%
		Telecommunications — 0.0%
	1,000	Cincinnati Bell Inc., Ser.B, 6.750%		44,820		50,010

		RIGHTS — 0.4%
		Entertainment — 0.0%
	225,000	Media General Inc., CVR†(b)		0		0

		Health Care — 0.2%
	70,000	Achillion Pharmaceuticals Inc., CVR†		0		35,000
	215,942	Alder BioPharmaceuticals Inc. – H. Lundbeck A/S, CVR†		0		215,942
	79,391	Ambit Biosciences Corp., CVR†(b)		0		134,171
	103,040	Dova Pharmaceuticals Inc., CVR†		0		12,880
	400,000	Elanco Animal Health Inc., CVR†		2		4,000
	300,000	Innocoll, CVR†(b)		180,000		3
	125,000	Ipsen SA/Clementia, CVR†(b)		168,750		0
	23,000	Ocera Therapeutics, CVR†(b)		6,210		3,910
	3,000	Prevail Therapeutics Inc., CVR†(b)		0		1,500
	18,000	Stemline Therapeutics Inc., CVR†(b)		0		0

Shares			Cost		Market Value
	346,322	Teva Pharmaceutical Industries Ltd., CCCP, expire 02/20/23†(b)	$	164,073	$	0
	11,000	Tobira Therapeutics Inc., CVR†(b)		660		0
				519,695		407,406
		Machinery — 0.0%
	25,000	CFT SpA†(b)		0		0

		Metals and Mining — 0.2%
	419,000	Pan American Silver Corp., CVR†		96,370		356,150

		TOTAL RIGHTS		616,065		763,556


Principal Amount
		U.S. GOVERNMENT OBLIGATIONS — 45.6%
$	86,397,000	U.S. Treasury Bills, 0.005% to 0.090%††, 07/08/21 to 11/26/21(c)		86,389,696		86,387,235

TOTAL INVESTMENTS BEFORE SECURITIES
SOLD SHORT — 100.0%			$	186,045,074		189,365,676

SECURITIES SOLD SHORT — (5.6)%
(Proceeds received $8,730,399)						(10,605,576	)

Other Assets and Liabilities (Net)						4,732,658

PREFERRED SHARES
(688,932 preferred shares outstanding)						(34,446,600	)

NET ASSETS — COMMON SHARES
(13,879,825 common shares outstanding)					$	149,046,158

NET ASSET VALUE PER COMMON SHARE
($149,046,158 ÷ 13,879,825 shares outstanding)					$	10.74


Shares			Proceeds		Market Value
		SECURITIES SOLD SHORT — (5.6)%
		Building and Construction — (1.5)%
	29,000	Lennar Corp., Cl. A	$	1,504,528	$	2,881,150

		Computer Software and Services — (0.7)%
	5,664	salesforce.com Inc.		1,322,064		1,383,545

		Financial Services — (1.1)%
	7,300	Aon plc, Cl. A		1,455,471		1,742,948
	4,200	BancorpSouth Bank		131,010		118,986
	1,600	Columbia Banking System Inc.		61,635		61,696

See accompanying notes to financial statements.

The GDL Fund

Schedule of Investments (Continued) — June 30, 2021 (Unaudited)

Shares			Proceeds		Market Value
	426	S&P Global Inc.	$	135,510	$	174,852
				1,783,626		2,098,482
		Food and Beverage — (0.0)%
	1,800	Performance Food Group Co.		88,910		87,282

		Health Care — (1.3)%
	11,550	ICON plc		2,459,952		2,387,500

		Semiconductors — (0.9)%
	17,234	Advanced Micro Devices Inc.		1,432,235		1,618,790
	700	II-VI Inc.		46,137		50,813
				1,478,372		1,669,603
		Transportation — (0.1)%
	200	Canadian National Railway Co.		21,563		21,104
	1,000	Canadian Pacific Railway Ltd.		71,384		76,910
				92,947		98,014

		TOTAL SECURITIES SOLD SHORT(d)	$	8,730,399	$	10,605,576

(a)	Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

(c)	At June 30, 2021, $17,950,000 of the principal amount was pledged as collateral for securities sold short and forward foreign exchange contracts.

