Edgar Filing: GABELLI UTILITY TRUST

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-09243

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: September 30, 2008

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 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. ss. 3507.

ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.

(THE GABELLI UTILITY TRUST LOGO)

THE GABELLI UTILITY TRUST

Third Quarter Report
September 30, 2008

TO OUR SHAREHOLDERS,

During the third quarter of 2008, The Gabelli Utility Trust's (the "Fund")
total return was down 12.82% on a net asset value ("NAV") basis while the
Standard & Poor's ("S&P") 500 Utilities Index was down 18.01% and the Lipper
Utility Fund Average fell 20.34%. The Fund's market price on September 30, 2008
was $9.12, which equates to a 50.25% premium to its NAV of $6.07. The Fund's
market price, adjusted for distributions, rose 0.06% during the third quarter of
2008.

Enclosed is the investment portfolio as of September 30, 2008.

COMPARATIVE RESULTS

AVERAGE ANNUAL RETURNS THROUGH SEPTEMBER 30, 2008 (a)

Since
Inception
Quarter 1 Year 3 Year 5 Year (07/09/99)
------- ------ ------ ------ ----------

GABELLI UTILITY TRUST
NAV TOTAL RETURN (B) ........... (12.82)% (16.69)% 1.98% 8.64% 7.49%
INVESTMENT TOTAL RETURN (C) .... 0.06 5.97 5.72 11.51 10.70
S&P 500 Index ...................... (8.36) (21.96) 0.22 5.17 (0.26)
S&P 500 Utilities Index ............ (18.01) (14.25) 2.86 12.54 4.08
Lipper Utility Fund Average ........ (20.34) (19.81) 2.78 11.89 4.02

(a) RETURNS REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND THE PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE.
WHEN SHARES ARE SOLD, THEY MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA
PRESENTED. VISIT WWW.GABELLI.COM FOR PERFORMANCE INFORMATION AS OF THE MOST
RECENT MONTH END. PERFORMANCE RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE
NOT ANNUALIZED. INVESTORS SHOULD CAREFULLY CONSIDER THE INVESTMENT
OBJECTIVES, RISKS, CHARGES, AND EXPENSES OF THE FUND BEFORE INVESTING. THE
S&P 500 INDEX IS AN UNMANAGED INDICATOR OF STOCK MARKET PERFORMANCE. THE
S&P 500 UTILITIES INDEX IS AN UNMANAGED INDICATOR OF ELECTRIC AND GAS
UTILITY STOCK PERFORMANCE. THE LIPPER UTILITY FUND AVERAGE REFLECTS THE
AVERAGE PERFORMANCE OF OPEN-END MUTUAL FUNDS CLASSIFIED IN THIS PARTICULAR
CATEGORY 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 NAV ON THE EX-DIVIDEND DATE, 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 NEW YORK STOCK EXCHANGE, REINVESTMENT OF DISTRIBUTIONS, AND
ADJUSTMENTS FOR RIGHTS OFFERINGS. SINCE INCEPTION RETURN IS BASED ON AN
INITIAL OFFERING PRICE OF $7.50.

We have separated the portfolio manager's commentary from the financial
statements and investment portfolio due to corporate governance regulations
stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that
the content of the portfolio manager's commentary is unrestricted. The financial
statements and investment portfolio are mailed separately from the commentary.
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
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2008 (UNAUDITED)

