To Our Shareholders,

For the quarter ended March 31, 2013, the net asset value (“NAV”) total return of The Gabelli Utility Trust(the “Fund”) was 11.3%, excluding the effect of the recent common share rights offering. The total return forthe Standard & Poor’s (“S&P”) 500 Utilities Index was 13.0%. The total return for the Fund’s publicly tradedshares was 14.7%. The Fund’s NAV per share was $5.94, while the price of the publicly traded shares closedat $6.90 on the New York Stock Exchange (“NYSE”).

Introduction

The S&P Utilities Index rose 13% in the first quarter of 2013, as investors “shook off” late 2012 dividendtax fears and gained comfort that ample utility dividend returns would be taxed at reasonable levels. The

Comparative Results

Average Annual Returns through March 31, 2013 (a) SinceInception

Quarter 1 Year 5 Year 10 Year (07/09/99)———— ——— ——— —–—— ———–——Gabelli Utility TrustNAV Total Return (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.30% 17.21% 9.71% 11.73% 9.19%Investment Total Return (c) . . . . . . . . . . . . . . . . . . . . . . . 14.66 (7.07) 3.95 6.24 8.37

S&P 500 Utilities Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.02 16.37 5.02 12.14 5.47(d)Lipper Utility Fund Average . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.78 18.83 5.79 12.32 5.71S&P 500 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.61 13.96 5.81 8.53 2.87(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 forperformance information as of the most recent month end. Performance returns for periods of less than one yearare not annualized. Investors should carefully consider the investment objectives, risks, charges, andexpenses of the Fund before investing. The S&P 500 Utilities Index is an unmanaged market capitalizationweighted Index of large capitalization stocks that may include facilities generation and transmission or distribution ofelectricity, gas, or water.The Lipper Utility Fund Average reflects the average performance of open-end mutual fundsclassified in this particular category. The S&P 500 Index is an unmanaged indicator of stock market performance.Dividends are considered reinvested. You cannot invest directly in an index.

(b) Total returns and average annual returns reflect changes in the NAV per share, reinvestment of distributions at NAVon the ex-dividend date, and adjustments for rights offerings and are net of expenses. Since inception return isbased on an initial NAV of $7.50.

(c) Total returns and average annual returns reflect changes in closing market values on the NYSE, reinvestment ofdistributions, and adjustments for rights offerings. Since inception return is based on an initial offering price of $7.50.

(d) From June 30, 1999, the date closest to the Fund’s inception for which data is available.

Mario J. Gabelli, CFA

The Gabelli Utility TrustShareholder Commentary – March 31, 2013

Portfolio Manager

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potential for dividend tax rates as high as 43.4% had deflated much optimism during late 2012. The AmericanTaxpayer Relief Act of 2012, signed on January 2, 2013, assured investors that dividends (and capital gains)would be taxed at 20% for individual incomes over $400,000 and household incomes over $450,000, and 0%for those in the 25% tax bracket and below. The tax rate would remain at 15% for those between 25% and thetop earning tax bracket. Further, dividend and capital gains tax rates are now permanently linked.

Premium / Discount Discussion

As a refresher for our shareholders, the price of a closed-end fund is determined in the open market bywilling buyers and sellers. Shares of the Fund trade on the NYSE and may trade at a premium to (higher than)net asset value (the market value of the Fund’s underlying portfolio and other assets less any liabilities) or adiscount to (lower than) net asset value. Of the 595 closed-end funds that are publicly traded in the U.S. as ofMarch 31, 2013, approximately 35% trade at premiums to NAV compared with 15% five years ago and 33%ten years ago.

Ideally, the Fund’s market price will generally track the NAV. However, the Fund’s premium or discount toNAV may vary over time. Over the Fund’s thirteen year history, the range fluctuated from a 78% premium inJanuary 2010 to a 3% discount in November 2000. Shortly after the inception of the Fund, the market price ofthe Fund exceeded the NAV and this premium continues today. On March 31, 2013, the market price of theFund was at a 16.2% premium to its NAV.

The Fund’s investment goals are long term growth of capital and income. We believe that our stockselection process adds to the investment equation. We have a successful history of investment, providingshareholders average annual returns of 9.2% since inception. However, it is important to remember that “Mr.Market” is a pendulum that swings both ways. As the market moves away from momentum investing andback to basics, we believe that an excessive premium for the Fund is not likely to be sustainable.

-10%

1999 2000

0%

10%

20%

30%

80%

60%

70%

50%

40%

2002 2003 2007 2008 20092006200520042001

PREMIUM/DISCOUNT SINCE INCEPTION

Data points as of each month end.

March 31, 2013

Net Asset Value $5.94Market Price $6.90Premium 16.16%

20103/31/13

20117/9/99

2012

Investment Outlook

With the dividend tax issued resolved, we do not see any “wild cards” to threaten the expected 8% - 10%total return potential of the utility group. The fundamentals of the utility sector remain solid, and include strongbalance sheets, positive credit outlooks, and increasingly constructive state public utility commissionregulation. The healthy environment continues to be supported by low natural gas prices and low interest rates.Both are major contributors to allowing significant infrastructure investment with minimal customer bill impact.The Presidential election did not change the makeup of federal government, and the Administration’saggressive climate change priorities remain challenged by a partisan divide. Interest rates, natural gas prices,and economic growth will continue to be major macro drivers of utility stock performance, while individual ratecase decisions, service area growth, and consolidation are the more important micro drivers.

Deal Activity

Consolidation activity was slow in the first quarter of 2013, and limited to asset purchases and spinoffs,but we expect the long term trend of utility consolidation to continue unabated, given the pressure to delivercleaner energy at reasonable prices. Utility infrastructure requires significant investment to replace agingfacilities and networks, as well as to comply with increasing environmental standards. The need for scaleeconomies is driving mergers. Larger players with greater financial resources and portfolios of assets can turnthese challenges into opportunities, which places greater value on strategic assets and rewards utilityshareholders.

Some larger utilities have been created through consolidation over the last couple of years, including theJuly 2012 Duke Energy/Progress Energy merger, the April 2012 Northeast Utilities/NStar merger, the March2012 Exelon/Constellation Energy merger, and the December 2012 NRG/GenOn merger. The biggestshareholder gains continue to be with the smaller utilities being purchased at premium prices, such as the June2012 Central Vermont Public Service purchase by Gaz Metro following a bidding war with Fortis, and CHEnergy Group’s pending takeover by FTI.

As outlined in the table below, 2012 saw several high profile deals in the natural gas transportation field,including Kinder Morgan’s acquisition of El Paso Corporation and Energy Transfer Equity’s (ETE) acquisitionof Southern Union Gas (SUG). The development of the enormous shale natural gas reserves in the U.S. hasspurred construction of new pipeline routes and more midstream infrastructure. These transactions highlightthe value of owning pipeline footprints to connect new shale supplies and major consumption markets, and webelieve additional mergers and acquisitions are likely to come.

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Larger Utility Transactions Announced Since 1/1/2010Date Value Premium Multiple Paid Date

Announced Target Entity Acquirer ($ Millions) Paid (%) EV/EBITDA (X) Type Closed2/11/13 New England Gas Company Algonquin Power 74 NA 7.8 Cash Pending

12/20/12 EQT Distribution Assets Peoples Natural Gas 1,080 NA 9.5 Cash/Assets Pending12/17/12 Missouri Gas & New England Gas Laclede Group 1,020 NA 10.8 Cash Pending7/22/12 GenON NRG Energy Inc. 3.4 21 7.4 Stock 12/14/122/21/12 CH Energy Group Fortis 1.267 10.5 10 Cash Pending10/16/11 El Paso Corporation Kinder Morgan 38,000 37 10.5 Cash/Stock 5/24/127/19/11 Southern Union Gas Energy Transfer Equity 9,232 57 10 Cash/Stock 3/26/126/23/11 Southern Union Gas Williams Cos. 9,201 56 9.3 Cash Terminated6/23/11 Central Vermont P.S. Gaz Metro 695 NMF 10.7 Cash 6/27/126/16/11 Southern Union Gas Energy Transfer Equity 7,800 17 8.04 Stock Amended5/30/11 Central Vermont P.S. Fortis 694 44 10.7 Cash Terminated4/28/11 Constellation Energy Exelon 10,500 18 6.6 Stock 3/12/124/20/11 DPL, Inc. AES Corp. 4,700 9 7.2 Cash 11/28/111/10/11 Progress Energy Duke Energy 25,700 7 8.4 Stock 7/2/12

12/15/10 Dynegy, Inc. Icahn Enterprises 349 NA $408/kilowatt Cash/Debt Terminated12/9/10 Granite State Electric Co. Algonquin Power 285 9.2 Cash Pending12/5/10 NICOR AGL Resources 3,100 22 7.7 Cash/Stock 12/9/1110/18/10 NSTAR Northeast Utilities 6,900 0 7.1 Stock 4/10/128/13/10 Generating Assets NRG Energy Inc. 1,360 NA $350/kilowatt Cash Terminated8/13/10 Dynegy, Inc. Blackstone Group 4,700 72 $385/kilowatt Cash/Debt Terminated8/9/10 Boston Generating Constellation Energy 1,100 NA $372/kilowatt Cash 1/3/115/25/10 CT/MA LDCs UIL Holdings Corp. 1,296 NA 9.4 Cash 11/16/104/29/10 E.ON US LLC PPL Corp. 7,625 NA 9.9 Cash 11/1/104/21/10 Conectiv Energy Fleet Calpine Corp. 1,650 NA $427/kilowatt Cash 7/1/104/11/10 Mirant Corp. RRI Energy Inc. 2,297 4 $228/kilowatt Stock 12/3/103/12/10 Maine & Maritimes Corp. Emera Inc. 105 41 16.7 Cash 12/21/103/3/10 Southwest Water Co. Private Investors 428 56 12.3 Cash 9/13/102/11/10 Allegheny Energy Inc. FirstEnergy Corp. 8,500 32 7.1 Stock 2/25/11

Source: Company documents, G.research, Inc. estimates

COMMENTARY

You’ve got to be very careful if you don’t know where you are going, because you might not get there.–Yogi Berra

Baseball legend Yogi Berra’s famous “Yogi-ism’s” were loved for their simplicity and ability to emphasizethe obvious. Given the recent strong market and utility returns, we emphasize that utility investors stay focusedon the merits of the expected 8% - 10% low risk total return potential offered by utility stocks. The return iscomprised of the nearly 4% dividend return, plus an expected 4% - 6% annual earnings and dividend growthpotential. Obviously, actual future returns will be impacted by changes in interest rates, perceived risk potential,and general market multiples. Following the strong recent performance, utility stocks trade at sixteen timesforward earnings, which compares with a twenty year median forward multiple of thirteen to fourteen times.However, when adjusted for historically low interest rates, including ten and twenty year U.S. Treasury rates of1.9% and 3.1%, valuations appear low relative to twenty year historical standards.

