UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

The GDL Fund (formerly, The Gabelli Global Deal 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: March 31, 2011

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

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

 

 

The Schedule(s) of Investments is attached herewith.

The GDL Fund
First Quarter Report
March 31, 2011

    Mario J. Gabelli, CFA

To Our Shareholders,

     During the first quarter of 2011, The GDL Fund’s (the “Fund”) net asset value (“NAV”) total return was 3.5% compared with the 3 Month U.S. Treasury Bill Index of 0.03%. The total return for the Fund’s publicly traded shares was 3.6% during the first quarter of 2011.

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

Comparative Results

(a)		Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Performance returns for periods of less than one year are not annualized. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The 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 considered reinvested except for the 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 New York Stock Exchange and reinvestment of distributions. Since inception return is based on an initial offering price of $20.00.

THE GDL FUND
SCHEDULE OF INVESTMENTS
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS — 82.4%
				Aerospace and Defense — 0.1%
	77,000			The Allied Defense Group Inc.†		$	272,195
				Aviation: Parts and Services — 0.1%
	12,000			Ladish Co. Inc.†			655,800
				Business Services — 7.2%
	5,000			Acxiom Corp.†			71,750
	90,000			Clear Channel Outdoor Holdings Inc., Cl. A†			1,309,500
	57,000			Diebold Inc.			2,021,220
	210,000			Emergency Medical Services Corp., Cl. A†			13,353,900
	288,500			GSI Commerce Inc.†			8,444,395
	12,000			GTSI Corp.†			55,080
	370,000			Rural/Metro Corp.†			6,304,800
	2,000			SeLoger.com			107,522
							31,668,167
				Cable and Satellite — 0.2%
	75,000			British Sky Broadcasting Group plc			992,604
				Computer Hardware — 0.0%
	1,000			SanDisk Corp.†			46,090
	10,000			Seagate Technology plc†			144,000
							190,090
				Computer Software and Services — 3.8%
	100,000			Answers Corp.†			1,040,000
	16,000			Hypercom Corp.†			192,480
	8,000			Mentor Graphics Corp.†			117,040
	450,000			NaviSite Inc.†			2,470,500
	5,000			Novell Inc.†			29,650
	21,600			Soapstone Networks Inc.			228
	600,000			Terremark Worldwide Inc.†			11,400,000
	95,000			Yahoo! Inc.†			1,581,750
							16,831,648
				Consumer Products and Services — 5.7%
	545,000			Alberto-Culver Co.			20,312,150
	45,000			Avon Products Inc.			1,216,800
	12,000			Fortune Brands Inc.			742,680
	29,000			Harman International Industries Inc.			1,357,780
	8,000			Heelys Inc.†			18,400
	500			Pre-Paid Legal Services Inc.†			33,000
	50,000			RC2 Corp.†			1,405,000
							25,085,810
				Diversified Industrial — 1.3%
	36,000			ITT Corp.			2,161,800
	384,000			Myers Industries Inc.			3,813,120
							5,974,920
				Educational Services — 0.0%
	7,000			Corinthian Colleges Inc.†			30,940
				Electronics — 5.9%
	500			Aleo Solar AG†			18,119
	211,700			Alliance Semiconductor Corp.			65,627
	105,000			Bel Fuse Inc., Cl. A			2,518,950
	136,000			Dionex Corp.†			16,054,800
	8,000			International Rectifier Corp.†			264,480
	480,000			L-1 Identity Solutions Inc.†			5,654,400
	25,000			Spectrum Control Inc.†			492,000
	2,800			Technology Research Corp.			19,992
	52,000			Zoran Corp.†			540,280
	42,000			Zygo Corp.†			614,040
							26,242,688
				Energy and Utilities — 6.2%
	280,000			Atlas Energy Inc., Escrow† (a)			28,000
	115,000			Atlas Energy LP			2,569,100
	10,000			Constellation Energy Group Inc.			311,300
	340,000			Dragon Oil plc†			3,261,678
	70,000			Dynegy Inc.†			398,300
	242,000			Endesa SA			7,498,838
	2,500			EXCO Resources Inc.			51,650
	20,000			Heritage Oil plc†			91,151
	20,000			Iberdrola Renovables SA			86,307
	3,000			Massey Energy Co.			205,080
	55,000			Nicor Inc.			2,953,500
	32,000			NorthWestern Corp.			969,600
	95,000			NRG Energy Inc.†			2,046,300
	1,000			Origin Energy Ltd.			16,777
	25,000			Pride International Inc.†			1,073,750
	115,000			Progress Energy Inc.			5,306,100
	5,000			SandRidge Energy Inc.†			64,000
	20,000			Seawell Ltd.†			138,149
	15,000			TGC Industries Inc.†			116,550
	500			Western Coal Corp.†			6,117
	100,000			WesternZagros Resources Ltd.†			56,730
							27,248,977
				Entertainment — 0.4%
	5,000			Silverleaf Resorts Inc.†			12,150
	102,000			Take-Two Interactive Software Inc.†			1,567,740
							1,579,890
				Equipment and Supplies — 0.0%
	1,000			The Middleby Corp.†			93,220
				Financial Services — 4.0%
	12,000			CNA Surety Corp.†			303,120
	2,000			Danvers Bancorp Inc.			42,840
	250,000			Marshall & Ilsley Corp.			1,997,500