MARKET
SHARES VALUE
----------- ------------

COMMON STOCKS -- 88.2%
ENERGY AND UTILITIES -- 76.7%
ENERGY AND UTILITIES: ALTERNATIVE ENERGY -- 0.3%
20,000 Ormat Industries Ltd. ............................................ $ 225,486
12,500 Ormat Technologies Inc. .......................................... 454,125
------------
679,611
------------
ENERGY AND UTILITIES: ELECTRIC INTEGRATED -- 45.2%
248,000 Allegheny Energy Inc. ............................................ 9,118,960
23,000 ALLETE Inc. ...................................................... 1,023,500
75,000 Alliant Energy Corp. ............................................. 2,415,750
10,000 Ameren Corp. ..................................................... 390,300
80,000 American Electric Power Co. Inc. ................................. 2,966,400
10,000 Avista Corp. ..................................................... 217,100
35,000 Black Hills Corp. ................................................ 1,087,450
30,000 Cleco Corp. ...................................................... 757,500
145,000 CMS Energy Corp. ................................................. 1,808,150
105,000 Constellation Energy Group Inc. .................................. 2,551,500
30,000 Dominion Resources Inc. .......................................... 1,283,400
160,000 DPL Inc. ......................................................... 3,968,000
24,000 DTE Energy Co. ................................................... 958,800
190,000 Duke Energy Corp. ................................................ 3,311,700
90,000 Edison International.............................................. 3,591,000
191,000 El Paso Electric Co.+............................................. 4,011,000
3,000 Entergy Corp. .................................................... 267,030
51,000 FirstEnergy Corp. ................................................ 3,416,490
137,000 Florida Public Utilities Co. ..................................... 1,767,300
90,000 FPL Group Inc. ................................................... 4,527,000
254,080 Great Plains Energy Inc. ......................................... 5,627,872
55,000 Hawaiian Electric Industries Inc. ................................ 1,595,550
92,000 Integrys Energy Group Inc. ....................................... 4,594,480
61,000 Maine & Maritimes Corp.+.......................................... 2,009,950
66,000 MGE Energy Inc. .................................................. 2,346,300
48,000 NiSource Inc. .................................................... 708,480
110,900 NorthWestern Corp. ............................................... 2,786,917
100,000 OGE Energy Corp. ................................................. 3,088,000
24,000 Otter Tail Corp. ................................................. 737,520
48,000 PG&E Corp. ....................................................... 1,797,600
80,000 PNM Resources Inc. ............................................... 819,200
100,000 Progress Energy Inc. ............................................. 4,313,000
40,000 Progress Energy Inc., CVO+ (a).................................... 13,200
38,000 Public Service Enterprise Group Inc. ............................. 1,246,020
60,000 Puget Energy Inc. ................................................ 1,602,000
60,500 SCANA Corp. ...................................................... 2,355,265
35,000 Sierra Pacific Resources.......................................... 335,300
104,000 TECO Energy Inc. ................................................. 1,635,920
22,000 The Empire District Electric Co. ................................. 469,700
150,000 Unisource Energy Corp. ........................................... 4,378,500
35,000 Unitil Corp. ..................................................... 913,150
47,000 Vectren Corp. .................................................... 1,308,950
260,000 Westar Energy Inc. ............................................... 5,990,400
90,000 Wisconsin Energy Corp. ........................................... 4,041,000
195,000 Xcel Energy Inc. ................................................. 3,898,050
------------
108,050,654
------------

