UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

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, 2010

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,

     The Gabelli Utility Trust’s (the “Fund”) net asset value (“NAV”) total return was 1.9% during the first quarter of 2010, compared with an increase of 5.4% for the Standard & Poor’s (“S&P”) 500 Index and declines of 3.5% and 1.9% for the S&P 500 Utilities Index and the Lipper Utility Fund Average, respectively. The total return for the Fund’s publicly traded shares was (12.3)% during the first quarter.

     Enclosed is the investment portfolio as of March 31, 2010.

Comparative Results

(a)		Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Performance returns for periods of less than one year are not annualized. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The 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.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS
March 31, 2010 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS — 98.3%
				ENERGY AND UTILITIES — 84.8%
				Energy and Utilities: Alternative Energy — 0.2%
	15,000			Ormat Industries Ltd.		$	114,456
	11,500			Ormat Technologies Inc.			323,610
	8,100			Renegy Holdings Inc.†			4,860
							442,926
				Energy and Utilities: Electric Integrated — 48.2%
	235,000			Allegheny Energy Inc.			5,405,000
	23,000			ALLETE Inc.			770,040
	75,000			Alliant Energy Corp.			2,494,500
	20,000			Ameren Corp.			521,600
	78,000			American Electric Power Co. Inc.			2,666,040
	10,000			Avista Corp.			207,100
	50,000			Black Hills Corp.			1,517,500
	26,000			Central Vermont Public Service Corp.			524,420
	27,000			Cleco Corp.			716,850
	125,000			CMS Energy Corp.			1,932,500
	160,000			Constellation Energy Group Inc.			5,617,600
	32,000			Dominion Resources Inc.			1,315,520
	150,000			DPL Inc.			4,078,500
	24,000			DTE Energy Co.			1,070,400
	160,000			Duke Energy Corp.			2,611,200
	88,000			Edison International			3,006,960
	185,000			El Paso Electric Co.†			3,811,000
	1,000			Emera Inc.			24,152
	3,000			Entergy Corp.			244,050
	50,000			FirstEnergy Corp.			1,954,500
	95,000			FPL Group Inc.			4,591,350
	225,000			Great Plains Energy Inc.			4,178,250
	55,000			Hawaiian Electric Industries Inc.			1,234,750
	92,000			Integrys Energy Group Inc.			4,358,960
	61,000			Maine & Maritimes Corp.			2,677,900
	64,000			MGE Energy Inc.			2,263,040
	48,000			NiSource Inc.			758,400
	110,000			NorthWestern Corp.			2,949,100
	35,000			NV Energy Inc.			431,550
	100,000			OGE Energy Corp.			3,894,000
	24,000			Otter Tail Corp.			527,040
	48,000			PG&E Corp.			2,036,160
	100,000			PNM Resources Inc.			1,253,000
	95,000			Progress Energy Inc.			3,739,200
	40,000			Progress Energy Inc., CVO†			6,000
	38,000			Public Service Enterprise Group Inc.			1,121,760
	60,500			SCANA Corp.			2,274,195
	104,000			TECO Energy Inc.			1,652,560
	25,000			The Empire District Electric Co.			450,500
	150,000			UniSource Energy Corp.			4,716,000
	18,000			Unitil Corp.			418,500
	47,000			Vectren Corp.			1,161,840
	260,000			Westar Energy Inc.			5,798,000
	90,000			Wisconsin Energy Corp.			4,446,900
	190,000			Xcel Energy Inc.			4,028,000
							101,456,387
				Energy and Utilities: Electric Transmission and Distribution — 8.1%
	243			Brookfield Infrastructure Partners LP			4,274
	50,000			CH Energy Group Inc.			2,042,000
	60,000			Consolidated Edison Inc.			2,672,400
	135,000			Northeast Utilities			3,731,400
	200,000			NSTAR			7,084,000
	22,500			Pepco Holdings Inc.			385,875
	36,666			UIL Holdings Corp.			1,008,315
							16,928,264
				Energy and Utilities: Global Utilities — 4.0%
	1,500			Areva SA			778,283
	8,000			Chubu Electric Power Co. Inc.			199,979
	40,000			Electric Power Development Co. Ltd.			1,317,788
	45,000			Endesa SA			1,286,096
	300,000			Enel SpA			1,677,517
	300,000			Hera SpA			705,449
	8,000			Hokkaido Electric Power Co. Inc.			153,514
	8,000			Hokuriku Electric Power Co.			175,933
	3,500			Huaneng Power International Inc., ADR			81,340
	35,000			Korea Electric Power Corp., ADR†			568,400
	8,000			Kyushu Electric Power Co. Inc.			174,136
	2,000			Niko Resources Ltd.			213,322
	8,000			Shikoku Electric Power Co. Inc.			226,677
	8,000			The Chugoku Electric Power Co. Inc.			158,990
	8,000			The Kansai Electric Power Co. Inc.			183,292
	8,000			The Tokyo Electric Power Co. Inc.			213,242
	15,000			Tohoku Electric Power Co. Inc.			317,039
							8,430,997
				Energy and Utilities: Merchant Energy — 1.7%
	35,810			Dynegy Inc., Cl. A†			45,120
	8,130			Mirant Corp.†			88,292
	300,000			Mirant Corp., Escrow† (a)			0
	320,000			The AES Corp.†			3,520,000
							3,653,412
				Energy and Utilities: Natural Gas Integrated — 7.7%
	190,000			El Paso Corp.			2,059,600
	1,000			Energen Corp.			46,530
	130,000			National Fuel Gas Co.			6,571,500
	100,000			ONEOK Inc.			4,565,000
	120,000			Southern Union Co.			3,044,400
							16,287,030

