UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

The Gabelli Utility Trust

(Exact name of registrant as specified in charter)

One Corporate Center

Rye, New York 10580-1422

(Address of principal executive offices) (Zip code)

Bruce N. Alpert

Gabelli Funds, LLC

One Corporate Center

Rye, New York 10580-1422

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-800-422-3554

Date of fiscal year end: December 31

Date of reporting period: March 31, 2011

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

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

 

 

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

To Our Shareholders,

     During the first quarter of 2011, The Gabelli Utility Trust’s (the “Fund”) net asset value (“NAV”) total return was 8.2% compared with the Standard & Poor’s (“S&P”) 500 Utilities Index of 2.7% and the Lipper Utility Fund Average of 5.4%. The total return for the Fund’s publicly traded shares was 7.1% during the first quarter of 2011.

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

Comparative Results

Average Annual Returns through March 31, 2011 (a) (Unaudited)

																						Since
																						Inception
		Quarter				1 Year				3 Year				5 Year				10 Year				(07/09/99)
Gabelli Utility Trust
NAV Total Return (b)			8.21	%			25.50	%			7.17	%			7.42	%			7.75	%			8.45	%
Investment Total Return (c)			7.11				(3.97	)			(0.36	)			3.42				6.44				7.97
S&P 500 Index			5.92				15.65				2.35				2.62				3.29				1.51
S&P 500 Utilities Index			2.74				12.32				(1.48	)			4.70				1.80				3.83	(d)
Lipper Utility Fund Average			5.36				16.99				0.93				5.76				4.45				4.43

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS — 99.3%
				ENERGY AND UTILITIES — 85.6%
				Energy and Utilities: Alternative Energy — 0.1%
	7,000			Ormat Industries Ltd.		$	51,692
	11,000			Ormat Technologies Inc.			278,630
	8,100			Renegy Holdings Inc.†			2,430
							332,752
				Energy and Utilities: Electric Integrated — 45.1%
	23,000			ALLETE Inc.			896,310
	75,000			Alliant Energy Corp.			2,919,750
	17,000			Ameren Corp.			477,190
	78,000			American Electric Power Co. Inc.			2,740,920
	10,000			Avista Corp.			231,300
	50,000			Black Hills Corp.			1,672,000
	26,000			Central Vermont Public Service Corp.			605,540
	27,000			Cleco Corp.			925,830
	117,000			CMS Energy Corp.			2,297,880
	135,000			Constellation Energy Group Inc.			4,202,550
	30,000			Dominion Resources Inc.			1,341,000
	115,000			DPL Inc.			3,152,150
	23,000			DTE Energy Co.			1,126,080
	125,000			Duke Energy Corp.			2,268,750
	83,000			Edison International			3,036,970
	172,000			El Paso Electric Co.†			5,228,800
	1,000			Emera Inc.			32,687
	3,000			Entergy Corp.			201,630
	116,710			FirstEnergy Corp.			4,328,774
	200,000			Great Plains Energy Inc.			4,004,000
	52,000			Hawaiian Electric Industries Inc.			1,289,600
	89,000			Integrys Energy Group Inc.			4,495,390
	64,000			MGE Energy Inc.			2,591,360
	95,000			NextEra Energy Inc.			5,236,400
	48,000			NiSource Inc.			920,640
	109,000			NorthWestern Corp.			3,302,700
	35,000			NV Energy Inc.			521,150
	100,000			OGE Energy Corp.			5,056,000
	22,400			Otter Tail Corp.			509,152
	48,000			PG&E Corp.			2,120,640
	100,000			PNM Resources Inc.			1,492,000
	90,000			Progress Energy Inc.			4,152,600
	40,000			Progress Energy Inc., CVO†			5,800
	38,000			Public Service Enterprise Group Inc.			1,197,380
	60,500			SCANA Corp.			2,381,885
	104,000			TECO Energy Inc.			1,951,040
	25,000			The Empire District Electric Co.			544,750
	142,000			UniSource Energy Corp.			5,130,460
	18,000			Unitil Corp.			424,080
	47,000			Vectren Corp.			1,278,400
	260,000			Westar Energy Inc.			6,869,200
	180,000			Wisconsin Energy Corp.			5,490,000
	179,000			Xcel Energy Inc.			4,276,310
							102,927,048
				Energy and Utilities: Electric Transmission and Distribution — 8.7%
	243			Brookfield Infrastructure Partners LP			5,400
	50,000			CH Energy Group Inc.			2,527,000
	56,000			Consolidated Edison Inc.			2,840,320
	135,000			Northeast Utilities			4,671,000
	180,000			NSTAR			8,328,600
	22,500			Pepco Holdings Inc.			419,625
	36,666			UIL Holdings Corp.			1,119,046
							19,910,991
				Energy and Utilities: Global Utilities — 3.4%
	15,000			Areva SA			666,435
	1,250			Areva SA, Preference			52,064
	8,000			Chubu Electric Power Co. Inc.			177,927
	40,000			Electric Power Development Co. Ltd.			1,232,027
	37,000			Endesa SA			1,146,517
	300,000			Enel SpA			1,891,103
	300,000			Hera SpA			718,092
	8,000			Hokkaido Electric Power Co. Inc.			155,133
	8,000			Hokuriku Electric Power Co.			181,197
	3,500			Huaneng Power International Inc., ADR			82,215
	35,000			Korea Electric Power Corp., ADR†			428,400
	8,000			Kyushu Electric Power Co. Inc.			156,288
	2,000			Niko Resources Ltd.			191,851
	8,000			Shikoku Electric Power Co. Inc.			217,648
	8,000			The Chugoku Electric Power Co. Inc.			147,920
	8,000			The Kansai Electric Power Co. Inc.			174,176
	6,000			The Tokyo Electric Power Co. Inc.			33,614
	15,000			Tohoku Electric Power Co. Inc.			253,366
							7,905,973
				Energy and Utilities: Merchant Energy — 1.8%
	23,000			Dynegy Inc.†			130,870
	23,048			GenOn Energy Inc.†			87,813
	300,000			GenOn Energy Inc., Escrow† (a)			0
	305,000			The AES Corp.†			3,965,000
							4,183,683
				Energy and Utilities: Natural Gas Integrated — 11.2%
	334,459			El Paso Corp.			6,020,262
	1,000			Energen Corp.			63,120
	127,000			National Fuel Gas Co.			9,398,000
	100,000			ONEOK Inc.			6,688,000
	120,000			Southern Union Co.			3,434,400
							25,603,782