(d)	At June 30, 2021, these proceeds are 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


Geographic Diversification	% of Total Investments*			Market Value
Long Positions
North America		92.3	%	$	174,845,221
Europe		7.2			13,569,663
Asia/Pacific		0.5			906,128
Japan		0.0	**		44,664
Total Investments — Long Positions		100.0	%	$	189,365,676

Short Positions
North America		(4.3	)%	$	(8,218,076	)
Europe		(1.3	)		(2,387,500	)
Total Investments — Short Positions		(5.6	)%	$	(10,605,576	)

*	Total investments exclude securities sold short.

**	Amount represents less than 0.05%.

As of June 30, 2021, forward foreign exchange contracts outstanding were as follows:

Currency Purchased

Currency Sold

Counterparty

Settlement
Date

Unrealized
Appreciation

USD

6,806,513 EUR

5,700,000

State Street Bank and Trust Co.

07/30/21

43,405

USD

589,135 SEK

5,000,000

State Street Bank and Trust Co.

07/30/21

4,726

USD

162,647 CAD

200,000

State Street Bank and Trust Co.

07/30/21

1,307

USD

138,954 GBP

100,000

State Street Bank and Trust Co.

07/30/21

611

TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS

50,049

See accompanying notes to financial statements.

The GDL Fund

Statement of Assets and Liabilities

June 30, 2021 (Unaudited)

Assets:
Investments in securities, at value (cost $186,045,074)	$	189,365,676
Foreign currency, at value (cost $20,884)		20,801
Cash		248,633
Deposit at brokers for securities sold short		7,934,302
Receivable for investments in securities sold		2,459,953
Dividends receivable		552,257
Deferred offering expense		124,541
Unrealized appreciation on forward foreign currency contracts		50,049
Total Assets		200,756,212
Liabilities:
Securities sold short, at value (proceeds $8,730,399)		10,605,576
Distributions payable		19,137
Payable for investment securities purchased		5,905,336
Payable for investment advisory fees		562,417
Payable for payroll expenses		33,521
Payable for accounting fees		3,750
Dividends payable on securities sold short		950
Series C Cumulative Preferred Shares, callable and mandatory redemption 03/26/25 (See Notes 2 and 5)		34,446,600
Other accrued expenses		132,767
Total Liabilities		51,710,054
Net Assets Attributable to Common Shareholders	$	149,046,158
Net Assets Attributable to Common Shareholders Consist of:
Paid-in capital	$	150,581,341
Total accumulated loss		(1,535,183	)
Net Assets	$	149,046,158
Net Asset Value per Common Share:
($149,046,158 ÷ 13,879,825 shares outstanding at $0.001 par value; unlimited number of shares authorized)	$	10.74

Statement of Operations

For the Six Months Ended June 30, 2021 (Unaudited)

Investment Income:
Dividends (net of foreign withholding taxes of $18,377)	$	930,819
Interest		36,460
Total Investment Income		967,279
Expenses:
Investment advisory fees		947,135
Interest expense on preferred shares		688,932
Legal and audit fees		75,452
Payroll expenses		70,566
Trustees’ fees		65,791
Shareholder communications expenses		53,971
Dividend expense on securities sold short		29,059
Service fees for securities sold short (See Note 2)		28,883
Accounting fees		22,500
Custodian fees		13,090
Shareholder services fees		11,538
Shelf offering expense		8,809
Interest expense		110
Miscellaneous expenses		40,112
Total Expenses		2,055,948
Less:
Advisory fee reduction on unsupervised assets (See Note 3)		(2,643	)
Expenses paid indirectly by broker (See Note 3)		(1,202	)
Custodian fee credits		(546	)
Total Credits and Reductions		(4,391	)
Net Expenses		2,051,557
Net Investment Loss		(1,084,278	)
Net Realized and Unrealized Gain/(Loss) on Investments in Securities, Securities Sold Short, Forward Foreign Exchange Contracts, and Foreign Currency:
Net realized gain on investments in securities		2,033,189
Net realized gain on securities sold short		190,864
Net realized gain on forward foreign exchange contracts		143,494
Net realized loss on foreign currency transactions		(22,816	)
Net realized gain on investments, securities sold short, forward foreign exchange contracts, and foreign currency transactions		2,344,731
Net change in unrealized appreciation/depreciation:
on investments in securities		1,838,124
on securities sold short		(331,057	)
on forward foreign exchange contracts		92,572
on foreign currency translations		(1,563	)
Net change in unrealized appreciation/depreciation on investments, securities sold short, forward foreign exchange contracts, and foreign currency translations		1,598,076
Net Realized and Unrealized Gain/(Loss) on Investments in securities, Securities Sold Short, Forward Foreign Exchange Contracts, and Foreign Currency		3,942,807
Net Increase in Net Assets Attributable to Common Shareholders Resulting from Operations	$	2,858,529

See accompanying notes to financial statements.