Utility stock prices are supported by the attractive 3.8% average current dividend return, which representsa high 200% of the ten year U.S. Treasury rate, made all the more compelling by the expectation that theannual rates will grow in line with earnings growth. We are comfortable with the consensus regulated utility

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earnings growth outlook of 4.5% in 2013, 6.0% in 2014, and 5.0% in 2015, driven primarily by higher rates,modest demand growth, and cost controls. The 63% dividend payout of 2013 earnings provides ample cushionfor security and some room for accelerated growth.

In addition to attractive dividend returns, earnings/dividend growth potential, and reasonable valuations,we emphasize that utility stocks maintain relatively low risk profiles. Utility balance sheets are solid, withaverage/median common equity ratios of 46%, and managements remain focused on the core regulatedbusiness model. Accordingly, the Edison Electric Institute states that 96% of utility credit ratings are stable orpositive. We continue to favor utilities with above average electric demand growth, constructive regulatorymechanisms (riders), and/or electric and gas transmission growth opportunities at attractive valuations.

Utility stocks do face some ongoing challenges, including slower electric demand, heavy capitalinvestment requirements, declining allowed return on equity (ROE), and weak wholesale power prices.

Over the last few years (2008 - 2012), average U.S. electric demand growth has slowed to a nationalaverage of ~1% per annum (though it varies by region), and it has not kept its historical pace with GDP growth.Conservation, efficiency, and distributed generation (solar panels, microturbines, fuel cells) have played somerole in negating growth, but unusual weather patterns have combined with exaggerated price elasticity duringthe weak economic times to impact demand data. The housing market has been a difficult variable, asresidential electric demand is highly influenced by the number of households. After the dramatic decline of thehousing market, it now appears that it is rapidly recovering. While our financial and valuation forecasts arebased on the “new consensus” of lower electric demand growth (we assume ~1% per annum), we do suspectthat electric demand growth will return to historical trends as consumers’ budgets and outlooks improve.

Capital investment is expected to remain heavy over the next few years, with projections of $85 - $90billion, $83.5 billion, and $79.3 billion in 2013, 2014, and 2015, respectively. The primary driver continues to berelated to Environmental Protection Agency mandated environmental projects. The electric power industrycontinues to make impressive strides in addressing the environment, including 70% reductions in SOX andNOX from 1990 national levels, despite a 40% increase in electric demand. Carbon dioxide levels are 17%below 2005 levels. However, several environmental rules are awaiting final action or implementation, includingthe cross state air pollution rule, which must be revised to comply with a court order, implementation of theregional haze rule (west of the Mississippi), Mercury and Air Toxics standards implementation (2015), andenforcement, particularly those requesting a four year compliance.

These investments are expected to be recognized in rate base and rates adjusted to allow for earningsgrowth. Many regulatory jurisdictions encourage the investment through annual, semiannual, or even quarterlyriders, which result in more timely earnings growth. In 2012, average awarded ROE levels declined to 10%,and we expect to see further pressure on state regulated profit levels in future cases should interest ratesremain at historical lows. However, the absolute decline in profit levels has not been as significant as thedecline in utility cost of capital, and thus the spread has increased. The spread between the average allowedROE of 10% and the ten year U.S. Treasury note yield of 1.9% was over 800 basis points. When combinedwith opportunities to invest and earn returns on a growing rate base, particularly environmental complianceprojects and higher earning transmission investments, we consider the allowed ROEs to be more thanadequate to grow earnings and dividends at the consensus growth rates.

We also highlight that Federal Regulatory Energy Commission (“FERC”) regulated transmission isawarded higher and more timely returns than most state regulated infrastructure. Transmission projects oftenearn base allowed ROEs of 10% - 11%, with as much as 300 basis points of incentives. As a result, utilities

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have allocated more investment capital toward transmission projects. While FERC now has eight casesrequesting lower allowed ROE’s and is reviewing its incentive policies, the current policy has resulted in thesignificant increase in transmission buildout to ensure reliability, reduce congestion, and facilitate renewables.

Merchant power plants continue to face depressed margins, primarily due to low gas prices. Absent anacceleration of electric demand growth, they are reliant upon plant retirements to push prices upward. Givennatural gas’s position as the marginal power price setter and the abundance of domestic shale gas, we expectpower prices and non regulated power margins to remain at reasonable levels for the foreseeable future. Lowspot and future gas prices have led to an unprecedented level of “coal-to-gas fired power generation switching.”In 2012, coal fired generation declined to an historically low “less than 40%” of total electric output, offset byan increase in gas fired generation to over 30%. Over the 2008 - 2010 period, coal fired generation providedroughly 45% of U.S. electricity, natural gas 25%, nuclear 20%, and hydro, oil, wind, solar, and other sourcesroughly 10%. We expect 50,000 - 70,000 megawatts (MW) of older and less efficient coal fired generation toretire by 2016, but a continuation of low gas prices would accelerate coal plant retirements.

Despite these headwinds, the utility sector is in strong fundamental shape, and we continue to expect lowrisk 8% - 10% annual total returns over the next few years.

Our Approach

For several decades, utility companies have acquired other utilities and utility assets for the sake ofgaining economies of scale and efficiency. The same forces that resulted in more than one hundred utilitytakeover announcements over the past two decades remain in place, and new forces have come into play thatcontinue to drive this long term trend. Climate change and environmental policy have pressured marginalplayers. The pickup in merger activity reinforces the long term bias of utilities to increase scale or gain astrategic benefit. The small companies are selling out at premium prices as the cost of staying in the gamerises. The historical lengthy merger review and approval process appears to have eased as policy makersunderstand the new economic dynamics.

Despite over ninety completed utility mergers/acquisitions since 1993, the electric and gas utility sectorremains fragmented, with over sixty electric utilities and thirty gas utilities. This is fifty more than we need fromthe standpoint of economic efficiency.

Our investments in regulated companies have primarily, though not exclusively, focused on fundamentallysound, reasonably priced, mid cap and small cap utilities that are likely acquisition targets for large utilitiesseeking increased bulk. We prefer utilities that operate in more constructive regulatory environments, possesslower carbon footprints, and/or access to strategic geographies. We favor utilities with pending transmissionline developments, and we focus on natural gas pipelines and storage operators as a way to take advantageof the growing demand for natural gas in the U.S.

Let’s Talk Stocks

The following are stock specifics on selected holdings of our Fund. Favorable earnings prospects do notnecessarily translate into higher stock prices, but they do express a positive trend that we believe will developover time. Individual securities mentioned are not necessarily representative of the entire portfolio. The shareprices of the following holdings are stated in U.S. dollars or U.S. dollar equivalent terms as of March 31, 2013.

Alliant Energy Corp. (LNT - $50.18 - NYSE) is a mid cap regulated utility based in Madison, WI, serving IA andMN through Interstate Power & Light (IPL) and WI through Wisconsin Power & Light (WPL). IPL serves

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528,000 electric and 234,000 gas customers. WPL serves 460,000 electric and 181,000 gas utility customersin south and central WI, and owns 16% of American Transmission Company, an independent transmissioncompany. The regulated utilities generate ~95% of consolidated earnings. As a result of mid-2012 PublicService Commission of Wisconsin rate decisions, WPL will operate under a retail electric base rate freeze for2013-2014, based on average 2013 and 2014 electric rate bases of $2.1 billion and $2.2 billion, respectively,and a gas rate base of $200 million in 2013 and 2014. We believe the company is well positioned to fund itssignificant rate base growth, including the construction of a 600 MW combined cycle plant for $650-750 million(in service 2017), given a strong balance sheet (51% common equity ratio), and credit ratings (‘BBB’ by S&P),as well as receive timely rate recognition of investment.

El Paso Electric Co. (EE - $33.65 - NYSE) is a vertically integrated electric utility serving 384,000 customersin and around El Paso, TX and Las Cruces, NM. We consider El Paso Electric to be a well managed, low risk,traditional utility investment, with solid earnings growth potential. We expect above average annual customerand sales growth of 1% - 2% and 2% - 3%, respectively, due to military base expansion and customerimmigration, as well as an increased use of refrigerated air conditioning. Fort Bliss has grown from 9,500soldiers in 2005 to roughly 30,000, and is being considered for an Air Force training center. Additionally, only35% of El Paso residences have refrigerated air conditioning, but 99% of new residences install central airconditioning. As a result, EE is one of the few electric utilities experiencing meaningful usage-per-customergrowth. Over the past five years, EE grew its customer base by 1.6% per annum and customer usage by 4.3%per annum, which compares with the national averages of –0.12% and 0.43%, respectively.