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				ENERGY AND UTILITIES (Continued)
				Energy and Utilities: Natural Gas Utilities — 8.7%
	26,000			AGL Resources Inc.		$	1,035,840
	34,000			Atmos Energy Corp.			1,159,400
	22,500			Chesapeake Utilities Corp.			936,450
	11,000			CONSOL Energy Inc.			589,930
	14,945			Corning Natural Gas Corp.			356,812
	30,000			Delta Natural Gas Co. Inc.			945,900
	11,445			GDF Suez			466,319
	11,445			GDF Suez, Strips			16
	85,000			Nicor Inc.			4,564,500
	35,000			Piedmont Natural Gas Co. Inc.			1,062,250
	6,000			RGC Resources Inc.			205,800
	140,000			Southwest Gas Corp.			5,455,800
	112,000			Spectra Energy Corp.			3,044,160
							19,823,177
				Energy and Utilities: Natural Resources — 1.4%
	4,000			Anadarko Petroleum Corp.			327,680
	34,000			Compania de Minas Buenaventura SA, ADR			1,460,980
	10,000			Exxon Mobil Corp.			841,300
	3,000			Peabody Energy Corp.			215,880
	4,000			Royal Dutch Shell plc, Cl. A, ADR			291,440
							3,137,280
				Energy and Utilities: Services — 0.4%
	30,000			ABB Ltd., ADR†			725,700
	2,400			Tenaris SA, ADR			118,704
							844,404
				Energy and Utilities: Water — 3.1%
	14,000			American States Water Co.			502,040
	28,000			American Water Works Co. Inc.			785,400
	21,833			Aqua America Inc.			499,757
	24,750			Artesian Resources Corp., Cl. A			482,378
	20,000			California Water Service Group			743,400
	7,500			Connecticut Water Service Inc.			197,625
	51,333			Middlesex Water Co.			933,747
	30,000			Pennichuck Corp.			854,700
	80,000			SJW Corp.			1,852,000
	9,000			The York Water Co.			156,690
							7,007,737
				Diversified Industrial — 1.2%
	1,800			Alstom SA			106,438
	1,000			Bouygues SA			48,022
	6,000			Cooper Industries plc			389,400
	106,000			General Electric Co.			2,125,300
							2,669,160
				Equipment and Supplies — 0.1%
	50,000			Capstone Turbine Corp.†			90,500
	2,000			Mueller Industries Inc.			73,240
							163,740
				Environmental Services — 0.0%
	3,000			Suez Environnement Co. SA			62,073
				Independent Power Producers and Energy Traders — 0.4%
	40,000			NRG Energy Inc.†			861,600
				TOTAL ENERGY AND UTILITIES			195,433,400
				COMMUNICATIONS — 11.6%
				Cable and Satellite — 4.4%
	76,000			Cablevision Systems Corp., Cl. A			2,630,360
	5,000			Cogeco Cable Inc.			232,130
	20,000			Cogeco Inc.			855,905
	30,000			DIRECTV, Cl. A†			1,404,000
	60,000			DISH Network Corp., Cl. A†			1,461,600
	10,000			EchoStar Corp., Cl. A†			378,500
	27,000			Liberty Global Inc., Cl. A†			1,118,070
	20,000			Liberty Global Inc., Cl. C†			799,800
	8,000			Rogers Communications Inc., Cl. B			291,200
	12,000			Time Warner Cable Inc.			856,080
							10,027,645
				Communications Equipment — 0.4%
	245,000			Furukawa Electric Co. Ltd.			989,661
	1,000			QUALCOMM Inc.			54,830
							1,044,491
				Telecommunications — 4.5%
	45,000			AT&T Inc.			1,377,000
	2,000			Belgacom SA			77,478
	4,350	(b)		Bell Aliant Inc. (c)			120,427
	12,000			BT Group plc, ADR			360,960
	210,000			Cincinnati Bell Inc.†			562,800
	1,400			Comstar United Telesystems OJSC, GDR† (a)			9,660