See accompanying notes to schedule of investments

THE GDL FUND
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				Financial Services (Continued)
	210,775			NewAlliance Bancshares Inc.		$	3,127,901
	1,000			NYSE Euronext			35,170
	326,980			optionsXpress Holdings Inc.			5,987,004
	230,000			SLM Corp.†			3,519,000
	39,645			The Student Loan Corp., Escrow (a)			99,112
	623			Wesco Financial Corp.			242,472
	550,000			Wilmington Trust Corp.			2,486,000
							17,840,119
				Food and Beverage — 5.1%
	175,000			China Huiyuan Juice Group Ltd.			118,788
	100,000			Danisco A/S			12,620,695
	1,000			Reddy Ice Holdings Inc.†			3,000
	440,000			Sara Lee Corp.			7,774,800
	55,000			Wimm-Bill-Dann Foods OJSC, ADR†			1,840,850
							22,358,133
				Health Care — 16.4%
	500			Actelion Ltd.†			28,770
	27,000			Alcon Inc.			4,468,770
	30,000			America Service Group Inc.			769,200
	80,000			Animal Health International Inc.†			336,000
	15,000			ArthroCare Corp.†			500,100
	235,000			Beckman Coulter Inc.			19,521,450
	1,000			Biogen Idec Inc.†			73,390
	89,275			Caraco Pharmaceutical Laboratories Ltd.†			464,230
	10,000			Celera Corp.†			81,100
	22,000			Cephalon Inc.†			1,667,160
	73,000			Clinical Data Inc.†			2,211,900
	2,000			Enzon Pharmaceuticals Inc.†			21,800
	350,000			Genzyme Corp.†			26,652,500
	44,500			Indevus Pharmaceuticals Inc., Escrow† (a)			48,950
	3,000			Life Technologies Corp.†			157,260
	750,000			Q-Med AB†			9,387,031
	202,500			Smith & Nephew plc			2,283,712
	33,000			Talecris Biotherapeutics Holdings Corp.†			884,400
	16,000			TomoTherapy Inc.†			73,120
	20,000			Trimeris Inc.†			50,200
	170,000			WuXi PharmaTech (Cayman) Inc., ADR†			2,628,200
							72,309,243
				Hotels and Gaming — 0.0%
	1,000			MGM Resorts International†			13,150
				Machinery — 5.7%
	220,000			Bucyrus International Inc.			20,119,000
	5,000			Sauer-Danfoss Inc.†			254,650
	128,000			Tognum AG			4,607,579
							24,981,229
				Materials — 0.1%
	6,000			CIMPOR — Cimentos de Portugal SGPS SA			43,485
	5,000			Smurfit-Stone Container Corp.†			193,250
							236,735
				Media — 0.5%
	60,000			APN News & Media Ltd.			96,505
	68,000			Cablevision Systems Corp., Cl. A			2,353,480
							2,449,985
				Metals and Mining — 1.3%
	28,000			Camino Minerals Corp.†			9,819
	225,000			Consolidated Thompson Iron Mines Ltd.†			3,977,824
	20,000			Forsys Metals Corp.†			39,195
	80,000			Fronteer Gold Inc.†			1,209,696
	5,000			Lonmin plc			136,598
	1,000			Lundin Mining Corp., Toronto†			8,303
	9,000			Xstrata plc			210,360
							5,591,795
				Publishing — 0.0%
	136,000			SCMP Group Ltd.			29,373
				Real Estate — 0.0%
	5,000			ECO Business-Immobilien AG†			47,809
				Real Estate Investment Trusts — 0.1%
	16,000			Nationwide Health Properties Inc.			680,480
				Retail — 3.2%
	470,000			Bulgari SpA			8,146,169
	103,000			Casey’s General Stores Inc.			4,017,000
	11,000			Dollar Thrifty Automotive Group Inc.†			734,030
	270,000			J. Crew Group Inc., Escrow† (a)			0
	46,000			Massmart Holdings Ltd.			953,455
	2,000			Regis Corp.			35,480
	8,000			Retail Ventures Inc.†			138,000
							14,024,134
				Semiconductors — 1.4%
	2,500			LTX-Credence Corp.†			22,825
	450,000			Verigy Ltd.†			6,340,500
							6,363,325