National Fuel Gas Co. (NFG - $61.35 - NYSE) is a diversified natural gas company. NFG owns a regulated gasutility serving the region around Buffalo, NY, gas pipelines that move gas between the Midwest and Canadaand from the Marcellus to the Northeast, and an oil and gas exploration and production business. NFG’sregulated utility and pipeline businesses, as well as its CA oil production business, provide stable earnings andcash flows to support the dividend, while the natural gas production business offers significant upside potential.NFG’s ownership of 800,000 acres in the Marcellus shale, including 745,000 acres in the shale fairway of PA,holds enormous natural gas reserve potential, and we believe the position could be worth $3.4 billion, basedon recent comparable transactions. Despite the decline in natural gas prices leading to lower production levels,we continue to expect significant long term earnings and cash flow growth from gas production, and we remainexcited about the expansion potential of the strategically located pipeline network. The company has increasedits dividend for over forty consecutive years.

NextEra Energy Inc. (NEE - $77.68 - NYSE) is the holding company for Florida Power & Light (FP&L), thelargest electric utility in Florida, and NextEra Energy Resources (NER), a leading wholesale power generator.We regard NEE as one of the better positioned electric companies to grow earnings and dividends over thenext several years. FP&L operates one of the premier utility franchises in the nation, with favorable long termdemographics and above average rate base growth potential, due to the power plant rate adjustments, flexibleamortization and other regulatory mechanisms. Additionally, NER owns and operates the nation’s largestrenewable power portfolio, with a significant pipeline of future growth opportunities. Given a 54% payout of our2013 earnings estimate and 5% - 7% annual earnings growth forecast, we expect 8% annual dividend growththrough 2016 to achieve the targeted 55% payout ratio. In January 2013, as part of a four year plan, FP&Limplemented a $350 million annual base rate increase premised on an allowed ROE of 10.5% (+/-100 basispoints). Importantly, FP&L can raise rates to recognize $3.5 billion of power plant modernization projects. Inaddition, NEE currently expects roughly $1.5 billion in free cash flow (after dividends and capital expenditures)in 2014, absent new growth projects, that could be used for stock buybacks or higher dividends.

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Northeast Utilities (NU - $43.46 - NYSE) is New England’s largest electric and gas distribution utility anddelivery system, serving 3.5 million customers. On April 10, 2012, NU, headquartered in Hartford, CT, closedits merger with NSTAR, headquartered in Boston, MA. NST shareholders received 1.312 shares of NU,creating an even stronger New England distribution utility. Northeast Utilities serves 2.0 million customers inCT, NH, and MA, and NSTAR serves 1.4 million electric and gas customers in Eastern and Central MA. Webelieve that the combined company will be able to take advantage of its larger scale and scope to execute ona number of regulated investment projects. NST’s strong balance sheet allows for the funding of the combinedtransmission investment opportunities, including the Northern Pass (designed to bring enormous hydrocapacity from Quebec into New England), New England reliability (the NEEWS Projects), and smaller projectswithin their service territory. We consider NU to be one of the better transmission plays, and given mergersynergies and larger scale, we expect an enhanced earnings growth profile (the higher end of ~6% - 9%regulated earnings per share CAGR).

ONEOK Inc. (OKE - $47.67 - NYSE) is a diversified energy company that owns 100% of the generalpartnership units and 43.4% of the limited partnership units of ONEOK Partners (OKS), a Master LimitedPartnership engaged in the gathering, processing, storage, and transportation of natural gas and natural gasliquids. ONEOK also provides natural gas distribution service to over two million customers, primarily in OK,KS, and TX. The regulated utility is able to provide cash flow that can be used to invest in higher return pipelineprojects. In late November, the company had to postpone one of its flagship projects, the 1,300 mile BakkenExpress pipeline, which would have transported light sweet crude from the Bakken Shale to Cushing, OK, dueto lack of demand. Despite this cancellation, OKE and OKS still will have completed $4.7 - $5.3 billion in growthprojects in the 2011 - 2015 period, and have $2+ billion of backlog in unannounced growth projects related tonatural gas and NGL related infrastructure. With its strategic location and considerable experience in thenatural gas infrastructure landscape, we believe OKE is one of the better ways to invest in the shale gas boomoccurring in the Bakken.

Southwest Gas Corp. (SWX - $47.46 - NYSE) is a natural gas distribution utility serving customers ingeographically diverse portions of AZ, NV, and CA. SWX also owns NPL Construction Company, a full serviceunderground piping contractor providing trenching and installation, replacement, and maintenance services forenergy distribution systems. From 2008 to 2010, customer growth slowed due to the overall slowdown in thenew housing market and the increase in idle/vacant homes resulting from foreclosures and challengingeconomic conditions. However, customer growth appears to be improving, and SWX added 17,000 newcustomers in 2012. In January 2012, SWX implemented a $52.6 million annual revenue increase for the AZjurisdiction. In November 2012, SWX implemented a NV rate increase, and filed for a CA rate increase inDecember 2012. Over the long term, we expect that the service area will return to higher growth rates, as thefavorable regional climate and lower housing prices attract customers to inhabit vacant homes. Additionally, thepipeline construction business is growing strongly, given the industry’s focus on safety related pipelinereplacement programs. We consider SWX to be a high quality gas utility with a focused, low risk strategy andsolid earnings outlook driven by recent and future rate increases, expanded infrastructure trackingmechanisms, customer growth, and cost controls.

UNS Energy Corp. (UNS - $48.94 - NYSE) is the holding company that owns Tucson Electric Power Company(TEP), UniSource Energy Services (UES), UniSource Energy Development Company (UED), and MillenniumEnergy Holdings (Millennium). TEP is a vertically integrated utility that provides regulated electric service toapproximately 405,000 retail customers in Southeastern AZ. UES, through its two operating subsidiaries, UNSGas and UNS Electric, provides gas and electric service to 249,000 customers in northern and southern AZ.On February 5, 2013, UNS reached a settlement agreement for the 2012 rate case with the Arizona

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Corporation Commission staff and various consumer groups in the state. The agreement calls for a $76 millionrevenue increase based on a 10.0% ROE, 43.5% equity and a $1.5 billion rate base. It includes cost recoverymechanisms for sales lost to efficiency programs, environmental compliance riders, and an updated fuel andpurchased power adjustment clause. When put into effect, this will be the first major rate increase since 2006,which had been based on a $1.0 billion rate base. UNS stands to benefit from the improving AZ regulatoryclimate seen in Southwest Gas’s most recent rate decision, where full decoupling was allowed. Combined withthe improving Arizona regulatory environment, environmental compliance spending and a recovering serviceterritory will support earnings and dividend growth, as well as potentially allow UNS to become more active inconsolidating the fragmented southwest U.S. utility arena.

Westar Energy Inc. (WR - $33.18 - NYSE) is an electric utility serving 688,000 customers in central andnortheastern KS. WR is well positioned to finance its extensive capital investment and grow its earnings, givena constructive regulatory environment that allows for annual rate adjustments outside of a general rate case torecognize environmental and transmission investment. WR is expanding its 6,300 miles of transmissioninfrastructure by constructing smaller transmission projects in KS, and it is a 50% partner in a joint venture tobuild a large $225 million transmission project in southern KS. The company is also in the process of addingenvironmental controls to the La Cygne power plant at a cost of $610 million, and will file an abbreviated ratecase in April 2013 to recover about half of the costs of the project. WR shares yield an attractive 4.1% on the$1.36 annual dividend, which we consider secure with growth potential.

Wisconsin Energy Corp. (WEC - $42.89 - NYSE) is the holding company for Wisconsin Electric, the state’slargest electric utility. WEC is a well managed, high quality regulated electric and gas utility operating in one ofthe more constructive regulatory environments, serving over 1.1 million electric customers and 1.1 million gascustomers in southeastern, east central, and northern WI. WEC shares offer a competitive current return, a10%+ near term annual dividend growth and 4% - 6% long term annual earnings growth. Near term rate baseinvestment is allocated toward pollution control equipment and renewable generation. Management expects$600 million of free cash flow (after dividends) over the five year period, which allows for both dividend growthand share buybacks. WEC has approximately $150 million remaining on an existing share buyback program,and the company plans to bring the payout ratio up to 65% - 70% in 2017 from the current 55% level.

April 30, 2013

Top Ten HoldingsMarch 31, 2013

Northeast UtilitiesONEOK Inc.National Fuel Gas Co.Westar Energy Inc.Wisconsin Energy Corp.

Duke Energy Corp.Nextera Energy Inc.OGE Energy Corp.UNS Energy Corp.Southwest Gas Corp.

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Note: The views expressed in this Shareholder Commentary reflect those of the Portfolio Manager onlythrough the end of the period stated in this Shareholder Commentary. The Portfolio Manager’s views aresubject to change at any time based on market and other conditions. The information in this Portfolio Manager’sShareholder Commentary represents the opinions of the individual Portfolio Manager and is not intended to bea forecast of future events, a guarantee of future results, or investment advice. Views expressed are those ofthe Portfolio Manager and may differ from those of other portfolio managers or of the Firm as a whole. ThisShareholder Commentary does not constitute an offer of any transaction in any securities. Anyrecommendation contained herein may not be suitable for all investors. Information contained in thisShareholder Commentary has been obtained from sources we believe to be reliable, but cannot beguaranteed.

