[Form 4] GAMCO Natural Resources, Gold & Income Trust Insider Trading Activity

Rhea-AI Filing Summary

Morgan Stanley Finance LLC, with a full guarantee from Morgan Stanley (NYSE: MS), is marketing BAUSE5X Step-Up Jump Notes with an Auto-Callable Feature that mature on August 2, 2032. The notes are linked to the BlackRock Adaptive U.S. Equity 5% Index ("BAUSE5X").

Key terms include: (1) Issue price of $1,000 per note; (2) Pricing date: July 28 2025; (3) Maturity: 7-year tenor; (4) Estimated value: $927 (±$55), reflecting upfront fees and hedging costs; (5) No periodic coupons; (6) Principal repayment floor: investors receive at least the stated principal at maturity, regardless of index performance, provided Morgan Stanley remains solvent.

Auto-call mechanics: Beginning July 28 2026, the notes are evaluated annually. If the BAUSE5X closes at or above the specified Call Threshold (starting at 101.25% and stair-stepping to 107.50% of the initial level), the notes are redeemed early for a fixed step-up payment that rises from ≥$1,105 to ≥$1,630 per note. If not called, holders retain exposure until maturity, where payouts vary from $1,000 (flat/down index) up to $1,600 when the index is ≥60% above its initial level.

Risk highlights (summarised from the supplement): credit risk of Morgan Stanley; illiquidity (no exchange listing); zero coupon; limited upside if auto-called; economic value 7.3% below issue price; performance tied to a young, volatility-targeted index launched in March 2023 that applies a 0.50% daily decrement.

Investors should read the full preliminary pricing supplement (SEC link provided) for complete terms, tax treatment, and detailed risk factors before considering an investment.

Positive

• Principal protected: Investors receive at least the $1,000 face value at maturity, regardless of index performance.
• Step-up call premiums ranging from 10.5% to 63% total provide predefined upside if the index meets call levels.
• Index diversification: Underlier is a rules-based, volatility-targeted equity index designed to smooth returns.

Negative

• Estimated value 7.3% below issue price indicates significant fees and negative carry.
• No periodic interest; investors earn nothing if the note is never called and index is flat/negative.
• Credit risk: Payments depend on Morgan Stanley’s ability to pay; no FDIC/ collateral support.
• Illiquidity: Unlisted security may trade at discounts; secondary market may be limited.
• Auto-call limits upside; best returns require early redemption, otherwise capped at $1,600 (60% index gain).
• Underlying index is new (March 2023 start) with limited performance history and daily 0.50% decrement.

Insights

Structured-Products Analyst

TL;DR: Callable note offers capped step-up returns and principal protection but embeds credit, liquidity and value drag risks; impact neutral on MS.

The BAUSE5X Step-Up Jump Note is a typical retail-focused yield replacement instrument. Its appeal lies in (i) full principal repayment at maturity and (ii) escalating call premiums (10.5% simple per annum if redeemed year 2). However, investors sacrifice current income, face reinvestment risk if called, and pay an estimated 7.3% structuring premium (issue price vs. $927 model value). Upside is capped at 63% (including call schedule) versus uncapped equity participation, while downside beyond principal loss is transferred to Morgan Stanley's balance sheet—making credit quality paramount. From Morgan Stanley's perspective, the issuance is routine funding with embedded hedging; it is not material to the firm's financials. Overall market impact: neutral.

SEC Form 4

FORM 4

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934
or Section 30(h) of the Investment Company Act of 1940

OMB APPROVAL

OMB Number:			3235-0287
Estimated average burden
hours per response:			0.5

Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

Check this box to indicate that a transaction was made pursuant to a contract, instruction or written plan for the purchase or sale of equity securities of the issuer that is intended to satisfy the affirmative defense conditions of Rule 10b5-1(c). See Instruction 10.

1. Name and Address of Reporting Person^*

GABELLI MARIO J

(Last) (First) (Middle)

C/O GAMCO INVESTORS, INC.