See accompanying notes to schedule of investments

THE GDL FUND
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

						Market
Shares						Value
				Specialty Chemicals — 5.4%
	22,000			Airgas Inc.		$	1,461,240
	30,000			Ashland Inc.			1,732,800
	155,000			The Lubrizol Corp.			20,763,800
							23,957,840
				Telecommunications — 7.3%
	700,000			Asia Satellite Telecommunications Holdings Ltd.			1,304,870
	380,000			Atheros Communications Inc.†			16,967,000
	24,000			BCE Inc.			872,160
	215,000			Hughes Communications Inc.†			12,829,050
	12,000			Portugal Telecom SGPS SA			138,499
							32,111,579
				Transportation — 1.0%
	5,000			AirTran Holdings Inc.†			37,250
	190,000			K-Sea Transportation Partners LP†			1,554,200
	201,600			Vector Aerospace Corp.†			2,667,899
							4,259,349
				TOTAL COMMON STOCKS			364,121,227
				WARRANTS — 0.0%
				Metals and Mining — 0.0%
	220			Kinross Gold Corp., Cl. D, expire 09/17/14†			613
Principal
Amount
				CONVERTIBLE CORPORATE BONDS — 1.0%
				Aerospace — 0.1%
$	500,000			GenCorp Inc., Sub. Deb. Cv., 4.063%, 12/31/39			500,625
				Computer Hardware — 0.9%
	4,000,000			SanDisk Corp., Cv., 1.000%, 05/15/13			3,945,000
				TOTAL CONVERTIBLE CORPORATE BONDS			4,445,625
				CORPORATE BONDS — 0.1%
				Energy and Utilities — 0.1%
	600,000			Texas Competitive Electric Holdings Co. LLC, Ser. B (STEP), 10.250%, 11/01/15			352,500
				U.S. GOVERNMENT OBLIGATIONS — 16.5%
	72,810,000			U.S. Treasury Bills, 0.125% to 0.210%††, 05/19/11 to 09/22/11 (b)			72,792,086
TOTAL INVESTMENTS — 100.0%
(Cost $438,053,040)						$	441,712,051
				Aggregate tax cost		$	439,599,855
				Gross unrealized appreciation		$	15,187,149
				Gross unrealized depreciation			(13,074,953	)
				Net unrealized appreciation/depreciation		$	2,112,196
						Market
Shares						Value
				SECURITIES SOLD SHORT — (1.4)%
				Financial Services — (1.4)%
	333,520			The Charles Schwab Corp.		$	6,013,366
TOTAL SECURITIES SOLD SHORT
(Proceeds received $6,053,795)						$	6,013,366
				Aggregate proceeds		$	6,053,795
				Gross unrealized appreciation		$	404,290
				Gross unrealized depreciation			0
				Net unrealized appreciation/depreciation		$	404,290