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				COMMUNICATIONS (Continued)
				Telecommunications (Continued)
	53,000			Deutsche Telekom AG, ADR		$	817,260
	2,000			France Telecom SA, ADR			45,020
	200			Hutchison Telecommunications Hong Kong Holdings Ltd.			64
	500			Mobistar SA			34,665
	19,000			Nippon Telegraph & Telephone Corp.			853,150
	11,800			Orascom Telecom Holding SAE, GDR† (d)(e)			43,483
	15,000			Portugal Telecom SGPS SA			173,124
	2,000			PT Indosat Tbk			1,217
	500			Sistema JSFC, GDR (d)			14,550
	1,200			Tele2 AB, Cl. B			27,719
	27,000			Telekom Austria AG			394,887
	40,000			Touch America Holdings Inc.†			0
	110,000			Verizon Communications Inc.			4,239,400
	75,000			VimpelCom Ltd., ADR			1,059,000
							10,211,864
				Wireless Communications — 2.3%
	600			America Movil SAB de CV, Cl. L, ADR			34,860
	2,000			China Mobile Ltd., ADR			92,480
	2,000			China Unicom Hong Kong Ltd., ADR			33,200
	171			M1 Ltd.			327
	13,000			Millicom International Cellular SA			1,250,210
	11,250			Mobile TeleSystems OJSC, ADR			238,838
	1,000			NTT DoCoMo Inc.			1,757,634
	600			SK Telecom Co. Ltd., ADR			11,286
	400			SmarTone Telecommunications Holdings Ltd.			663
	22,000			Turkcell Iletisim Hizmetleri A/S, ADR			330,660
	29,000			United States Cellular Corp.†			1,493,210
							5,243,368
				TOTAL COMMUNICATIONS			26,527,368
				OTHER — 2.1%
				Aerospace — 0.4%
	100,000			Rolls-Royce Group plc†			993,005
				Agriculture — 0.0%
	3,000			Cadiz Inc.†			36,570
				Entertainment — 1.1%
	85,000			Vivendi			2,427,298
				Investment Companies — 0.0%
	3,000			Kinnevik Investment AB, Cl. B			69,916
				Real Estate — 0.1%
	6,075			Brookfield Asset Management Inc., Cl. A			197,195
				Transportation — 0.5%
	30,000			GATX Corp.			1,159,800
				TOTAL OTHER			4,883,784
				TOTAL COMMON STOCKS			226,844,552
				WARRANTS — 0.0%
				COMMUNICATIONS — 0.0%
				Wireless Communications — 0.0%
	16,000			Bharti Airtel Ltd., expire 09/19/13† (c)			128,258