The GDL Fund

Statement of Changes in Net Assets Attributable to Common Stockholders

	Six Months Ended
	June 30, 2021				Year Ended
	(Unaudited)				December 31, 2020
Operations:
Net investment loss		$	(1,084,278	)		$	(3,932,267	)
Net realized gain/(loss) on investments in securities, securities sold short, forward foreign exchange contracts, and foreign currency transactions			2,344,731				(1,126,521	)
Net change in unrealized appreciation/depreciation on investments in securities, securities sold short, forward foreign exchange contracts, and foreign currency translations			1,598,076				2,003,731
Net Increase/(Decrease) in Net Assets Attributable to Common Shareholders Resulting from Operations			2,858,529				(3,055,057	)

Distributions to Common Shareholders:
Accumulated earnings			(932,371	)*			—
Return of capital			(2,407,467	)*			(6,754,582	)
Total Distributions to Common Shareholders			(3,339,838	)			(6,754,582)

Fund Share Transactions:
Decrease from repurchase of common shares			(1,923,319	)			(13,423,094	)
Offering costs for preferred shares charged to paid-in capital			—				(2,500	)
Net Decrease in Net Assets from Fund Share Transactions			(1,923,319	)			(13,425,594	)

Net Decrease in Net Assets Attributable to Common Shareholders			(2,404,628	)			(23,235,233	)

Net Assets Attributable to Common Shareholders:
Beginning of year			151,450,786				174,686,019
End of period		$	149,046,158			$	151,450,786

* Based on year to date book income. Amounts are subject to change and recharacterization at year end.

See accompanying notes to financial statements.

The GDL Fund

Statement of Cash Flows

For the Six Months Ended June 30, 2021 (Unaudited)

Net increase in net assets attributable to common shareholders resulting from operations	$	2,858,529

Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash from Operating Activities:
Purchase of long term investment securities		(158,337,832	)
Proceeds from sales of long term investment securities		121,406,307
Proceeds from short sales of investment securities		(6,740,264	)
Purchase of securities to cover short sales		9,872,689
Net sales of short term investment securities		43,335,584
Net realized gain on investments		(2,033,189	)
Net realized gain on securities sold short		(190,864	)
Net change in unrealized appreciation on investments		(1,838,124	)
Net amortization of discount		(36,357	)
Net decrease in unrealized appreciation on forward foreign exchange contracts		(92,572	)
Net increase in unrealized depreciation on securities sold short		331,057
Decrease in receivable for investments sold		4,877,260
Increase in dividends receivable		(10,940	)
Increase in deferred offering expense		(32,458	)
Decrease in payable for investments purchased		(2,362,578	)
Increase in payable for investment advisory fees		345,870
Decrease in payable for payroll expenses		(19,383	)
Decrease in payable for dividends payable on securities sold short		(605	)
Decrease in other accrued expenses		(66,928	)
Decrease in payable to custodian		(5,240,442	)
Net cash provided by operating activities		6,024,760

Net decrease in net assets resulting from financing activities:
Distributions to Common Shareholders		(3,339,838	)
Decrease from repurchase of common shares		(1,923,319	)
Net cash used in financing activities		(5,263,157	)
Net increase in cash		761,603
Cash (including foreign currency and restricted cash):
Beginning of year		7,442,133
End of period	$	8,203,736
___________________________
Supplemental disclosure of cash flow information:
Interest paid on preferred shares	$	688,932
Interest paid on bank overdrafts		110
Value of shares received as part of mergers of certain Fund investments		5,441,600

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 June 30, 2021:
Deposits at broker for securities sold short	$	7,934,302
Cash		248,633
Foreign currency, at value		20,801
	$	8,203,736

See accompanying notes to financial statements.