MARKET
SHARES VALUE
----------- ------------

ENERGY AND UTILITIES:
ELECTRIC TRANSMISSION AND DISTRIBUTION -- 7.2%
243 Brookfield Infrastructure Partners LP............................. $ 3,822
50,000 CH Energy Group Inc. ............................................. 2,178,500
60,000 Consolidated Edison Inc. ......................................... 2,577,600
135,000 Northeast Utilities............................................... 3,462,750
215,000 NSTAR............................................................. 7,202,500
22,500 Pepco Holdings Inc. .............................................. 515,475
36,666 UIL Holdings Corp. ............................................... 1,258,744
------------
17,199,391
------------
ENERGY AND UTILITIES: GLOBAL UTILITIES -- 3.4%
1,500 Areva SA.......................................................... 1,150,198
8,000 Chubu Electric Power Co. Inc. .................................... 186,921
40,000 Electric Power Development Co. Ltd. .............................. 1,274,975
20,000 Endesa SA......................................................... 724,170
200,000 Enel SpA.......................................................... 1,658,384
300,000 Hera SpA.......................................................... 820,605
8,000 Hokkaido Electric Power Co. Inc. ................................. 165,484
8,000 Hokuriku Electric Power Co. ...................................... 191,434
3,500 Huaneng Power International Inc., ADR ............................ 93,170
35,000 Korea Electric Power Corp., ADR................................... 433,650
8,000 Kyushu Electric Power Co. Inc. ................................... 165,484
2,000 Niko Resources Ltd. .............................................. 107,512
8,000 Shikoku Electric Power Co. Inc. .................................. 200,085
8,000 The Chugoku Electric Power Co. Inc. .............................. 163,603
8,000 The Kansai Electric Power Co. Inc. ............................... 176,766
8,000 The Tokyo Electric Power Co. Inc. ................................ 194,819
15,000 Tohoku Electric Power Co. Inc. ................................... 320,859
------------
8,028,119
------------
ENERGY AND UTILITIES: MERCHANT ENERGY -- 1.2%
35,810 Dynegy Inc., Cl. A+............................................... 128,200
8,130 Mirant Corp.+..................................................... 148,698
300,000 Mirant Corp. Escrow+ (a).......................................... 0
230,000 The AES Corp.+.................................................... 2,688,700
------------
2,965,598
------------
ENERGY AND UTILITIES: NATURAL GAS INTEGRATED -- 6.7%
180,000 El Paso Corp. .................................................... 2,296,800
1,000 Energen Corp. .................................................... 45,280
40,000 EnergySouth Inc. ................................................. 2,457,200
126,000 National Fuel Gas Co. ............................................ 5,314,680
100,000 ONEOK Inc. ....................................................... 3,440,000
120,000 Southern Union Co. ............................................... 2,478,000
------------
16,031,960
------------
ENERGY AND UTILITIES: NATURAL GAS UTILITIES -- 6.7%
26,000 AGL Resources Inc. ............................................... 815,880
50,000 Atmos Energy Corp. ............................................... 1,331,000
10,000 Chesapeake Utilities Corp. ....................................... 332,100
10,000 Corning Natural Gas Corp.+........................................ 161,000
30,000 Delta Natural Gas Co. Inc. ....................................... 768,300

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2008 (UNAUDITED)

MARKET
SHARES VALUE
----------- ------------

COMMON STOCKS (CONTINUED)
ENERGY AND UTILITIES (CONTINUED)
ENERGY AND UTILITIES: NATURAL GAS UTILITIES (CONTINUED)
90,000 Nicor Inc. ....................................................... $ 3,991,500
35,000 Piedmont Natural Gas Co. Inc. .................................... 1,118,600
6,000 RGC Resources Inc. ............................................... 169,740
150,000 Southwest Gas Corp. .............................................. 4,539,000
120,000 Spectra Energy Corp. ............................................. 2,856,000
------------
16,083,120
------------
ENERGY AND UTILITIES: NATURAL RESOURCES -- 1.1%
4,000 Anadarko Petroleum Corp. ......................................... 194,040
38,000 Compania de Minas Buenaventura SA, ADR............................ 892,240
16,000 Exxon Mobil Corp. ................................................ 1,242,560
3,000 Peabody Energy Corp. ............................................. 135,000
4,000 Royal Dutch Shell plc, Cl. A, ADR................................. 236,040
------------
2,699,880
------------
ENERGY AND UTILITIES: SERVICES -- 0.4%
50,000 ABB Ltd., ADR..................................................... 970,000
9,000 Renegy Holdings Inc.+............................................. 18,900
2,000 Tenaris SA, ADR................................................... 74,580
------------
1,063,480
------------
ENERGY AND UTILITIES: WATER -- 3.3%
14,000 American States Water Co. ........................................ 539,000
30,000 American Water Works Co. Inc. .................................... 645,000
21,833 Aqua America Inc. ................................................ 388,191
24,750 Artesian Resources Corp., Cl. A................................... 419,018
20,000 California Water Service Group.................................... 770,000
7,500 Connecticut Water Service Inc. ................................... 217,125
51,333 Middlesex Water Co. .............................................. 896,788
33,000 Pennichuck Corp. ................................................. 759,000
80,000 SJW Corp. ........................................................ 2,397,600
8,101 Southwest Water Co. .............................................. 103,288
12,000 Suez SA........................................................... 585,531
12,000 Suez SA, Strips+.................................................. 169
9,000 York Water Co. ................................................... 111,420
------------
7,832,130
------------
DIVERSIFIED INDUSTRIAL -- 1.1%
2,400 Alstom............................................................ 178,278
5,000 Bouygues SA....................................................... 223,488
8,000 Cooper Industries Ltd., Cl. A..................................... 319,600
75,000 General Electric Co. ............................................. 1,912,500
------------
2,633,866
------------
EQUIPMENT AND SUPPLIES -- 0.1%
50,000 Capstone Turbine Corp.+........................................... 64,500
2,000 Mueller Industries Inc. .......................................... 46,020
------------
110,520
------------
TOTAL ENERGY AND UTILITIES ....................................... 183,378,329
------------