Principal
Amount
				CONVERTIBLE CORPORATE BONDS — 0.1%
				ENERGY AND UTILITIES — 0.1%
				Environmental Services — 0.1%
$	100,000			Covanta Holding Corp., Cv., 3.250%, 06/01/14			118,500
				U.S. GOVERNMENT OBLIGATIONS — 0.6%
	1,285,000			U.S. Treasury Bills,
				0.120% to 0.160%††,
				04/28/11 to 09/15/11			1,284,492
TOTAL INVESTMENTS — 100.0%
(Cost $176,797,840)						$	228,375,802
				Aggregate tax cost		$	178,028,203
				Gross unrealized appreciation		$	57,096,381
				Gross unrealized depreciation			(6,748,782	)
				Net unrealized appreciation/depreciation .		$	50,347,599

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

Notional

Termination

Unrealized

Amount

Date

Appreciation

EQUITY CONTRACT FOR DIFFERENCE SWAP AGREEMENT

$

232,327

(25,000 Shares)

Rolls-Royce Group plc

06/27/11

$

15,821

03/31/11

Acquisition

Acquisition

Acquisition

Carrying Value

Shares

Issuer

Date

Cost

Per Unit

11,800

Orascom Telecom Holding SAE, GDR

07/27/09

$

74,146

$

3.6850

500

Sistema JSFC, GDR

10/10/07

17,384

29.1000

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

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

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

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

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

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

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

THE GABELLI UTILITY TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

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

		Valuation Inputs
		Level 1				Level 2				Level 3				Total
		Quoted				Other Significant				Significant				Market Value
		Prices				Observable Inputs				Unobservable Inputs				at 3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
ENERGY AND UTILITIES
Energy and Utilities: Merchant Energy		$	4,183,683				—			$	0			$	4,183,683
Other Industries (a)			191,249,717				—				—				191,249,717
COMMUNICATIONS			—
Telecommunications			10,211,864				—				0				10,211,864
Other Industries (a)			16,315,504				—				—				16,315,504
OTHER (a)			4,883,784				—				—				4,883,784
Total Common Stocks			226,844,552				—				0				226,844,552
Warrants (a)			—			$	128,258				—				128,258
Convertible Corporate Bonds			—				118,500				—				118,500
U.S. Government Obligations			—				1,284,492				—				1,284,492
TOTAL INVESTMENTS IN SECURITIES — ASSETS		$	226,844,552			$	1,531,250			$	0			$	228,375,802
OTHER FINANCIAL INSTRUMENTS:
ASSETS (Unrealized Appreciation):*
EQUITY CONTRACT:
Contract for Difference Swap Agreement		$	—			$	15,821			$	—			$	15,821
TOTAL OTHER FINANCIAL INSTRUMENTS		$	—			$	15,821			$	—			$	15,821

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

THE GABELLI UTILITY TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

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

																																						Net change in
																																						unrealized
																																						appreciation/
																																						depreciation
																																						during the period
														Change in																								on Level 3
		Balance				Accrued				Realized				unrealized												Transfers				Transfers				Balance				investments
		as of				discounts/				gain/				appreciation/												into				out of				as of				held at
		12/31/10				(premiums)				(loss)				depreciation				Purchases				Sales				Level 3†				Level 3†				3/31/11				3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
ENERGY AND UTILITIES
Energy and Utilities:
Merchant Energy		$	0			$	—			$	—			$	—			$	—			$	—			$	—			$	—			$	0			$	—
COMMUNICATIONS
Telecommunications			0				—				—				—				—				—				—				—				0				—
Total Common Stocks			0				—				—				—				—				—				—				—				0				—
Warrants:
ENERGY AND UTILITIES
Energy and Utilities:
Merchant Energy			183				—				(51,616	)			51,433				—				(0	)			—				—				—				—
TOTAL INVESTMENTS IN SECURITIES		$	183			$	—			$	(51,616	)		$	51,433			$	—			$	(0	)		$	—			$	—			$	0			$	—

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

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

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

THE GABELLI UTILITY TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purposes of hedging or protecting its exposure to interest rate movements and movements in the securities markets, hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase, or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or that, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund’s ability to pay distributions.