The GDL Fund

Financial Highlights

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

	Six Months Ended June 30, 2021			Year Ended December 31,
	(Unaudited)			2020			2019			2018			2017			2016
Operating Performance:
Net asset value, beginning of year	$	10.74		$	11.15		$	10.99		$	11.59		$	11.88		$	11.93
Net investment loss		(0.08	)		(0.28	)		(0.42	)		(0.14	)		(0.22	)		(0.36	)
Net realized and unrealized gain/(loss) on investments, securities sold short, swap contracts, forward foreign exchange contracts, and foreign currency transactions		0.29			0.14			0.88			(0.15	)		0.46			0.84
Total from investment operations		0.21			(0.14	)		0.46			(0.29	)		0.24			0.48
Distributions to Common Shareholders:
Net investment income		(0.00	)*(a)		—			—			(0.19	)		—			—
Net realized gain		(0.06	)*		—			(0.07	)		(0.18	)		—			(0.59	)
Return of capital		(0.18	)*		(0.46	)		(0.33	)		(0.03	)		(0.58	)		(0.05	)
Total distributions to common shareholders		(0.24	)		(0.46	)		(0.40	)		(0.40	)		(0.58	)		(0.64	)
Fund Share Transactions:
Increase in net asset value from repurchase of common shares		0.03			0.19			0.10			0.09			0.05			0.11
Offering costs for preferred shares charged to paid-in capital		—			(0.00	)(a)		—			—			—			—
Total Fund share transactions		0.03			0.19			0.10			0.09			0.05			0.11
Net Asset Value Attributable to Common Shareholders, End of Period	$	10.74		$	10.74		$	11.15		$	10.99		$	11.59		$	11.88
NAV total return †		2.24	%		0.74	%		5.15	%		(1.76	)%		2.50	%		5.09	%
Market value, end of period	$	9.07		$	8.72		$	9.30		$	9.17		$	9.73		$	9.84
Investment total return ††		6.78	%		(0.93	)%		5.81	%		(1.62	)%		4.70	%		4.79	%
Ratios to Average Net Assets and Supplemental Data:
Net assets including liquidation value of preferred shares, end of period (in 000’s)	$	183,493		$	185,897		$	305,887		$	314,633		$	335,299		$	347,980
Net assets attributable to common shares, end of period (in 000’s)	$	149,046		$	151,451		$	174,686		$	183,431		$	204,098		$	216,779
Ratio of net investment loss to average net assets attributable to common shares including interest and offering costs (b)		(1.45	)%(c)		(2.49	)%		(3.64	)%		(1.18	)%		(1.85	)%		(2.94	)%
Ratio of operating expenses to average net assets attributable to common shares (d)(e)		2.74	%(c)		3.17	%(f)		5.76	%(f)		4.04	%		3.65	%(g)		4.72	%(g)(h)
Portfolio turnover rate		141	%		228	%		380	%		390	%		233	%		284	%

See accompanying notes to financial statements.

The GDL Fund

Financial Highlights (Continued)

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

	Six Months Ended June 30, 2021			Year Ended December 31,
	(Unaudited)			2020			2019			2018			2017			2016
Cumulative Preferred Shares:
Series B Preferred
Liquidation value, end of period (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 (i)		—			—			—			—		$	50.51		$	50.51
Asset coverage per share		—			—			—			—		$	127.78		$	132.61
Series C Preferred
Liquidation value, end of period (in 000’s)	$	34,447		$	34,447		$	131,201		$	131,201			—			—
Total shares outstanding (in 000’s)		689			689			2,624			2,624			—			—
Liquidation preference per share	$	50.00		$	50.00		$	50.00		$	50.00			—			—
Average market value (i)	$	51.49		$	51.15		$	50.71		$	51.63			—			—
Asset coverage per share	$	266.34		$	269.83		$	116.57		$	119.90			—			—
Asset Coverage		533	%		540	%		233	%		240	%		256	%		265	%

†	Based on net asset value per share, adjusted for reinvestment of distributions at the net asset value per share on the ex-dividend dates. Total return for a period of less than one year is not annualized.

††

Based on market value per share, adjusted for reinvestment of distributions at prices determined under the Fund’s dividend reinvestment plan. Total return for a period of less than one year is not annualized.

*	Based on year to date book income. Amounts are subject to change and recharacterization at year end.

(a)	Amount represents less than $0.005 per share.

(b)	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 June 30, 2021 (see Footnotes 2 and 5).

(c)	Annualized.

(d)	The Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. For all years presented, there was no impact on the expense ratios.