SHARES/ MARKET
UNITS VALUE
----------- ------------

COMMUNICATIONS -- 9.7%
CABLE AND SATELLITE -- 3.4%
100,000 Cablevision Systems Corp., Cl. A.................................. $ 2,516,000
5,000 Cogeco Cable Inc. ................................................ 187,221
20,000 Cogeco Inc. ...................................................... 586,328
50,000 DISH Network Corp., Cl. A+........................................ 1,050,000
10,000 EchoStar Corp., Cl. A+............................................ 241,000
35,000 Liberty Global Inc., Cl. A+....................................... 1,060,500
20,000 Liberty Global Inc., Cl. C+....................................... 561,800
8,000 Rogers Communications Inc., Cl. B................................. 265,920
65,000 The DIRECTV Group Inc.+........................................... 1,701,050
2,112 Zon Multimedia Servicos de Telecomunicacoes e Multimedia
SGPS SA........................................................ 15,431
------------
8,185,250
------------
COMMUNICATIONS EQUIPMENT -- 0.5%
260,000 The Furukawa Electric Co. Ltd. ................................... 1,109,868
3,000 QUALCOMM Inc. .................................................... 128,910
------------
1,238,778
------------
TELECOMMUNICATIONS -- 3.8%
45,000 AT&T Inc. ........................................................ 1,256,400
4,350 Bell Aliant Regional Communications Income Fund+ (a)(b)........... 108,706
30,000 BT Group plc, ADR................................................. 870,300
2,000 CenturyTel Inc. .................................................. 73,300
230,000 Cincinnati Bell Inc.+............................................. 710,700
500 Comstar United Telesystems OJSC, GDR+ ............................ 1,500
500 Comstar United Telesystems OJSC, GDR.............................. 2,500
20,000 D&E Communications Inc. .......................................... 151,000
60,000 Deutsche Telekom AG, ADR.......................................... 913,800
2,000 France Telecom SA, ADR............................................ 56,020
10,000 Frontier Communications Corp. .................................... 115,000
200 Hutchison Telecommunications International Ltd.+.................. 227
500 Mobistar SA....................................................... 35,015
200 Nippon Telegraph & Telephone Corp. ............................... 881,952
15,000 Portugal Telecom SGPS SA.......................................... 150,036
200 PT Indosat Tbk.................................................... 129
500 Rostelecom, ADR................................................... 21,770
500 Sistema JSFC, GDR................................................. 8,160
1,200 Tele2 AB, Cl. B................................................... 13,475
5,000 Telecom Italia SpA, ADR........................................... 74,600
40,000 Touch America Holdings Inc.+ (a).................................. 0
115,000 Verizon Communications Inc. ...................................... 3,690,350
------------
9,134,940
------------
WIRELESS COMMUNICATIONS -- 2.0%
600 America Movil SAB de CV, Cl. L, ADR .............................. 27,816
2,000 China Mobile Ltd., ADR............................................ 100,160
2,000 China Unicom Ltd., ADR............................................ 30,240
3,000 Millicom International Cellular SA................................ 206,010

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2008 (UNAUDITED)