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

     Swap Agreements. The Fund may enter into equity contract for difference and interest rate swap or cap transactions for the purpose of increasing the income of the Fund or hedging or protecting its exposure to interest rate movements and movements in the securities market. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an interest rate swap, the Fund would agree to pay periodically to the other party (which is known as the “counterparty”) a fixed rate payment in exchange for the counterparty agreeing to pay to the Fund periodically a variable rate payment that is with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

     During the period ended March 31, 2011, the Fund held no investments in interest rate swap agreements.

     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, 2011 are reflected within the Schedule of Investments and further details are as follows:

Notional

Equity Security

Interest Rate/

Termination

Net Unrealized

Amount

Received

Equity Security Paid

Date

Appreciation

Market Value

One month LIBOR plus 90 bps plus

Appreciation on:

Market Value Depreciation on:

$232,327 (25,000 Shares)

Rolls-Royce Group plc

Rolls-Royce Group plc

6/27/11

$

15,821

     The Fund’s volume of activity in equity contract for difference swap agreements during the period ended March 31, 2011 had an average monthly notional amount of approximately $248,992.

THE GABELLI UTILITY TRUST
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

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

     There are several risks in connection with the use of futures contracts as a hedging instrument. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the hedged investments. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market. During the period ended March 31, 2011, the Fund held no investments in futures contracts.

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

     The use of forward foreign exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s portfolio securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign exchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. During the period ended March 31, 2011, the Fund held no investments in forward foreign exchange contracts.

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

		Net Unrealized
Asset Derivatives:		Appreciation
Equity Contract		$	15,821

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

     At December 31, 2010, the Fund had net capital loss carryforwards for federal income tax purposes of $2,489,944 which are available to reduce future required distributions of net capital gains to shareholders. $890,229 of the loss carryforward is available through 2017; and $1,599,715 is available through 2018.

TRUSTEES AND OFFICERS
THE GABELLI UTILITY TRUST
One Corporate Center, Rye, NY 10580-1422

Trustees
Mario J. Gabelli, CFA

Chairman & Chief Executive Officer,
GAMCO Investors, Inc.

Dr. Thomas E. Bratter

President & Founder, John Dewey Academy

Anthony J. Colavita

President,
Anthony J. Colavita, P.C.

James P. Conn

Former Managing Director &
Chief Investment Officer,
Financial Security Assurance Holdings Ltd.

Vincent D. Enright

Former Senior Vice President &
Chief Financial Officer,
KeySpan Corp.

Frank J. Fahrenkopf, Jr.

President & Chief Executive Officer,
American Gaming Association

John D. Gabelli

Senior Vice President,
Gabelli & Company, Inc.

Robert J. Morrissey

Attorney-at-Law,
Morrissey, Hawkins & Lynch

Anthony R. Pustorino

Certified Public Accountant,
Professor Emeritus, Pace University

Salvatore J. Zizza

Chairman, Zizza & Co., Ltd.

Officers
Bruce N. Alpert

President

Peter D. Goldstein

Chief Compliance Officer

Agnes Mullady

Treasurer & Secretary

David I. Schachter

Vice President & Ombudsman

Investment Adviser
Gabelli Funds, LLC One
Corporate Center Rye, New York
10580-1422

Custodian
The Bank of New York Mellon

Counsel
Willkie Farr & Gallagher LLP

Transfer Agent and Registrar
Computershare Trust Company, N.A.

Stock Exchange Listing

						5.625%
		Common				Preferred
NYSE—Symbol:		GUT				GUT PrA
Shares Outstanding:			31,546,632				1,153,288

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “Specialized Equity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds section under the heading “Specialized Equity Funds.” The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com. The NASDAQ symbol for the Net Asset Value is “XGUTX.”

THE GABELLI UTILITY TRUST
One Corporate Center
Rye, NY 10580-1422
(914) 921-5070
www.gabelli.com

First Quarter Report
March 31, 2011

Item 2. Controls and Procedures.

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

Item 3. Exhibits.

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

SIGNATURES

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

(Registrant) The Gabelli Utility Trust

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

Date  5/31/11

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

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