Portfolio Manager Compensation

Mr. Gabelli’s incentive-based, variable compensation structure and dollar amount have been fullydisclosed each year since April of 2000 in the annual proxy statement for GAMCO Investors, Inc. (NYSE:GBL).Mr. Gabelli receives no base salary, no annual bonus, and no stock options.

As founder and portfolio manager of The Gabelli Utility Trust, Mr. Gabelli received $676,362 in calendaryear 2012. For the Fund’s first twelve months of operation starting in July 1999, Mr. Gabelli received less than$250,000. Mario J. Gabelli and various entities he is deemed to control owned 709,333 common shares of theFund with a total value of $4,894,396, as of March 31, 2013. Mr. Gabelli may not have one hundred percentpecuniary interest in some of the entities he is deemed to control.

Monthly Distribution Policy for Common Shareholders

The Board of Trustees of the Fund (the “Board”) has reaffirmed the continuation of the Fund’s monthlydistribution policy for the second quarter of 2013. Pursuant to its distribution policy, the Fund paid $0.05 pershare cash distributions on January 24, 2013, February 21, 2013, and March 21, 20132 to commonshareholders of record on January 16, 2013, February 13, 2013, and March 14, 2013, respectively, for a totaldistribution of $0.15 per share during the first quarter of 2013.

Under the Fund’s current distribution policy in 2012, the Fund pays a distribution of $0.05 per share eachmonth ($0.60 per share on an annual basis) and, if necessary, an adjusting distribution in December whichincludes any additional income and realized net capital gains in excess of the monthly distributions for that yearto satisfy the minimum distribution requirements of the Internal Revenue Code.

Each quarter, the Board reviews the amount of any potential distribution and the income, capital gain, orcapital available. The Board will continue to monitor the Fund’s distribution level, taking into consideration theFund’s net asset value and the financial market environment. The Fund’s distribution policy is subject tomodification by the Board at any time. The distribution rate should not be considered the dividend yield or totalreturn on an investment in the Fund.

All or part of the distribution may be treated as long term capital gain or qualified dividend income (or acombination of both) for individuals, each subject to the maximum federal income tax rate, which is currently20% in taxable accounts for individuals. In addition, for taxable years beginning on or after January 1, 2013,certain U.S. shareholders who are individuals, estates, or trusts and whose income exceeds certain thresholdswill be required to pay a 3.8% Medicare tax on their “net investment income,” which includes dividends receivedfrom the Fund and capital gains from the sale or other disposition of shares of the Fund.

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If the Fund does not generate sufficient earnings (dividends and interest income and realized net capitalgain) equal to or in excess of the aggregate distributions paid by the Fund in a given year, then the amountdistributed in excess of the Fund’s earnings would be deemed a return of capital. Since this would beconsidered a return of a portion of a shareholder’s original investment, it is generally not taxable and is treatedas a reduction in the shareholder’s cost basis. Under federal tax regulations, some or all of the return of capitaldistributed by the Fund may be taxable as ordinary income in certain circumstances. This may occur when theFund has a capital loss carry forward, net capital gains are realized in a fiscal year, and distributions are madein excess of investment company taxable income. Despite the challenges of the extra record keeping, adistribution that incorporates a return of capital serves as a smoothing mechanism resulting in a more stableand consistent cash flow available to shareholders. Long term capital gains, qualified dividend income, ordinaryincome, and paid-in capital, if any, will be allocated on a pro-rata basis to all distributions to commonshareholders for the year. Based on the accounting records of the Fund as of March 14, 2013, each of thedistributions paid to common shareholders in 2013 would include approximately 10% from net investmentincome, 2% from net capital gains and 88% from paid-in capital on a book basis. The estimated componentsof each distribution are updated and provided to shareholders of record in a notice accompanying thedistribution and are available on our website (www.gabelli.com). The final determination of the sources of alldistributions in 2013 will be made after year end and can vary from the monthly estimates. All shareholderswith taxable accounts will receive written notification regarding the components and tax treatment for all 2013distributions in early 2014 via Form 1099-DIV.

5.625% Series A Cumulative Preferred Shares

The Fund’s 5.625% Series A Cumulative Preferred Shares paid a $0.3515625 per share cash distributionon March 26, 2013 to preferred shareholders of record on March 19, 2013. The Series A Preferred Shares,which trade on the NYSE under the symbol “GUT Pr A,” are rated “Aa3” by Moody’s Investors Service and havean annual dividend rate of $1.40625 per share. The Series A Preferred Shares were issued on July 31, 2003at $25.00 per share and pay distributions quarterly. After five years of call protection, the Series A PreferredShares became callable at any time at the liquidation value of $25.00 per share plus accrued dividends. Thenext distribution is scheduled for June 2013. The Fund is authorized to purchase its Series A Preferred Sharesin the open market from time to time when such shares are trading at a discount to the liquidation value of$25.00 per share. In total through March 31, 2013, the Fund has repurchased and retired 46,712 Series APreferred Shares in the open market under this share repurchase authorization. The Fund did not repurchaseany Series A Preferred Shares during the first quarter of 2013.

Series B Auction Market Cumulative Preferred Shares

During the first quarter of 2013, the dividend rates for the Series B Auction Market Cumulative PreferredShares ranged from 1.671% to 1.683%. Dividend rates for the Series B Preferred Shares may be reset everyseven days based on the results of an auction. Since February 2008, the number of Series B Preferred Sharessubject to bid orders by potential holders has been less than the number of sell orders. Therefore the weeklyauctions have failed, and the holders have not been able to sell any or all of the Series B Preferred Shares forwhich they submitted sell orders. The dividend rate since then has been the maximum rate. At March 31, 2013,the maximum rate was 150 basis points greater than the seven day Telerate/British Bankers Association LIBOR,and the Series B Preferred Shares were rated “Aa3” by Moody’s Investors Services and “AAA” by Standard &Poor’s Ratings Services. The Series B Preferred Shares do not trade on an exchange. The Fund issued 1,000Series B Preferred Shares on July 31, 2003 at $25,000 per share. As of March 31, 2013, 900 Series B PreferredShares were outstanding.

12

It should be noted that the Investment Adviser does not receive a management fee on the incrementalassets attributable to the Preferred Shares unless the total return of the net asset value of the common sharesduring the year, including distributions and management fee subject to reduction, exceeds the stated dividendrate or corresponding swap rate of each particular series of Preferred Shares for the fiscal year. The InvestmentAdviser believes this fee arrangement is in the best interest of all shareholders.

The Board shares the Investment Adviser’s view that the issuance of the Preferred Shares is designed tobenefit the common shareholders. To the extent that the Fund earns in excess of the dividend rate on thePreferred Shares, additional value will thereby be created for its common shareholders.

All or part of the distribution may be treated as long term capital gain or qualified dividend income (or acombination of both) for individuals, each subject to the maximum federal income tax rate, which is currently20% in taxable accounts for individuals. In addition, for taxable years beginning on or after January 1, 2013,certain U.S. shareholders who are individuals, estates, or trusts and whose income exceeds certain thresholdswill be required to pay a 3.8% Medicare tax on their “net investment income,” which includes dividends receivedfrom the Fund and capital gains from the sale or other disposition of shares of the Fund.

Long term capital gains, qualified dividend income, and ordinary income, if any, will be allocated on a pro-rata basis to all distributions to preferred shareholders for the year. Based on the accounting records of theFund as of March 14, 2013, the current distribution to preferred shareholders would include approximately 88%from net investment income and 12% from net capital gains on a book basis. The estimated components ofeach distribution are updated and provided to shareholders of record in a notice accompanying the distributionand are available on our website (www.gabelli.com). The final determination of the sources of all distributionsin 2013 will be made after year end and can vary from the quarterly estimates. All shareholders with taxableaccounts will receive written notification regarding the components and tax treatment for all 2013 distributionsin early 2014 via Form 1099-DIV.

www.gabelli.com

Please visit us on the Internet. Our homepage at www.gabelli.com contains information about GAMCOInvestors, Inc., the Gabelli/GAMCO Closed-End Funds and Mutual Funds, IRAs, 401(k)s, current and historicalquarterly reports, closing prices, and other current news. We welcome your comments and questions via e-mail at closedend@gabelli.com.

You may sign up for our e-mail alerts at www.gabelli.com and receive early notice of quarterly reportavailability, news events, media sightings, and mutual fund prices and performance.

e-delivery

We are pleased to offer electronic delivery of Gabelli fund documents. Shareholders of our closed-endfunds can now elect to receive e-mail announcements regarding available materials, including shareholdercommentaries and Fund reports. For more information or to register for e-delivery, please visit our website atwww.gabelli.com.

13

AUTOMATIC DIVIDEND REINVESTMENT AND VOLUNTARY CASH PURCHASE PLANS

Enrollment in the Plan

It is the policy of The Gabelli Utility Trust (the “Fund”) to automatically reinvest dividends payable tocommon shareholders. As a “registered” shareholder you automatically become a participant in the Fund’sAutomatic Dividend Reinvestment Plan (the “Plan”). The Plan authorizes the Fund to credit common shares toparticipants upon an income dividend or a capital gains distribution regardless of whether the shares aretrading at a discount or a premium to net asset value.

Be advised that the common shares of The Gabelli Utility Trust have traded at excessivepremiums (whereby the market price is much greater than the underlying net asset value.) Dividendreinvestment may be made at the excessive premium, which is not likely to be sustainable.

All distributions to shareholders whose shares are registered in their own names will be automaticallyreinvested pursuant to the Plan in additional shares of the Fund. Plan participants may send their sharecertificates to Computershare Trust Company, N.A. (“Computershare”) to be held in their dividend reinvestmentaccount. Registered shareholders wishing to receive their distributions in cash must submit this request inwriting to:

The Gabelli Utility Trustc/o Computershare

P.O. Box 43010Providence, RI 02940-3010

Shareholders requesting this cash election must include the shareholder’s name and address as theyappear on the share certificate. Shareholders with additional questions regarding the Plan or requesting a copyof the terms of the Plan, may contact Computershare at (800) 336-6983.