Principal

Settlement

Unrealized

Amount

Date

Depreciation

FORWARD FOREIGN EXCHANGE CONTRACTS

46,550,000

(c)

Deliver Danish Krone in exchange for United States Dollars 8,737,190(d)

05/06/11

$

(105,387

)

19,950,000

(c)

Deliver Danish Krone in exchange for United States Dollars 3,775,563(d)

05/06/11

(14,112

)

TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS

(119,499

)

See accompanying notes to schedule of investments.

THE GDL FUND
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

Unrealized

Notional

Termination

Appreciation/

Amount

Date

Depreciation

EQUITY CONTRACT FOR DIFFERENCE SWAP AGREEMENTS

$

198,333

(100,000 Shares)

Gulf Keystone Petroleum Ltd.

06/27/11

$

44,616

5,717

(1,000 Shares)

J Sainbury plc

06/27/11

(341

)

TOTAL EQUITY CONTRACT FOR DIFFERENCE SWAP AGREEMENTS

44,275

		% of
		Market				Market
Geographic Diversification		Value				Value
North America			84.7	%		$	373,924,887
Europe			12.0				52,898,869
Asia/Pacific			2.4				10,535,014
Africa/Middle East			0.7				3,261,678
South Africa			0.2				953,454
Latin America			0.0				138,149
Total Investments			100.0	%		$	441,712,051

See accompanying notes to schedule of investments.

THE GDL FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

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

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

     Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt instruments with remaining maturities of sixty days or less that are not credit impaired are valued at amortized cost, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Debt instruments having a maturity greater than sixty days for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price. U.S. government obligations with maturities greater than sixty days are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded.

     Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value ADR securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

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

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

THE GDL FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

     A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of March 31, 2011 is as follows:

		Valuation Inputs
		Level 1				Level 2				Level 3				Total
		Quoted				Other Significant				Significant				Market Value
		Prices				Observable Inputs				Unobservable Inputs				at 3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Energy and Utilities		$	27,220,977				—			$	28,000			$	27,248,977
Financial Services			17,741,007				—				99,112				17,840,119
Health Care			72,260,293				—				48,950				72,309,243
Retail			14,024,134				—				0				14,024,134
Other Industries (a)			232,698,754				—				—				232,698,754
Total Common Stocks			363,945,165				—				176,062				364,121,227
Warrants (a)			613				—				—				613
Convertible Corporate Bonds			—			$	4,445,625				—				4,445,625
Corporate Bonds			—				352,500				—				352,500
U.S. Government Obligations			—				72,792,086				—				72,792,086
TOTAL INVESTMENTS IN SECURITIES — ASSETS		$	363,945,778			$	77,590,211			$	176,062			$	441,712,051
INVESTMENTS IN SECURITIES:
LIABILITIES (Market Value):
Common Stocks Sold Short (a)		$	(6,013,366	)		$	—			$	—			$	(6,013,366	)
TOTAL INVESTMENTS IN SECURITIES — LIABILITIES		$	(6,013,366	)		$	—			$	—			$	(6,013,366	)
OTHER FINANCIAL INSTRUMENTS:
ASSETS (Unrealized Appreciation):*
EQUITY CONTRACT
Contract for Difference Swap Agreement		$	—			$	44,616			$	—			$	44,616
LIABILITIES (Unrealized Depreciation):*
EQUITY CONTRACT
Contract for Difference Swap Agreement		$	—			$	(341	)		$	—			$	(341	)
FOREIGN CURRENCY EXCHANGE CONTRACTS
Forward Foreign Exchange Contracts			—				(119,499	)			—				(119,499	)
TOTAL OTHER FINANCIAL INSTRUMENTS		$	—			$	(75,224	)		$	—			$	(75,224	)