ONE CORPORATE CENTER

(Street)

RYE NY 10580

(City) (State) (Zip)

2. Issuer Name and Ticker or Trading Symbol
GAMCO Natural Resources, Gold & Income Trust [ GNT.B ]

5. Relationship of Reporting Person(s) to Issuer
(Check all applicable)

	Director	X	10% Owner
	Officer (give title below)	X	Other (specify below)
			Control Person of Adviser

3. Date of Earliest Transaction (Month/Day/Year)
06/26/2025

4. If Amendment, Date of Original Filed (Month/Day/Year)

6. Individual or Joint/Group Filing (Check Applicable Line)

X	Form filed by One Reporting Person
	Form filed by More than One Reporting Person

Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned
1. Title of Security (Instr. 3)	2. Transaction Date (Month/Day/Year)	2A. Deemed Execution Date, if any (Month/Day/Year)	3. Transaction Code (Instr. 8)		4. Securities Acquired (A) or Disposed Of (D) (Instr. 3, 4 and 5)			5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4)	6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	7. Nature of Indirect Beneficial Ownership (Instr. 4)
			Code	V	Amount	(A) or (D)	Price
Series B Cumulative Preferred Shares	06/26/2025		J(1)		280,000	D	$10	0	D
Series B Cumulative Preferred Shares								190,000	I	Associated Capital Group, Inc.(2)
Series B Cumulative Preferred Shares								250,000	I	GAMCO Investors, Inc.(3)

Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned (e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security (Instr. 3)	2. Conversion or Exercise Price of Derivative Security	3. Transaction Date (Month/Day/Year)	3A. Deemed Execution Date, if any (Month/Day/Year)	4. Transaction Code (Instr. 8)		5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5)		6. Date Exercisable and Expiration Date (Month/Day/Year)		7. Title and Amount of Securities Underlying Derivative Security (Instr. 3 and 4)		8. Price of Derivative Security (Instr. 5)	9. Number of derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)	10. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	11. Nature of Indirect Beneficial Ownership (Instr. 4)
				Code	V	(A)	(D)	Date Exercisable	Expiration Date	Title	Amount or Number of Shares

Explanation of Responses:

1. Shares were surrendered in accordance with Right to Put to the Fund up to 100% of Outstanding Series B Cumulative Preferred Shares.

2. The shares reported reflect the total shares owned by Associated Capital Group, Inc. (ACG). Mario J. Gabelli is the Executive Chair and controlling shareholder of ACG. Mr. Gabelli has less than a 100% interest in ACG and disclaims beneficial ownership of the shares held by it which are in excess of his indirect pecuniary interest.

3. The shares reported reflect the total shares owned by GAMCO Investors, Inc. (GAMCO). Mario J. Gabelli is the Chairman, Chief Executive Officer, controlling shareholder of GAMCO and Chief Investment Officer of Value Portfolios of Gabelli Funds, LLC (the Adviser). Mr. Gabelli has less than a 100% interest in GAMCO and disclaims beneficial ownership of the shares held by it which are in excess of his indirect pecuniary interest.

	Douglas R. Jamieson as Attorney-in-Fact for Mario J. Gabelli	06/30/2025
	** Signature of Reporting Person	Date
Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
* If the form is filed by more than one reporting person, see Instruction 4 (b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
Note: File three copies of this Form, one of which must be manually signed. If space is insufficient, see Instruction 6 for procedure.
Persons who respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB Number.

FAQ

What is the underlying index for Morgan Stanley’s BAUSE5X Step-Up Jump Notes?

The notes track the BlackRock Adaptive U.S. Equity 5% Index (BAUSE5X), a rules-based, volatility-targeted equity benchmark.

How does the auto-call feature work on MS BAUSE5X notes?

Starting July 28 2026, if BAUSE5X closes ≥101.25% of its initial level (thresholds step up annually), the note is redeemed for a fixed premium that rises from ≥$1,105 to ≥$1,630.

Do MS BAUSE5X Step-Up Jump Notes pay interest?

No. They do not pay periodic coupons; returns come solely from auto-call premiums or the final payment at maturity.

What is the estimated value versus the issue price of the notes?

Morgan Stanley estimates the fair value at $927 per $1,000 note (within ±$55), reflecting distribution, hedging and structuring costs.

Are investors exposed to market loss on the BAUSE5X index?

Market declines do not reduce principal; the minimum payment is $1,000, but investors give up upside and bear Morgan Stanley credit risk.

Is there secondary market liquidity for these notes?

The notes will not be listed on any exchange. Morgan Stanley may provide limited secondary trading but at prices reflecting market and credit factors.