If your shares are held in the name of a broker, bank, or nominee, you should contact such institution. Ifsuch institution is not participating in the Plan, your account will be credited with a cash dividend. In order toparticipate in the Plan through such institution, it may be necessary for you to have your shares taken out of“street name” and re-registered in your own name. Once registered in your own name, your distributions willbe automatically reinvested. Certain brokers participate in the Plan. Shareholders holding shares in “streetname” at participating institutions will have dividends automatically reinvested. Shareholders wishing a cashdividend at such institution must contact their broker to make this change.

The number of common shares distributed to participants in the Plan in lieu of cash dividends is determinedin the following manner. Under the Plan, whenever the market price of the Fund’s common shares is equal to orexceeds net asset value at the time shares are valued for purposes of determining the number of sharesequivalent to the cash dividends or capital gains distribution, participants are issued common shares valued atthe greater of (i) the net asset value as most recently determined or (ii) 95% of the then current market price ofthe Fund’s common shares. The valuation date is the dividend or distribution payment date or, if that date is nota New York Stock Exchange (“NYSE”) trading day, the next trading day. If the net asset value of the commonshares at the time of valuation exceeds the market price of the common shares, participants will receive commonshares from the Fund valued at market price. If the Fund should declare a dividend or capital gains distributionpayable only in cash, Computershare will buy common shares in the open market, or on the NYSE or elsewhere,for the participants’ accounts, except that Computershare will endeavor to terminate purchases in the openmarket and cause the Fund to issue shares at net asset value if, following the commencement of suchpurchases, the market value of the common shares exceeds the then current net asset value.

14

The automatic reinvestment of dividends and capital gains distributions will not relieve participants of anyincome tax which may be payable on such distributions. A participant in the Plan will be treated for federalincome tax purposes as having received, on a dividend payment date, a dividend or distribution in an amountequal to the cash the participant could have received instead of shares.

Voluntary Cash Purchase Plan

The Voluntary Cash Purchase Plan is yet another vehicle for our shareholders to increase theirinvestment in the Fund. In order to participate in the Voluntary Cash Purchase Plan, shareholders must havetheir shares registered in their own name.

Participants in the Voluntary Cash Purchase Plan have the option of making additional cash payments toComputershare for investments in the Fund’s common shares at the then current market price. Shareholdersmay send an amount from $250 to $10,000. Computershare will use these funds to purchase shares in theopen market on or about the 1st and 15th of each month. Computershare will charge each shareholder whoparticipates $0.75, plus a pro rata share of the brokerage commissions. Brokerage charges for such purchasesare expected to be less than the usual brokerage charge for such transactions. It is suggested that anyvoluntary cash payments be sent to Computershare, P.O. Box 43010, Providence, RI 02940-3010 such thatComputershare receives such payments approximately 10 days before the 1st and 15th of the month. Fundsnot received at least five days before the investment date shall be held for investment until the next purchasedate. A payment may be withdrawn without charge if notice is received by Computershare at least 48 hoursbefore such payment is to be invested.

Shareholders wishing to liquidate shares held at Computershare must do so in writing or by telephone.Please submit your request to the above mentioned address or telephone number. Include in your request yourname, address, and account number. The cost to liquidate shares is $2.50 per transaction as well as thebrokerage commission incurred. Brokerage charges are expected to be less than the usual brokerage chargefor such transactions.

For more information regarding the Automatic Dividend Reinvestment Plan and Voluntary Cash PurchasePlan, brochures are available by calling (914) 921-5070 or by writing directly to the Fund.

The Fund reserves the right to amend or terminate the Plan as applied to any voluntary cash paymentsmade and any dividend or distribution paid subsequent to written notice of the change sent to the members ofthe Plan at least 90 days before the record date for such dividend or distribution. The Plan also may beamended or terminated by Computershare on at least 90 days written notice to participants in the Plan.

THE GABELLI UTILITY TRUSTOne Corporate CenterRye, NY 10580-1422

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that theFund may from time to time purchase its common shares in the open market when the Fund’s shares are trading at adiscount of 10% or more from the net asset value of the shares. The Fund may also from time to time purchase itspreferred shares in the open market when the preferred shares are trading at a discount to the liquidation value.

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

This report is printed on recycled paper.

Portfolio Manager Biography

Mario J. Gabelli, CFA, is Chairman and Chief Executive Officer of GAMCO Investors, Inc. that he founded in1976 and Chief Investment Officer – Value Portfolios of Gabelli Funds, LLC and GAMCO Asset ManagementInc. Mr. Gabelli is a summa cum laude graduate of Fordham University and holds an MBA degree fromColumbia University Graduate School of Business, and an Honorary Doctorate Degree from Roger WilliamsUniversity in Rhode Island.

We have separated the portfolio manager’s commentary from the financial statements and investment portfolio due tocorporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that thecontent of the portfolio manager’s commentary is unrestricted. Both the commentary and the financial statements,including the portfolio of investments, will be available on our website at www.gabelli.com.

THE GABELLI UTILITY TRUST One Corporate CenterRye, NY 10580-1422

t 800-GABELLI (800-422-3554)f 914-921-5118e info@gabelli.com

GABELL I .COM

TRUSTEES

Mario J. Gabelli, CFAChairman & Chief Executive Officer, GAMCO Investors, Inc.

Anthony J. ColavitaPresident, Anthony J. Colavita, P.C.

James P. ConnFormer Managing Director &Chief Investment Officer,Financial Security AssuranceHoldings Ltd.

Vincent D. EnrightFormer Senior Vice President &Chief Financial Officer,KeySpan Corp.

Frank J. Fahrenkopf, Jr.President & Chief Executive Officer,American Gaming Association

John D. GabelliSenior Vice President,Gabelli & Company, Inc.

Robert J. MorrisseyPartner,Morrissey, Hawkins & Lynch

Kuni NakamuraPresident, Advanced Polymer, Inc.

Anthony R. PustorinoCertified Public Accountant,Professor Emeritus, Pace University

Salvatore J. ZizzaChairman, Zizza & Associates Corp.

OFFICERS

Bruce N. AlpertPresident & Acting Chief Compliance Officer

Agnes MulladyTreasurer & Secretary

David I. SchachterVice President & Ombudsman

INVESTMENT ADVISER

Gabelli Funds, LLCOne Corporate CenterRye, New York 10580-1422

CUSTODIAN

The Bank of New York Mellon

COUNSEL

Willkie Farr & Gallagher LLP

TRANSFER AGENT ANDREGISTRAR

Computershare Trust Company, N.A.

THEGABELL IUT IL ITYTRUST

Shareholder CommentaryMarch 31, 2013

GUT Mar/2013

GUT

Mario J. Gabelli, CFAPortfolio Manager

To Our Shareholders,

For the quarter ended March 31, 2013, the net asset value (“NAV”) total return of The Gabelli Utility Trust(the “Fund”) was 11.3%, excluding the effect of the recent common share rights offering. The total return forthe Standard & Poor’s (“S&P”) 500 Utilities Index was 13.0%. The total return for the Fund’s publicly tradedshares was 14.7%. The Fund’s NAV per share was $5.94, while the price of the publicly traded shares closedat $6.90 on the New York Stock Exchange (“NYSE”). See below for additional performance information.

Enclosed is the schedule of investments as of March 31, 2013.

Comparative Results

Average Annual Returns through March 31, 2013 (a) (Unaudited)

Quarter 1 Year 5 Year 10 Year

SinceInception(07/09/99)

Gabelli Utility TrustNAV Total Return (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.30% 17.21% 9.71% 11.73% 9.19%Investment Total Return (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.66 (7.07) 3.95 6.24 8.37

S&P 500 Utilities Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.02 16.37 5.02 12.14 5.47(d)Lipper Utility Fund Average . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.78 18.83 5.79 12.32 5.71S&P 500 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.61 13.96 5.81 8.53 2.87(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 higherthan the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Performancereturns 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 S&P 500 Utilities Index is an unmanaged market capitalization weightedindex of large capitalization stocks that may include facilities generation and transmission or distribution of electricity, gas, or water. TheLipper Utility Fund Average reflects the average performance of open-end mutual funds classified in this particular category. The S&P 500Index is an unmanaged indicator of stock market performance. Dividends are considered reinvested. You cannot invest directly in anindex.

(b) Total returns and average annual returns reflect changes in the NAV per share, reinvestment of distributions at NAV on the ex-dividenddate, and adjustments for rights offerings and are net of expenses. Since inception return is based on an initial NAV of $7.50.

(c) Total returns and average annual returns reflect changes in closing market values on the NYSE, reinvestment of distributions, andadjustments for rights offerings. Since inception return is based on an initial offering price of $7.50.

(d) From June 30, 1999, the date closest to the Fund’s inception for which data is available.