(e)

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 six months ended June 30, 2021 and years ended December 31, 2020, 2019, 2018, 2017, and 2016 would have been 1.73%, 2.61%, 2.41%, 1.28%, 1.75%, and 2.92%, respectively.

(f)	The ratio of operating expenses excluding the custodian fee credit for the years ended December 31, 2020 and 2019 would have been 3.18% and 5.75%. For the six months ended June 30, 2021, there was no impact on the expense ratios.

(g)	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 year ended December 31, 2016, the effect was minimal.

(h)	For the year ended December 31, 2016, 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 year ended December 31, 2016, would have been 4.84%.

(i)	Based on weekly prices.

See accompanying notes to financial statements.

The GDL Fund

Notes to Financial Statements (Unaudited)

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.

The global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may materially impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objectives.

Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the Board) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the Adviser).

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

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).

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 GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

The summary of the Fund’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of June 30, 2021 is as follows:

	Valuation Inputs
	Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs (a)		Total Market Value at 06/30/21
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Consumer Products	$	736,822		$	79,870		—	$	816,692
Hotels and Gaming		580,542			—	$	182,985		763,527
Machinery		1,483,291			—		136,361		1,619,652
Transportation		283,370			230,036		—		513,406
Wireless Communications		—			—		1,547,473		1,547,473
Other Industries (b)		90,673,595			—		—		90,673,595
Total Common Stocks		93,757,620			309,906		1,866,819		95,934,345
Closed-End Funds		—			6,183,750		—		6,183,750
Preferred Stocks (b)		46,780			—		—		46,780
Convertible Preferred Stocks (b)		50,010			—		—		50,010
Rights (b)		356,150			267,822		139,584		763,556
U.S. Government Obligations		—			86,387,235		—		86,387,235
TOTAL INVESTMENTS IN SECURITIES – ASSETS	$	94,210,560		$	93,148,713	$	2,006,403	$	189,365,676

LIABILITIES (Market Value):
Common Stocks Sold Short (b)	$	(10,605,576	)		—		—	$	(10,605,576	)
TOTAL INVESTMENTS IN SECURITIES– LIABILITIES	$	(10,605,576	)		—		—	$	(10,605,576	)

OTHER FINANCIAL INSTRUMENTS:*
ASSETS (Unrealized Appreciation):
FORWARD CURRENCY EXCHANGE CONTRACTS
Forward Foreign Exchange Contracts		—		$	50,049		—	$	50,049

(a)	Level 3 securities are valued at last available closing price. The inputs for these securities are not readily available and are derived based on the judgment of the Adviser according to procedures approved by the Board of Trustees.

(b)	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 six months ended June 30, 2021, the Fund had transfers into Level 3 of $1,686,130 or 1.11% and out of Level 3 of $355,772 or 0.22% of net assets as of December 31, 2020. Transfers into Level 3 are due to an decrease in market activity, e.g., frequency of trades, which resulted in an decrease in available market inputs to determine the prices and transfers out of Level 3 are due to an increase in market activity, e.g., frequency of trades, which resulted in an increase in available market inputs to determine the prices. The Fund’s policy is to recognize transfers among Levels as of the beginning of the reporting period.

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

	Balance as of 12/31/20		Accrued discounts/ (premiums)	Realized gain/ (loss)	Net Change in unrealized appreciation/ depreciation†			Purchases		Sales		Transfers Into Level 3††		Transfers Out of Level 3††			Balance as of 06/30/21			Net change in unrealized appreciation/ depreciation during the period on Level 3 investments still held at 06/30/21†
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks (a)	$	459,587	—	—	$	(9,646	)		—		—	$	1,686,130	$	(269,252	)	$	1,866,819		$	(9,646	)
Rights (a)		251,860	—	—		(25,756	)		—		—		—		(86,520	)		139,584			(25,756	)
TOTAL INVESTMENTS IN SECURITIES	$	711,447	—	—	$	(35,402	)		—		—	$	1,686,130	$	(355,772	)	$	2,006,403	(b)	$	(35,402	)

†	Net change in unrealized appreciation/depreciation on investments is included in the related amounts in the Statement of Operations.

††	The Fund’s policy is to recognize transfers into and out of Level 3 as of the beginning of the reporting period.