MARKET
SHARES VALUE
----------- ------------

COMMON STOCKS (CONTINUED)
COMMUNICATIONS (CONTINUED)
WIRELESS COMMUNICATIONS (CONTINUED)
4,500 Mobile TeleSystems OJSC, ADR ..................................... $ 252,045
171 MobileOne Ltd. ................................................... 217
1,200 NTT DoCoMo Inc. .................................................. 1,894,410
600 SK Telecom Co. Ltd., ADR.......................................... 11,292
200 SmarTone Telecommunications Holdings Ltd. ........................ 144
12,000 Turkcell Iletisim Hizmet A/S, ADR ................................ 179,880
29,000 United States Cellular Corp.+ .................................... 1,360,680
28,000 Vimpel-Communications, ADR........................................ 568,400
------------
4,631,294
------------
TOTAL COMMUNICATIONS 23,190,262
------------
OTHER -- 1.9%
AEROSPACE -- 0.2%
65,000 Rolls-Royce Group plc+ ........................................... 388,858
------------
AGRICULTURE -- 0.0%
2,000 Cadiz Inc.+....................................................... 38,140
------------
AUTOMOTIVE: PARTS AND ACCESSORIES -- 0.0%
1,000 BERU AG .......................................................... 105,585
------------
ENTERTAINMENT -- 1.4%
90,000 Time Warner Inc. ................................................. 1,179,900
65,000 Vivendi .......................................................... 2,014,979
------------
3,194,879
PUBLISHING -- 0.0% ------------
8,000 Idearc Inc. ...................................................... 10,000
------------
REAL ESTATE -- 0.1%
6,075 Brookfield Asset Management Inc., Cl. A .......................... 166,698
------------
TRANSPORTATION -- 0.2%
12,000 GATX Corp. ....................................................... 474,840
------------
TOTAL OTHER ...................................................... 4,379,000
------------
TOTAL COMMON STOCKS .............................................. 210,947,591
------------
CONVERTIBLE PREFERRED STOCKS -- 1.6%
ENERGY AND UTILITIES -- 0.9%
ENERGY AND UTILITIES: NATURAL GAS INTEGRATED -- 0.9%
2,000 El Paso Corp., 4.990% Cv. Pfd. (b)................................ 2,109,396
------------
COMMUNICATIONS -- 0.7%
TELECOMMUNICATIONS -- 0.7%
30,000 Citizens Utilities Trust, 5.000% Cv. Pfd. ........................ 1,785,000
------------
TOTAL CONVERTIBLE
PREFERRED STOCKS .............................................. 3,894,396
------------

PRINCIPAL
AMOUNT
-----------

CORPORATE BONDS -- 0.0%
COMMUNICATIONS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
$ 100,000 Williams Communications Group Inc.,
Escrow, 10.875%, 10/01/09+ (a) ................................ 0
------------

MARKET
SHARES VALUE
----------- ------------

RIGHTS -- 0.0%
ENERGY AND UTILITIES -- 0.0%
ENVIRONMENTAL SERVICES -- 0.0%
12,000 Suez Environnement SA+ ........................................... $ 75,852
------------
WARRANTS -- 0.1%
ENERGY AND UTILITIES -- 0.0%
ENERGY AND UTILITIES: MERCHANT ENERGY -- 0.0%
26,107 Mirant Corp., Ser. A, expire 01/03/11+ ........................... 104,428
------------
ENERGY AND UTILITIES: NATURAL GAS UTILITIES -- 0.0%
3,000 Corning Natural Gas Corp., expire 08/17/11+ ...................... 4,650
------------
TOTAL ENERGY AND UTILITIES ....................................... 109,078
------------
COMMUNICATIONS -- 0.1%
WIRELESS COMMUNICATIONS -- 0.1%
2,000 Bharti Airtel Ltd., expire 10/28/08+ (b) ......................... 33,420
6,000 Bharti Airtel Ltd., expire 12/15/16+ (b) ......................... 111,931
------------
145,351
------------
TOTAL COMMUNICATIONS ............................................. 145,351
------------
TOTAL WARRANTS ................................................... 254,429
------------

PRINCIPAL
AMOUNT
-----------

U.S. GOVERNMENT OBLIGATIONS -- 10.0%
U.S. TREASURY BILLS -- 6.1%
$14,261,000 U.S. Treasury Bills, 1.118% to 1.924%++,
10/02/08 to 01/29/09 .......................................... 14,602,628
------------
U.S. TREASURY NOTES -- 3.9%
9,025,000 4.500%, 04/30/09............................................... 9,173,777
200,000 4.750%, 12/31/08............................................... 201,922
------------
9,375,699
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS ................................ 23,978,327
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $222,672,958).......................................................... $239,150,595
============
Aggregate book cost..................................................... $222,672,958
============
Gross unrealized appreciation........................................ $ 29,150,153
Gross unrealized depreciation........................................ (12,672,516)
------------
Net unrealized appreciation/(depreciation) .......................... $ 16,477,637
============

----------
(a) Security fair valued under procedures established by the Board of Trustees.
The procedures may include reviewing available financial information about
the company and reviewing the valuation of comparable securities and other
factors on a regular basis. At September 30, 2008, the market value of fair
valued securities amounted to $121,906 or 0.05% of total investments.