The Gabelli Utility TrustFirst Quarter Report — March 31, 2013

SharesMarketValue

COMMON STOCKS — 85.8%ENERGY AND UTILITIES — 72.1%Energy and Utilities: Alternative Energy — 0.1%

6,000 Ormat Industries Ltd.†. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 35,87712,000 Ormat Technologies Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 247,8008,100 Renegy Holdings Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . 648

284,325

Energy and Utilities: Electric Integrated — 39.4%23,000 ALLETE Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,127,46072,000 Alliant Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,612,96017,000 Ameren Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 595,34075,000 American Electric Power Co. Inc.. . . . . . . . . . . . . . . . . 3,647,25010,000 Avista Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274,00050,000 Black Hills Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,202,00027,000 Cleco Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,269,810

114,000 CMS Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,185,16029,000 Dominion Resources Inc. . . . . . . . . . . . . . . . . . . . . . . . . 1,687,22023,000 DTE Energy Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,571,820

105,000 Duke Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,621,97780,000 Edison International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,025,600

170,000 El Paso Electric Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,720,5001,000 Emera Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,5523,000 Entergy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189,720

98,000 FirstEnergy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,135,600178,000 Great Plains Energy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 4,127,82052,000 Hawaiian Electric Industries Inc. . . . . . . . . . . . . . . . . . 1,440,92089,000 Integrys Energy Group Inc. . . . . . . . . . . . . . . . . . . . . . . 5,176,24063,000 MGE Energy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,492,72095,000 NextEra Energy Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,379,60048,000 NiSource Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,408,320

105,000 NorthWestern Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,185,30035,000 NV Energy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 701,05098,000 OGE Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,858,04030,000 Otter Tail Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 934,20048,000 PG&E Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,137,440

100,000 PNM Resources Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,329,00038,000 Public Service Enterprise Group Inc. . . . . . . . . . . . . . 1,304,92056,000 SCANA Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,864,960

101,000 TECO Energy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,799,82025,000 The Empire District Electric Co. . . . . . . . . . . . . . . . . . . 560,00016,500 Unitil Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 464,145

133,000 UNS Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,509,02047,000 Vectren Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,664,740

235,000 Westar Energy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,797,300180,000 Wisconsin Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 7,720,200179,000 Xcel Energy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,316,300

117,073,024

Energy and Utilities: Electric Transmission andDistribution — 9.1%

243 Brookfield Infrastructure Partners LP. . . . . . . . . . . . . 9,24950,000 CH Energy Group Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,269,500

SharesMarketValue

58,000 Consolidated Edison Inc.. . . . . . . . . . . . . . . . . . . . . . . . . $ 3,539,740125,000 Exelon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,310,000322,000 Northeast Utilities(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,994,12022,500 Pepco Holdings Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 481,50036,666 UIL Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,451,607

27,055,716

Energy and Utilities: Global Utilities — 2.6%14,500 Areva SA†. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214,121

8,000 Chubu Electric Power Co. Inc.. . . . . . . . . . . . . . . . . . . . 97,222134,000 Electric Power Development Co. Ltd. . . . . . . . . . . . . . 3,406,40627,000 Endesa SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 570,547

300,000 Enel SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 979,080490,000 Hera SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 862,39311,000 Hokkaido Electric Power Co. Inc.†. . . . . . . . . . . . . . . . 112,1798,000 Hokuriku Electric Power Co. . . . . . . . . . . . . . . . . . . . . . 98,4973,000 Huaneng Power International Inc., ADR . . . . . . . . . . 126,720

41,000 Korea Electric Power Corp., ADR†. . . . . . . . . . . . . . . . 557,19013,000 Kyushu Electric Power Co. Inc.† . . . . . . . . . . . . . . . . . 132,2993,000 Niko Resources Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,8718,000 Shikoku Electric Power Co. Inc.† . . . . . . . . . . . . . . . . . 113,7098,000 The Chugoku Electric Power Co. Inc. . . . . . . . . . . . . . 104,276

15,000 The Kansai Electric Power Co. Inc.† . . . . . . . . . . . . . . 141,97713,000 Tohoku Electric Power Co. Inc.†. . . . . . . . . . . . . . . . . . 103,298

7,638,785

Energy and Utilities: Merchant Energy — 1.4%300,000 GenOn Energy Inc., Escrow†(a) . . . . . . . . . . . . . . . . . . 0320,000 The AES Corp.(b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,022,400

4,022,400

Energy and Utilities: Natural Gas Integrated — 7.5%1,000 Devon Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,420

130,000 Kinder Morgan Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,028,400132,000 National Fuel Gas Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,098,200194,000 ONEOK Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,247,980

22,431,000

Energy and Utilities: Natural Gas Utilities — 6.6%92,000 AGL Resources Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,859,40028,000 Atmos Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,195,32020,000 Chesapeake Utilities Corp. . . . . . . . . . . . . . . . . . . . . . . . 981,00012,000 CONSOL Energy Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 403,80025,219 Corning Natural Gas Corp. . . . . . . . . . . . . . . . . . . . . . . . 390,64259,600 Delta Natural Gas Co. Inc.. . . . . . . . . . . . . . . . . . . . . . . . 1,302,85611,445 GDF Suez . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220,35611,445 GDF Suez, Strips†(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1535,000 Piedmont Natural Gas Co. Inc. . . . . . . . . . . . . . . . . . . . 1,150,80012,000 RGC Resources Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222,600

130,000 Southwest Gas Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,169,800112,000 Spectra Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,444,000

3,000 The Laclede Group Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 128,10019,468,689

The Gabelli Utility TrustSchedule of Investments — March 31, 2013 (Unaudited)

See accompanying notes to schedule of investments.

2

SharesMarketValue

COMMON STOCKS (Continued)ENERGY AND UTILITIES (Continued)Energy and Utilities: Natural Resources — 1.3%

4,000 Anadarko Petroleum Corp. . . . . . . . . . . . . . . . . . . . . . . . $ 349,80032,000 Compania de Minas Buenaventura SA, ADR . . . . . . 830,72010,000 Exxon Mobil Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 901,1001,000 Hess Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,610

67,000 Peabody Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,417,0504,000 Royal Dutch Shell plc, Cl. A, ADR . . . . . . . . . . . . . . . . 260,640

3,830,920

Energy and Utilities: Services — 0.2%25,000 ABB Ltd., ADR. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 569,000

Energy and Utilities: Water — 2.5%13,500 American States Water Co.. . . . . . . . . . . . . . . . . . . . . . . 777,19527,000 American Water Works Co. Inc. . . . . . . . . . . . . . . . . . . 1,118,88021,833 Aqua America Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 686,42924,000 Artesian Resources Corp., Cl. A . . . . . . . . . . . . . . . . . . 539,28040,000 California Water Service Group. . . . . . . . . . . . . . . . . . . 796,0007,500 Connecticut Water Service Inc.. . . . . . . . . . . . . . . . . . . 219,225

50,000 Middlesex Water Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 976,00080,000 SJW Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,120,0009,000 The York Water Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169,200

7,402,209

Diversified Industrial — 1.0%1,000 Alstom SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,699

130,000 General Electric Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,005,6003,046,299

Environmental Services — 0.0%3,000 Suez Environnement Co. . . . . . . . . . . . . . . . . . . . . . . . . . 38,259

Equipment and Supplies — 0.0%50,000 Capstone Turbine Corp.†. . . . . . . . . . . . . . . . . . . . . . . . . 45,0001,400 Mueller Industries Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,606

119,606

Independent Power Producers and Energy Traders — 0.4%42,802 NRG Energy Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,133,825

TOTAL ENERGY AND UTILITIES. . . . . . . . . . . . . . . . . . 214,114,057

COMMUNICATIONS — 11.6%Cable and Satellite — 5.6%

12,000 AMC Networks Inc., Cl. A† . . . . . . . . . . . . . . . . . . . . . . . 758,16010,000 British Sky Broadcasting Group plc . . . . . . . . . . . . . . 134,168

100,000 Cablevision Systems Corp., Cl. A. . . . . . . . . . . . . . . . . 1,496,0005,000 Cogeco Cable Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224,541

20,000 Cogeco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 818,03430,000 DIRECTV†. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,698,30059,000 DISH Network Corp., Cl. A . . . . . . . . . . . . . . . . . . . . . . . 2,236,10010,000 EchoStar Corp., Cl. A† . . . . . . . . . . . . . . . . . . . . . . . . . . . 389,70020,000 Liberty Global Inc., Cl. A† . . . . . . . . . . . . . . . . . . . . . . . . 1,468,000

SharesMarketValue

20,000 Liberty Global Inc., Cl. C† . . . . . . . . . . . . . . . . . . . . . . . . $ 1,372,6008,000 Rogers Communications Inc., Cl. B . . . . . . . . . . . . . . 408,480

96,900 Telenet Group Holding NV . . . . . . . . . . . . . . . . . . . . . . . 4,792,0868,000 Time Warner Cable Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 768,480

16,564,649

Communications Equipment — 0.2%230,000 Furukawa Electric Co. Ltd. . . . . . . . . . . . . . . . . . . . . . . . 505,763

1,000 QUALCOMM Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,950572,713

Telecommunications — 3.8%40,000 AT&T Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,467,6003,000 Belgacom SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,5853,800 Bell Aliant Inc.(c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,130

11,000 BT Group plc, ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 462,330250,000 Cincinnati Bell Inc.† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 815,00043,000 Deutsche Telekom AG, ADR. . . . . . . . . . . . . . . . . . . . . . 454,9402,000 France Telecom SA, ADR . . . . . . . . . . . . . . . . . . . . . . . . 20,320

200 Hutchison Telecommunications Hong KongHoldings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99

1,000 Mobistar SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,45818,500 Nippon Telegraph & Telephone Corp. . . . . . . . . . . . . . 805,75811,800 Orascom Telecom Holding SAE, GDR†(d) . . . . . . . . 37,52411,800 Orascom Telecom Media and Technology Holding

SAE, GDR(c). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,66420,000 Portugal Telecom SGPS SA . . . . . . . . . . . . . . . . . . . . . . 99,062

2,000 PT Indosat Tbk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,3383,000 Sistema JSFC, GDR(d). . . . . . . . . . . . . . . . . . . . . . . . . . . 55,0801,200 Tele2 AB, Cl. B. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,882