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

(b)

The Level 3 common stock was valued at the price of the proposed merger transaction and net realizable value of corporate action. The total value of these securities at June 30, 2021 was $2,006,403. The inputs for the valuation of these securities were based on the judgment of the Adviser according to procedures approved by the Board.

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. When fair valuing a security, factors to consider include recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

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 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 June 30, 2021, if any, are not accounted for as hedging instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.

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.

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

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 received or paid on swaps, is reported as unrealized gain or loss in the Statement of Operations. A realized gain or loss is recorded upon receipt or payment of a periodic payment or termination of swap agreements. During the six months ended June 30, 2021, the Fund held no investments in equity contract for difference swap agreements.

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 forward foreign exchange contracts. When the contract is closed, the Fund 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 June 30, 2021 are reflected within the Schedule of Investments. The Fund’s volume of activity in forward foreign exchange contracts during the six months ended June 30, 2021 had an average monthly notional amount of approximately $8,756,683.

At June 30, 2021, the value of forward foreign exchange contracts can be found in the Statement of Assets and Liabilities under Assets, Unrealized appreciation on forward foreign exchange contracts. For the six months ended June 30, 2021, the effect of forward foreign exchange contracts can be found in the Statement of Operations under Net Realized and Unrealized Gain/(Loss) on Investments in Securities, Securities Sold Short, 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 exchange contracts.

At June 30, 2021, the Fund’s derivative assets (by type) are as follows:

	Gross Amounts of Recognized Assets Presented in the Statement of Assets and Liabilities	Gross Amounts Available for Offset in the Statement of Assets and Liabilities	Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Assets
Forward Foreign Exchange Contracts	$50,049	—	$50,049

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

The following table presents the Fund’s derivative assets by counterparty net of the related collateral segregated by the Fund for the benefit of the counterparty as of June 30, 2021:

	Net Amounts Not Offset in the Statement of Assets and Liabilities
	Net Amounts of Assets Presented in the Statement of Assets and Liabilities	Securities Pledged as Collateral	Cash Collateral Received	Net Amount
Counterparty
State Street Bank and Trust Co.	$50,049	—	—	$50,049

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 enters into short sale transactions. Short selling involves selling securities that may or may not be owned and, at times, borrowing the same securities for delivery to the purchaser, with an obligation to replace such borrowed securities at a later date. The proceeds received from short sales are recorded as liabilities and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of an open short position on the day of determination. The Fund records a realized gain or loss when the short position is closed out. By entering into a short sale, the Fund bears the market risk of an unfavorable change in the price of the security sold short. Dividends on short sales are recorded as an expense by the Fund on the ex-dividend date and interest expense is recorded on the accrual basis. The broker retains collateral for the value of the open positions, which is adjusted periodically as the value

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

of the position fluctuates. Securities sold short and details of collateral at June 30, 2021 are reflected within the Schedule of Investments. For the six months ended June 30, 2021, the Fund incurred $28,883 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 six months ended June 30, 2021, the Fund’s pro rata portion of the periodic expenses charged by the Acquired Funds was approximately 1 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.

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

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. At June 30, 2021, the Fund held no restricted securities.

Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized gain/(loss) on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on an accrual basis. Premiums and discounts on debt securities are amortized using the effective yield to maturity method or amortized to earliest call date, if applicable. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the Fund becomes aware of such dividends.

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 fess. The gross expenses paid under the custody arrangement are included in custodian fees in the Statement of Operations with the corresponding expense offset, if any, shown as “Custodian fee credits.” When cash balances are overdrawn, the Fund is charged an overdraft fee of 110% of the 90 day U.S. Treasury Bill rate on outstanding balances. This amount, if any, would be included in the Statement of Operations.

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. These reclassifications have no impact on the NAV of the Fund.

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 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 GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

The tax character of distributions paid during the year ended December 31, 2020 was as follows:

	Common
Distributions paid from:
Return of capital	$	6,754,582

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.

The following summarizes the tax cost of investments and derivatives and the related net unrealized appreciation at June 30, 2021:

		Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation
Investments and derivative instruments		$177,906,448		$6,668,927		$(5,765,226)		$903,701

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 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. For the six months ended June 30, 2021, the Fund did not incur any income tax, interest, or penalties. As of June 30, 2021, the Adviser has reviewed all open tax years and concluded that there was no impact to the Fund’s net assets or results of operations. The Fund’s federal and state tax returns for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund’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 six months ended June 30, 2021, the Fund accrued a performance fee of $486,940. In accordance with the Advisory Agreement, the Adviser

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

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 six months ended June 30, 2021, the Fund paid $7,165 in brokerage commissions on security trades to G.research, LLC, an affiliate of the Adviser.