(b) Security exempt from registration under Rule 144A of the Securities Act of
1933, as amended. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers. At September
30, 2008, the market value of Rule 144A securities amounted to $2,363,453
or 0.99% of total investments.

+ Non-income producing security.

++ Represents annualized yield at date of purchase.

ADR American Depositary Receipt

CVO Contingent Value Obligation

GDR Global Depositary Receipt

See accompanying notes to schedule of investments.

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

1. 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 60 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 60 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.
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.

On January 1, 2008, the Fund adopted Statement of Financial Accounting Standard
No. 157, "Fair Value Measurements" ("SFAS 157") that clarifies the definition of
fair value for financial reporting, establishes a framework for measuring fair
value, and requires additional disclosures about the use of fair value
measurements. The three levels of the fair value hierarchy under SFAS 157 are
described 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 inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. The
summary of inputs used to value the Fund's net assets as of September 30, 2008
is as follows:

OTHER FINANCIAL
INVESTMENTS IN INSTRUMENTS
SECURITIES (UNREALIZED
VALUATION INPUTS (MARKET VALUE) DEPRECIATION)*
---------------- -------------- ---------------

Level 1 - Quoted Prices $215,159,068 --
Level 2 - Other Significant Observable Inputs 23,978,327 $(281,722)
Level 3 - Significant Unobservable Inputs 13,200 --
------------ ---------
Total $239,150,595 $(281,722)
============ =========

----------
* Other financial instruments are derivative instruments not reflected in the
Schedule of Investments, such as futures, forwards, and swaps, which are
valued at the unrealized appreciation/depreciation on the investment.

THE GABELLI UTILITY TRUST
NOTES TO SCHEDULE OF INVESTMENTS (CONTINUED) (UNAUDITED)

The following is a reconciliation of Level 3 investments for which significant
unobservable inputs were used to determine fair value:

INVESTMENTS IN
SECURITIES
(MARKET VALUE)
--------------

BALANCE AS OF 12/31/07 $13,200
Accrued discounts/(premiums) --
Realized gain/(loss) --
Change in unrealized appreciation/(depreciation) 0
Net purchases/(sales) --
Transfers in and/or out of Level 3 --
-------
BALANCE AS OF 09/30/08 $13,200
=======

In March 2008, the Financial Accounting Standards Board (the "FASB") issued
Statement of Financial Accounting Standard No. 161, "Disclosures about
Derivative Instruments and Hedging Activities" ("SFAS 161") that is effective
for fiscal years beginning after November 15, 2008. SFAS 161 is intended to
improve financial reporting for derivative instruments by requiring enhanced
disclosure that enables investors to understand how and why an entity uses
derivatives, how derivatives are accounted for, and how derivative instruments
affect an entity's results of operations and financial position. Management is
currently evaluating the implications of SFAS 161 on the Fund's financial
statement disclosures.