30,000 Telekom Austria AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196,85440,000 Touch America Holdings Inc.†(a). . . . . . . . . . . . . . . . . 0

110,000 Verizon Communications Inc. . . . . . . . . . . . . . . . . . . . . 5,406,50075,000 VimpelCom Ltd., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . 891,75010,000 Virgin Media Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 489,700

11,427,574

Wireless Communications — 2.0%1,200 America Movil SAB de CV, Cl. L, ADR . . . . . . . . . . . . 25,152

550,000 Cable & Wireless Communications plc . . . . . . . . . . . 350,4932,000 China Mobile Ltd., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . 106,2602,000 China Unicom Hong Kong Ltd., ADR . . . . . . . . . . . . . 26,960

171 M1 Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40815,000 MetroPCS Communications Inc.† . . . . . . . . . . . . . . . . 163,50019,000 Millicom International Cellular SA, SDR . . . . . . . . . . 1,517,5971,154 Mobile Telesystems OJSC. . . . . . . . . . . . . . . . . . . . . . . . 10,279

11,250 Mobile TeleSystems OJSC, ADR. . . . . . . . . . . . . . . . . . 233,32526,000 NII Holdings Inc.† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112,5801,000 NTT DoCoMo Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,482,9772,000 SK Telecom Co. Ltd., ADR . . . . . . . . . . . . . . . . . . . . . . . 35,740

400 SmarTone Telecommunications Holdings Ltd. . . . . 66025,000 Turkcell Iletisim Hizmetleri A/S, ADR† . . . . . . . . . . . . 416,00036,000 United States Cellular Corp.†. . . . . . . . . . . . . . . . . . . . . 1,296,000

The Gabelli Utility TrustSchedule of Investments (Continued) — March 31, 2013 (Unaudited)

See accompanying notes to schedule of investments.

3

SharesMarketValue

COMMON STOCKS (Continued)COMMUNICATIONS (Continued)Wireless Communications (Continued)

6,000 Vodafone Group plc, ADR. . . . . . . . . . . . . . . . . . . . . . . . $ 170,4605,948,391

TOTAL COMMUNICATIONS . . . . . . . . . . . . . . . . . . . . . . 34,513,327

OTHER — 2.1%Aerospace — 0.6%

100,000 Rolls-Royce Holdings plc . . . . . . . . . . . . . . . . . . . . . . . . 1,716,986

Agriculture — 0.0%3,000 Cadiz Inc.† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,280

Diversified Industrial — 0.2%9,048 Eaton Corp. plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 554,190

Entertainment — 0.6%88,000 Vivendi SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,817,823

Investment Companies — 0.1%10,000 Kinnevik Investment AB, Cl. A. . . . . . . . . . . . . . . . . . . . 245,2223,000 Kinnevik Investment AB, Cl. B. . . . . . . . . . . . . . . . . . . . 72,692

317,914

Real Estate — 0.1%4,500 Brookfield Asset Management Inc., Cl. A . . . . . . . . . 164,205

Transportation — 0.5%30,000 GATX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,559,100

TOTAL OTHER. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,150,498

TOTAL COMMON STOCKS . . . . . . . . . . . . . . . . . . . . . . . 254,777,882

WARRANTS — 0.4%ENERGY AND UTILITIES — 0.4%Energy and Utilities: Natural Gas Integrated — 0.4%

211,200 Kinder Morgan Inc., expire 05/25/17† . . . . . . . . . . . . 1,085,568

COMMUNICATIONS — 0.0%Wireless Communications — 0.0%

16,000 Bharti Airtel Ltd., expire 09/19/13†(c) . . . . . . . . . . . . 85,998

TOTAL WARRANTS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,171,566

PrincipalAmount

MarketValue

CONVERTIBLE CORPORATE BONDS — 0.0%ENERGY AND UTILITIES — 0.0%Environmental Services — 0.0%

$ 100,000 Covanta Holding Corp., Cv.,3.250%, 06/01/14. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 129,312

U.S. GOVERNMENT OBLIGATIONS — 13.8%40,858,000 U.S. Treasury Bills,

0.050% to 0.110%††,04/18/13 to 09/12/13 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,851,006

TOTAL INVESTMENTS — 100.0%(Cost $215,201,880) . . . . . . . . . . . . . . . . . . . . . . $296,929,766

Aggregate tax cost. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $216,378,005

Gross unrealized appreciation. . . . . . . . . . . . . . . . . . . . $ 88,348,202Gross unrealized depreciation. . . . . . . . . . . . . . . . . . . . (7,796,441)Net unrealized appreciation/depreciation . . . . . . . . . $ 80,551,761

NotionalAmount

TerminationDate

UnrealizedAppreciation

EQUITY CONTRACT FOR DIFFERENCE SWAPAGREEMENTS

$ 1,636,180 Rolls-Royce Holdings plc . . . . 06/27/13 $ 80,104

(100,000 Shares)

(a) Security fair valued under procedures established by the Board of Trustees.The procedures may include reviewing available financial information aboutthe company and reviewing the valuation of comparable securities and otherfactors on a regular basis. At March 31, 2013, the market value of fair valuedsecurities amounted to $663 or 0.00% of total investments.

(b) Securities, or a portion thereof, with a value of $6,134,550, is reserved and/orpledged with the custodian for current or potential holdings of swaps.

(c) Security exempt from registration under Rule 144A of the Securities Act of1933, as amended. These securities may be resold in transactions exemptfrom registration, normally to qualified institutional buyers. At March 31, 2013,the market value of Rule 144A securities amounted to $191,792 or 0.06%of total investments.

The Gabelli Utility TrustSchedule of Investments (Continued) — March 31, 2013 (Unaudited)

See accompanying notes to schedule of investments.

4

(d) Security purchased pursuant to Regulation S under the Securities Act of1933, which exempts from registration securities offered and sold outsideof the United States. Such securities cannot be sold in the United Stateswithout either an effective registration statement filed pursuant to the SecuritiesAct of 1933, or pursuant to an exemption from registration. At March 31, 2013,the market value of Regulation S securities amounted to $92,604 or 0.03%of total investments, which were valued under methods approved by theBoard of Trustees as follows:

AcquisitionShares Issuer

AcquisitionDate

AcquisitionCost

03/31/13Carrying

ValuePer Unit

11,800 Orascom TelecomHolding SAE, GDR. . . . . 07/27/09 $ 53,385 $ 3.1800

3,000 Sistema JSFC, GDR . . . . . . 10/10/07 66,136 18.3600

† Non-income producing security.†† Represents annualized yield at date of purchase.ADR American Depositary ReceiptGDR Global Depositary ReceiptJSFC Joint Stock Financial CorporationOJSC Open Joint Stock CompanySDR Swedish Depositary ReceiptStrips Regular income payment portion of the security traded separately from the

principal portion of the security.

The Gabelli Utility TrustSchedule of Investments (Continued) — March 31, 2013 (Unaudited)

See accompanying notes to schedule of investments.

5

The Fund’s schedule of investments is prepared in accordance with U.S. Generally Accepted Accounting Principles(“GAAP”), which may require the use of management estimates and assumptions. Actual results could differfrom those estimates. The following is a summary of significant accounting policies followed by the Fund inthe preparation of its schedule of investments.

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

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing valuesof such securities on the relevant market, but may be fair valued pursuant to procedures established by theBoard if market conditions change significantly after the close of the foreign market, but prior to the close ofbusiness on the day the securities are being valued. Debt instruments with remaining maturities of sixty daysor less that are not credit impaired are valued at amortized cost, unless the Board determines such amountdoes not reflect the securities’ fair value, in which case these securities will be fair valued as determined bythe Board. Debt instruments having a maturity greater than sixty days for which market quotations are readilyavailable are valued at the average of the latest bid and asked prices. If there were no asked prices quotedon such day, the security is valued using the closing bid price. U.S. government obligations with maturitiesgreater than sixty days are normally valued using a model that incorporates market observable data such asreported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securitiesare valued principally using dealer quotations.

Securities and assets for which market quotations are not readily available are fair valued as determined bythe Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and reviewof available financial and non-financial information about the company; comparisons with the valuation andchanges 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 thatcould be indicative of the value of the security.

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

• Level 1 — quoted prices in active markets for identical securities;• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest

rates, prepayment speeds, credit risk, etc.); and• Level 3 — significant unobservable inputs (including the Fund’s determinations as to the fair value

of investments).

The Gabelli Utility TrustNotes to Schedule of Investments (Unaudited)

6

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input bothindividually and in the aggregate that is significant to the fair value measurement. The inputs or methodologyused 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 valuethe Fund’s investments as of March 31, 2013 is as follows:

Valuation InputsLevel 1

Quoted PricesLevel 2 Other Significant

Observable InputsLevel 3 Significant

Unobservable InputsTotal Market Value

at 3/31/13INVESTMENTS IN SECURITIES:ASSETS (Market Value):Common Stocks:

ENERGY AND UTILITIESEnergy and Utilities: Alternative Energy $ 283,677 — $648 $ 284,325Energy and Utilities: Merchant Energy 4,022,400 — 0 4,022,400Other Industries (a) 209,807,332 — — 209,807,332

COMMUNICATIONSTelecommunications 11,427,574 — 0 11,427,574Other Industries (a) 23,085,753 — — 23,085,753

OTHEROther Industries (a) 6,150,498 — — 6,150,498

Total Common Stocks 254,777,234 — 648 254,777,882Warrants (a) 1,085,568 $ 85,998 — 1,171,566Convertible Corporate Bonds (a) — 129,312 — 129,312U.S. Government Obligations — 40,851,006 — 40,851,006TOTAL INVESTMENTS IN SECURITIES –

ASSETS $255,862,802 $41,066,316 $648 $296,929,766OTHER FINANCIAL INSTRUMENTS:ASSETS (Unrealized Appreciation):*

EQUITY CONTRACT:Contract for Difference Swap Agreement — $ 80,104 — $ 80,104

TOTAL OTHER FINANCIAL INSTRUMENTS — $ 80,104 — $ 80,104

(a) Please refer to the Schedule of Investments (“SOI”) for the industry classifications of these portfolio holdings.* Other financial instruments are derivatives reflected in the SOI, such as futures, forwards, and swaps, which are valued at the unrealized

appreciation/depreciation of the instrument.