During the six months ended June 30, 2021, the Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. The amount of such expenses paid through this directed brokerage arrangement during this period was $1,202.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Advisory Agreement between the Fund and the Adviser. Under the sub-administration agreement with Bank of New York Mellon, the fees paid include the cost of calculating the Fund’s NAV. The Fund reimburses the Adviser for this service. During the six months ended June 30, 2021, the Fund accrued $22,500 in accounting fees in the Statement of Operations.

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 six months ended June 30, 2021, the Fund accrued $70,566 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 six months ended June 30, 2021, the Fund’s Proxy Voting Committee 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 $2,643.

The Fund pays retainer and per meeting fees to Trustees not affiliated with the Adviser, plus specified amounts to the Lead Trustee and Audit Committee Chairman. Trustees are also reimbursed for out of pocket expenses incurred in attending meetings. Trustees who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

4. Portfolio Securities. Purchases and sales of securities during the six months ended June 30, 2021, other than short term securities and U.S. Government obligations, aggregated to $158,385,626 and $121,092,980, respectively. Purchases and sales of U.S. Government Obligations for the six months ended June 30, 2021, aggregated $157,441,906 and $200,777,490, 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 six months ended June 30, 2021 and the year ended December 31, 2020, the Fund repurchased and retired 215,780 and 1,577,680 common shares in the open market at an investment of $1,923,319 and $13,423,094 and an average discount of approximately 17.95% and 19.45%, respectively, from its NAV.

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

The Fund has an effective shelf registration authorizing an additional $200 million of common or preferred shares.

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.

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). On March 1, 2021, the Board continued the 4.000% dividend rate for Series C Preferred through the mandatory redemption date of March 26, 2025. On March 26, 2020, 1,935,093 Series C Preferred were put back to the Fund at the liquidation value of $96,754,650, plus accumulated and unpaid dividends. At June 30, 2021, there were 688,932 Series C Preferred outstanding and accrued dividends amounted to $19,137.

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. Significant Shareholder. As of June 30, 2021, approximately 34.03% of the Fund was beneficially owned by the Adviser and its affiliates, including managed accounts for which the affiliates of the Adviser have voting control but disclaim pecuniary interest.

7. 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

The GDL Fund

Notes to Financial Statements (Unaudited) (Continued)

losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.

8. 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 subsequent events requiring recognition or disclosure in the financial statements.

Certifications

The Fund’s Chief Executive Officer has certified to the New York Stock Exchange (NYSE) that, as of June 7, 2021, he was not aware of any violation by the Fund of applicable NYSE corporate governance listing standards. The Fund reports to the SEC on Form N-CSR which contains certifications by the Fund’s principal executive officer and principal financial officer that relate to the Fund’s disclosure in such reports and that are required by Rule 30a-2(a) under the 1940 Act.

Shareholder Meeting – May 10, 2021 – Final Results

The Fund’s Annual Meeting of Shareholders was held virtually on May 10, 2021. At that meeting, common and preferred shareholders, voting together as a single class, re-elected Leslie F. Foley, Mario J. Gabelli, and Michael J. Melarkey as Trustees of the Fund, with 13,273,343 votes, 11,647,835 votes, and 13,266,226 votes cast in favor of these Trustees, and 280,266 votes, 1,905,774 votes, and 287,383 votes withheld for these Trustees.

James P. Conn, Anthony S. Colavita, Clarence A. Davis, Agnes Mullady, and Salvatore J. Zizza continue to serve in their capacities as Trustees of the Fund.

We thank you for your participation and appreciate your continued support.

THE GDL FUND

AND YOUR PERSONAL PRIVACY

Who are we?

The GDL Fund is a closed-end management investment company registered with the Securities and Exchange Commission under the Investment Company Act of 1940. We are managed by Gabelli Funds, LLC, which is affiliated with GAMCO Investors, Inc., a publicly held company that has subsidiaries that provide investment advisory services for a variety of clients.

What kind of non-public information do we collect about you if you become a fund shareholder?