2. SWAP AGREEMENTS. The Fund may enter into equity, contract for differences,
and interest rate swap or cap transactions. The use of swaps and caps is a
highly specialized activity that involves investment techniques and risks
different from those associated with ordinary portfolio transactions. In an
interest rate swap, the Fund would agree to pay to the other party to the
interest rate swap (which is known as the "counterparty") periodically a fixed
rate payment in exchange for the counterparty agreeing to pay to the Fund
periodically a variable rate payment that is intended to approximate the Fund's
variable rate payment obligation on Series B Preferred Shares. In an interest
rate cap, the Fund would pay a premium to the counterparty and, to the extent
that a specified variable rate index exceeds a predetermined fixed rate, would
receive from that counterparty payments of the difference based on the notional
amount of such cap. In an equity swap, a set of future cash flows are exchanged
between two counterparties. One of these cash flow streams will typically be
based on a reference interest rate combined with the performance of a notional
value of shares of a stock. The other will be based on the performance of the
shares of a stock. Swap and cap transactions introduce additional risk because
the Fund would remain obligated to pay preferred stock dividends when due in
accordance with the Statement of Preferences even if the counterparty defaulted.
If there is a default by the counterparty to a swap contract, the Fund will be
limited to contractual remedies pursuant to the agreements related to the
transaction. There is no assurance that the swap contract counterparties will be
able to meet their obligations pursuant to a swap contract or that, in the event
of default, the Fund will succeed in pursuing contractual remedies. The Fund
thus assumes the risk that it may be delayed in or prevented from obtaining
payments owed to it pursuant to a swap contract. The creditworthiness of the
swap contract counterparties is closely monitored in order to minimize this
risk. Depending on the general state of short-term interest rates and the
returns on the Fund's portfolio securities at that point in time, such a default
could negatively affect the Fund's ability to make dividend payments. In
addition, at the time a swap or cap transaction reaches its scheduled
termination date, there is a risk that the Fund will not be able to obtain a
replacement transaction or that the terms of the replacement will not be as
favorable as on the expiring transaction.

THE GABELLI UTILITY TRUST
NOTES TO SCHEDULE OF INVESTMENTS (CONTINUED) (UNAUDITED)

The use of derivative instruments may involve, to varying degrees, elements of
market and counterparty risk in excess of the amount recognized below.

The Fund has entered into an interest rate swap agreement with Citibank N.A.
Under the agreement, the Fund receives a floating rate of interest and pays a
respective fixed rate of interest on the nominal value of the swap. Details of
the swap at September 30, 2008 are as follows:

NET
NOTIONAL FLOATING RATE* TERMINATION UNREALIZED
AMOUNT FIXED RATE (RATE RESET MONTHLY) DATE DEPRECIATION
----------- ---------- -------------------- ----------- ------------

$25,000,000 4.00% 2.48563% 06/02/10 $(250,699)

* Based on LIBOR (London Interbank Offered Rate).

The Fund has entered into a contract for difference swap agreement with Bear,
Stearns International Limited. Details of the swap at September 30, 2008 are as
follows:

NOTIONAL EQUITY SECURITY INTEREST RATE/ TERMINATION NET UNREALIZED
AMOUNT RECEIVED EQUITY SECURITY PAID DATE DEPRECIATION
------------------------ --------------------- ------------------------ ----------- --------------

Overnight LIBOR plus
Market Value 40 bps plus Market Value
Appreciation on: Depreciation on:
$239,994 (35,000 Shares) Rolls-Royce Group plc Rolls-Royce Group plc 10/15/08 $(31,023)

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 to common shareholders. As a "registered" shareholder
you automatically become a participant in the Fund's Automatic Dividend
Reinvestment Plan (the "Plan"). The Plan authorizes the Fund to credit common
shares to participants upon an income dividend or a capital gains distribution
regardless of whether the shares are trading at a discount or a premium to net
asset value. All distributions to shareholders whose shares are registered in
their own names will be automatically reinvested pursuant to the Plan in
additional shares of the Fund. Plan participants may send their share
certificates to Computershare Trust Company, N.A. ("Computershare") to be held
in their dividend reinvestment account. Registered shareholders wishing to
receive their distributions in cash must submit this request in writing to:

The Gabelli Utility Trust
c/o Computershare
P.O. Box 43010
Providence, RI 02940-3010

Shareholders requesting this cash election must include the shareholder's
name and address as they appear on the share certificate. Shareholders with
additional questions regarding the Plan or requesting a copy of 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. If such institution is not participating in the
Plan, your account will be credited with a cash dividend. In order to
participate 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 will be automatically
reinvested. Certain brokers participate in the Plan. Shareholders holding shares
in "street name" at participating institutions will have dividends automatically
reinvested. Shareholders wishing a cash dividend 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 determined in the following manner. Under the Plan,
whenever the market price of the Fund's common shares is equal to or exceeds net
asset value at the time shares are valued for purposes of determining the number
of shares equivalent to the cash dividends or capital gains distribution,
participants are issued common shares valued at the greater of (i) the net asset
value as most recently determined or (ii) 95% of the then current market price
of the Fund's common shares. The valuation date is the dividend or distribution
payment date or, if that date is not a New York Stock Exchange ("NYSE") trading
day, the next trading day. If the net asset value of the common shares at the
time of valuation exceeds the market price of the common shares, participants
will receive common shares from the Fund valued at market price. If the Fund
should declare a dividend or capital gains distribution payable 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 open market and cause the Fund to issue
shares at net asset value if, following the commencement of such purchases, the
market value of the common shares exceeds the then current net asset value.