The Fund did not have material transfers between Level 1 and Level 2 during the period ended March 31, 2013.The Fund’s policy is to recognize transfers among Levels as of the beginning of the reporting period.

Additional Information to Evaluate Qualitative Information.

General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated withthe Adviser – to value most of its securities, and uses broker quotes provided by market makers of securitiesnot valued by these and other recognized pricing sources. Several different pricing feeds are received to valuedomestic equity securities, international equity securities, preferred equity securities, and fixed income securities.The data within these feeds is ultimately sourced from major stock exchanges and trading systems where thesesecurities trade. The prices supplied by external sources are checked by obtaining quotations or actual transactionprices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will besought from another pricing service or from a broker/dealer that trades that security or similar securities.

The Gabelli Utility TrustNotes to Schedule of Investments (Unaudited) (Continued)

7

Fair Valuation. Fair valued securities may be common and preferred equities, warrants, options, rights,and fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations arenot available, such as securities not traded for several days, or for which current bids are not available, orwhich are restricted as to transfer. Among the factors to be considered to fair value a security are recent pricesof comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use ofvaluation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the precedingfactors do not apply. A significant change in the unobservable inputs could result in a significantly lower orhigher value in such Level 3 investments. The circumstances of Level 3 securities are frequently monitored todetermine if fair valuation measures continue to apply.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures.These include back testing the prices realized in subsequent trades of these fair valued securities to fair valuespreviously recognized.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investingin a number of derivative financial instruments for the purposes of hedging or protecting its exposure to interestrate movements and movements in the securities markets, hedging against changes in the value of its portfoliosecurities and in the value of securities it intends to purchase, or hedging against a specific transaction withrespect to either the currency in which the transaction is denominated or another currency. Investing in certainderivative financial instruments, including participation in the options, futures, or swap markets, entails certainexecution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise ifthe Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest ratemarkets 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 othercontractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closelymonitored 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’sability to pay distributions.

The Fund’s derivative contracts held at March 31, 2013, if any, are not accounted for as hedging instrumentsunder 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 purposeof increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investmenttechniques and risks different from those associated with ordinary portfolio security transactions. In an equitycontract for difference swap, a set of future cash flows is exchanged between two counterparties. One of thesecash flow streams will typically be based on a reference interest rate combined with the performance of anotional 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 securitiesat the time an equity contract for difference swap transaction reaches its scheduled termination date, there isa risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacementwill not be as favorable as on the expiring transaction.

The Gabelli Utility TrustNotes to Schedule of Investments (Unaudited) (Continued)

8

The Fund has entered into an equity contract for difference swap agreement with The Goldman Sachs Group,Inc. Details of the swap at March 31, 2013 are reflected within the Schedule of Investments and further detailsare as follows:

NotionalAmount

Equity SecurityReceived

Interest Rate/Equity Security Paid

TerminationDate

Net UnrealizedAppreciation

Market ValueAppreciation on:

One month LIBOR plus 90 bps plusMarket Value Depreciation on:

$1,636,180 (100,000 Shares) Rolls-Royce Holdings plc Rolls-Royce Holdings plc 6/27/13 $80,104

Limitations on the Purchase and Sale of Futures Contracts, Certain Options, and Swaps. Subject to theguidelines of the Board, the Fund may engage in “commodity interest” transactions (generally, transactions infutures, certain options, certain currency transactions, and certain types of swaps) only for bona fide hedgingor other permissible transactions in accordance with the rules and regulations of the Commodity Futures TradingCommission (“CFTC”). Pursuant to amendments by the CFTC to Rule 4.5 under the Commodity ExchangeAct (“CEA”), the Adviser has filed a notice of exemption from registration as a “commodity pool operator” withrespect to the Fund. The Fund and the Adviser are therefore not subject to registration or regulation as acommodity pool operator under the CEA. Due to the recent amendments to Rule 4.5 under the CEA, certaintrading restrictions are now applicable to the Fund as of January 1, 2013. These trading restrictions permit theFund to engage in commodity interest transactions that include (i) “bona fide hedging” transactions, as thatterm is defined and interpreted by the CFTC and its staff, without regard to the percentage of the Fund’s assetscommitted to margin and options premiums and (ii) non-bona fide hedging transactions, provided that the Funddoes not enter into such non-bona fide hedging transactions if, immediately thereafter, either (a) the sum ofthe amount of initial margin deposits on the Fund’s existing futures positions or swaps positions and option orswaption premiums would exceed 5% of the market value of the Fund’s liquidating value, after taking intoaccount unrealized profits and unrealized losses on any such transactions, or (b) the aggregate net notionalvalue of the Fund’s commodity interest transactions would not exceed 100% of the market value of the Fund’sliquidating 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 commodityfutures, options, and certain types of swaps (including securities futures, broad based stock index futures, andfinancial futures contracts). As a result, in the future, the Fund will be more limited in its ability to use theseinstruments than in the past, and these limitations may have a negative impact on the ability of the Adviser tomanage the Fund, and on the Fund’s performance.

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Foreigncurrencies, investments, and other assets and liabilities are translated into U.S. dollars at current exchangerates. Purchases and sales of investment securities, income, and expenses are translated at the exchangerate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changesin foreign exchange rates and/or changes in market prices of securities have been included in unrealizedappreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gainsand losses resulting from changes in exchange rates include foreign currency gains and losses between tradedate and settlement date on investment securities transactions, foreign currency transactions, and the differencebetween the amounts of interest and dividends recorded on the books of the Fund and the amounts actually

The Gabelli Utility TrustNotes to Schedule of Investments (Unaudited) (Continued)

9

received. The portion of foreign currency gains and losses related to fluctuation in exchange rates betweenthe 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 offoreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. Therisks include possible revaluation of currencies, the inability to repatriate funds, less complete financial informationabout companies, and possible future adverse political and economic developments. Moreover, securities ofmany foreign issuers and their markets may be less liquid and their prices more volatile than securities ofcomparable 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, basedupon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

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

Under the Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carryforward for an unlimited period capital losses incurred in years beginning after December 22, 2010. As a resultof the rule, post-enactment capital losses that are carried forward will retain their character as either short termor long term capital losses rather than being considered all short term as under previous law.

The Gabelli Utility TrustNotes to Schedule of Investments (Unaudited) (Continued)

10

THE GABELLI UTILITY TRUSTOne Corporate CenterRye, NY 10580-1422

Portfolio Manager Biography

Mario J. Gabelli, CFA, is Chairman and Chief Executive Officer of GAMCO Investors, Inc. that he founded in1976 and Chief Investment Officer - Value Portfolios of Gabelli Funds, LLC and GAMCO Asset Management Inc.Mr. Gabelli is a summa cum laude graduate of Fordham University and holds an MBA degree from ColumbiaUniversity Graduate School of Business, and an Honorary Doctorate Degree from Roger Williams University inRhode Island.

We have separated the portfolio manager’s commentary from the financial statements and investment portfolio due tocorporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that thecontent of the portfolio manager’s commentary is unrestricted. Both the commentary and the financial statements, includingthe 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 “SpecializedEquity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Fundssection 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 “XGUTX.”

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that theFund may from time to time purchase its common shares in the open market when the Fund’s shares are trading at adiscount of 10% or more from the net asset value of the shares. The Fund may also from time to time purchase itspreferred shares in the open market when the preferred shares are trading at a discount to the liquidation value.

THE GABELLI UTILITY TRUSTOne Corporate CenterRye, NY 10580-1422

t 800-GABELLI (800-422-3554)f 914-921-5118e info@gabelli.comGABELLI.com GUT Q1/2013

TRUSTEES

Mario J. Gabelli, CFAChairman &Chief Executive Officer,GAMCO Investors, Inc.

Anthony J. ColavitaPresident,Anthony J. Colavita, P.C.

James P. ConnFormer Managing Director &Chief Investment Officer,Financial Security AssuranceHoldings Ltd.

Vincent D. EnrightFormer Senior Vice President &Chief Financial Officer,KeySpan Corp.

Frank J. Fahrenkopf, Jr.President &Chief Executive Officer,American Gaming Association

John D. GabelliSenior Vice President,G.research, Inc.

Robert J. MorrisseyPartner,Morrissey, Hawkins & Lynch

Kuni NakamuraPresident,Advanced Polymer, Inc.

Anthony R. PustorinoCertified Public Accountant,Professor Emeritus,Pace University

Salvatore J. ZizzaChairman,Zizza & Associates Corp.

OFFICERS

Bruce N. AlpertPresident &Acting Chief Compliance Officer

Agnes MulladyTreasurer & Secretary

David I. SchachterVice President & Ombudsman

INVESTMENT ADVISER

Gabelli Funds, LLCOne Corporate CenterRye, New York 10580-1422

CUSTODIAN

The Bank of New York Mellon

COUNSEL

Willkie Farr & Gallagher LLP

TRANSFER AGENT ANDREGISTRAR

Computershare Trust Company, N.A.

THEGABELLIUTILITYTRUST

GUT

First Quarter ReportMarch 31, 2013

GUT Q1/2013