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

THE GDL FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

     The following table reconciles Level 3 investments for which significant unobservable inputs were used to determine fair value:

																																						Net change
																																						in unrealized
																																						appreciation/
																																						depreciation
														Change in																								during the
		Balance				Accrued				Realized				unrealized												Transfers				Transfers				Balance				period on Level 3
		as of				discounts/				gain/				appreciation/												into				out of				as of				investments held
		12/31/10				(premiums)				(loss)				depreciation				Purchases				Sales				Level 3†				Level 3†				3/31/11				at 3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Energy and Utilities		$	—			$	—			$	—			$	28,000			$	0			$	—			$	—			$	—			$	28,000			$	28,000
Financial Services			—				—				—				99,112				0				—				—				—				99,112				99,112
Health Care			48,950				—				—				—				—				—				—				—				48,950				—
Retail			—				—				—				—				0				—				—				—				0				—
TOTAL INVESTMENTS IN SECURITIES		$	48,950			$	—			$	—			$	127,112			$	0			$	—			$	—			$	—			$	176,062			$	127,112

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 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. Security sold short at March 31, 2011 is reported within the Schedule of Investments.

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/loss on investments.

Foreign Securities. The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.

THE GDL FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purposes of increasing the income of the Fund, 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 that, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund’s ability to pay distributions.

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

     Swap Agreements. The Fund may enter into equity contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an equity contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

     The Fund has entered into equity contract for difference swap agreements with The Goldman Sachs Group, Inc. Details of the swaps at March 31, 2011 are reflected within the Schedule of Investments and further details as follows:

Net Unrealized

Notional

Equity Security

Interest Rate/

Termination

Appreciation/

Amount

Received

Equity Security Paid

Date

Depreciation

Market Value

One Month LIBOR plus 90 bps plus

Appreciation on:

Market Value Depreciation on:

$198,333 (100,000 Shares)

Gulf Keystone Petroleum Ltd.

Gulf Keystone Petroleum Ltd.

6/27/11

$

44,616

5,717 (1,000 Shares)

J Sainsbury plc

J Sainsbury plc

6/27/11

(341

)

$

44,275

     The Fund’s volume of activity in equity contract for difference swap agreements during the period ended March 31, 2011 had an average monthly notional amount of approximately $256,648.

THE GDL FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

     Futures Contracts. The Fund may engage in futures contracts for the purpose of hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized appreciation/depreciation on futures contracts. The Fund recognizes a realized gain or loss when the contract is closed.

     There are several risks in connection with the use of futures contracts as a hedging instrument. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the hedged investments. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market. During the period ended March 31, 2011, the Fund held no investments in futures 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 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. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Forward foreign exchange contracts at March 31, 2011 are presented within the Schedule of Investments.

     The Fund’s volume of activity in forward foreign currency contracts during the period ended March 31, 2011 had an average monthly value of approximately $8,650,788.

     The following table summarizes the net unrealized appreciation/depreciation of derivatives held at March 31, 2011 by primary risk exposure:

		Net Unrealized
		Appreciation/
		Depreciation
Asset Derivatives:
Equity Contract		$	44,616

Liability Derivatives:
Equity Contract		$	(341	)
Forward Currency Exchange Contracts			(119,499	)
Total		$	(119,840	)

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

     Under the current tax law, capital losses related to securities and foreign currency realized after October 31 and prior to the Fund’s year end may be treated as occurring on the first day of the following year. For the year ended December 31, 2010, the Fund deferred capital losses of $21,970.

TRUSTEES AND OFFICERS
THE GDL FUND
One Corporate Center, Rye, NY 10580-1422

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

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

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

Item 2. Controls and Procedures.

	(a)		The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
	(b)		There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)   The GDL Fund (formerly, The Gabelli Global Deal Fund)

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

Date  5/31/11

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

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