The automatic reinvestment of dividends and capital gains distributions
will not relieve participants of any income tax which may be payable on such
distributions. A participant in the Plan will be treated for federal income tax
purposes as having received, on a dividend payment date, a dividend or
distribution in an amount equal 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 their investment in the Fund. In order to participate
in the Voluntary Cash Purchase Plan, shareholders must have their shares
registered in their own name.

Participants in the Voluntary Cash Purchase Plan have the option of making
additional cash payments to Computershare for investments in the Fund's common
shares at the then current market price. Shareholders may send an amount from
$250 to $10,000. Computershare will use these funds to purchase shares in the
open market on or about the 1st and 15th of each month. Computershare will
charge each shareholder who participates $0.75, plus a pro rata share of the
brokerage commissions. Brokerage charges for such purchases are expected to be
less than the usual brokerage charge for such transactions. It is suggested that
any voluntary cash payments be sent to Computershare, P.O. Box 43010,
Providence, RI 02940-3010 such that Computershare receives such payments
approximately 10 days before the 1st and 15th of the month. Funds not received
at least five days before the investment date shall be held for investment until
the next purchase date. A payment may be withdrawn without charge if notice is
received by Computershare at least 48 hours before 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 your name, address, and
account number. The cost to liquidate shares is $2.50 per transaction as well as
the brokerage commission incurred. Brokerage charges are expected to be less
than the usual brokerage charge for such transactions.

For more information regarding the Automatic Dividend Reinvestment Plan and
Voluntary Cash Purchase Plan, 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 payments made and any dividend or distribution paid
subsequent to written notice of the change sent to the members of the Plan at
least 90 days before the record date for such dividend or distribution. The Plan
also may be amended or terminated by Computershare on at least 90 days written
notice to participants in the Plan.

THE GABELLI UTILITY TRUST
AND YOUR PERSONAL PRIVACY

WHO ARE WE?

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

WHAT KIND OF NON-PUBLIC INFORMATION DO WE COLLECT ABOUT YOU IF YOU BECOME A
SHAREHOLDER?

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

- INFORMATION YOU GIVE US ON YOUR APPLICATION FORM. This could include your
name, address, telephone number, social security number, bank account
number, and other information.

- INFORMATION ABOUT YOUR TRANSACTIONS WITH US. This would include information
about the shares that you buy or sell; it may also include information
about whether you sell or exercise rights that we have issued from time to
time. If we hire someone else to provide services--like a transfer
agent--we will also have information about the transactions that you
conduct through them.

WHAT INFORMATION DO WE DISCLOSE AND TO WHOM DO WE DISCLOSE IT?

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

WHAT DO WE DO TO PROTECT YOUR PERSONAL INFORMATION?

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

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
ATTORNEY-AT-LAW, 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 AND 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: 30,288,610 1,183,600

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.

For general information about the Gabelli Funds, call 800-GABELLI
(800-422-3554), fax us at 914-921-5118, visit Gabelli Funds' Internet homepage
at: WWW.GABELLI.COM, or e-mail us at: closedend@gabelli.com

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

(GRAPHIC)

THE GABELLI UTILITY TRUST
ONE CORPORATE CENTER
RYE, NY 10580-1422
(914) 921-5070
WWW.GABELLI.COM

THIRD QUARTER
SEPTEMBER 30, 2008

GUT Q3/2008

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 November 24, 2008
----------------------------------------------------------------------------

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 November 24, 2008
----------------------------------------------------------------------------

By (Signature and Title)* /s/ Agnes Mullady
-------------------------------------------------------
Agnes Mullady,
Principal Financial Officer and Treasurer

Date November 24, 2008
----------------------------------------------------------------------------

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