When you purchase shares of the Fund on the New York Stock Exchange, you have the option of registering directly with our transfer agent in order, for example, to participate in our dividend reinvestment plan.

●	Information you give us on your application form. This could include your name, address, telephone number, social security number, bank account number, and other information.

●

Information about your transactions with us. This would include information about the shares that you buy or sell; it may also include information about whether you sell or exercise rights that we have issued from time to time. If we hire someone else to provide services — like a transfer agent — we will also have information about the transactions that you conduct through them.

What information do we disclose and to whom do we disclose it?

We do not disclose any non-public personal information about our customers or former customers to anyone other than our affiliates, our service providers who need to know such information, and as otherwise permitted by law. If you want to find out what the law permits, you can read the privacy rules adopted by the Securities and Exchange Commission. They are in volume 17 of the Code of Federal Regulations, Part 248. The Commission often posts information about its regulations on its website, www. sec.gov.

What do we do to protect your personal information?

We restrict access to non-public personal information about you to the people who need to know that information in order to provide services to you or the fund and to ensure that we are complying with the laws governing the securities business. We maintain physical, electronic, and procedural safeguards to keep your personal information confidential.

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 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 contents of the portfolio managers’ commentary are unrestricted. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabelli.com.

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, New York 10580-1422

t 800-GABELLI (800-422-3554)

f 914-921-5118

e info@gabelli.com

GABELLI.COM

TRUSTEES

Mario J. Gabelli, CFA

Chairman and

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,

Addison Gallery of American Art

Michael J. Melarkey

Of Counsel,

McDonald Carano Wilson LLP

Agnes Mullady

Former Senior Vice President

of GAMCO Investors, Inc.

Salvatore J. Zizza

Chairman,

Zizza & Associates Corp.

OFFICERS

Bruce N. Alpert

President

John C. Ball

Treasurer

Peter Goldstein

Secretary & Vice President

Richard J. Walz

Chief Compliance Officer

Laurissa M. Matire

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 Q2/2021

(GRAPHIC)

(b)

Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

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.

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

Not applicable.

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

There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.

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 01/01/2021 through 01/31/2021	Common – 46,716 Preferred Series C – N/A	Common – $8.76 Preferred Series C – N/A	Common – 46,716 Preferred Series C – N/A	Common – 14,095,605 - 46,716 = 14,048,889 Preferred Series C – 2,624,025
Month #2 02/01/2021 through 02/28/2021	Common – 51,590 Preferred Series C – N/A	Common – $8.92 Preferred Series C – N/A	Common – 51,590 Preferred Series C – N/A	Common – 14,048,889 - 51,590 = 13,997,299 Preferred Series C – 2,624,025
Month #3 03/01/2021 through 03/31/2021	Common – 55,366 Preferred Series C – N/A	Common – $8.88 Preferred Series C – N/A	Common – 55,366 Preferred Series C – N/A	Common – 13,997,299 - 55,366 = 13,941,933 Preferred Series C – 2,624,025
Month #4 04/01/2021 through 04/30/2021	Common – 37,708 Preferred Series C – N/A	Common – $8.95 Preferred Series C – N/A	Common – 37,708 Preferred Series C – N/A	Common – 13,941,933 - 37,708 = 13,904,225 Preferred Series C – 2,624,025
Month #5 05/01/2021 through 05/31/2021	Common – 23,500 Preferred Series C – N/A	Common – $8.94 Preferred Series C – N/A	Common – 23,500 Preferred Series C – N/A	Common – 13,904,225 - 23,500 = 13,880,725 Preferred Series C – 2,624,025
Month #6 06/01/2021 through 06/30/2021	Common – 900 Preferred Series C – N/A	Common – $8.99 Preferred Series C – N/A	Common – 900 Preferred Series C – N/A	Common – 13,879,825 Preferred Series C – 2,624,025
Total	Common – 215,780 Preferred Series C – N/A	Common – $8.88 Preferred Series C – N/A	Common – 215,780 Preferred Series C – 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 in the Fund’s reports to shareholders 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”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b)

The registrant’s certifying officers are not aware of any changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the 1940 Act) that occurred during 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.

Not applicable.

Item 13. Exhibits.

(a)(1)

Not applicable.

(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)*	/s/ Bruce N. Alpert
	Bruce N. Alpert, Principal Executive Officer

Date

September 3, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

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

Date

September 3, 2021

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

Date

September 3, 2021

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