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2010 (Unaudited)

						Market
Shares/Units						Value
				COMMON STOCKS (Continued)
				ENERGY AND UTILITIES (Continued)
				Energy and Utilities: Natural Gas Utilities — 7.9%
	26,000			AGL Resources Inc.		$	1,004,900
	40,000			Atmos Energy Corp.			1,142,800
	28,000			Chesapeake Utilities Corp.			834,400
	12,500			Corning Natural Gas Corp.			269,375
	30,000			Delta Natural Gas Co. Inc.			890,400
	11,445			GDF Suez			442,107
	11,445			GDF Suez, Strips			15
	90,000			Nicor Inc.			3,772,800
	35,000			Piedmont Natural Gas Co. Inc.			965,300
	6,000			RGC Resources Inc.			190,740
	145,000			Southwest Gas Corp.			4,338,400
	120,000			Spectra Energy Corp.			2,703,600
							16,554,837
				Energy and Utilities: Natural Resources — 1.3%
	6,000			Anadarko Petroleum Corp.			436,980
	34,000			Compania de Minas Buenaventura SA, ADR			1,052,980
	12,000			Exxon Mobil Corp.			803,760
	3,000			Peabody Energy Corp.			137,100
	4,000			Royal Dutch Shell plc, Cl. A, ADR			231,440
							2,662,260
				Energy and Utilities: Services — 0.5%
	40,000			ABB Ltd., ADR			873,600
	3,000			Tenaris SA, ADR			128,820
							1,002,420
				Energy and Utilities: Water — 3.2%
	14,000			American States Water Co.			485,800
	28,000			American Water Works Co. Inc.			609,280
	21,833			Aqua America Inc.			383,606
	24,750			Artesian Resources Corp., Cl. A			437,085
	20,000			California Water Service Group			752,200
	7,500			Connecticut Water Service Inc.			174,525
	51,333			Middlesex Water Co.			875,227
	33,000			Pennichuck Corp.			775,830
	80,000			SJW Corp.			2,033,600
	8,101			Southwest Water Co.			84,574
	9,000			The York Water Co.			123,750
							6,735,477
				Diversified Industrial — 1.5%
	2,200			Alstom SA			137,192
	2,000			Bouygues SA			100,543
	6,000			Cooper Industries plc			287,640
	140,000			General Electric Co.			2,548,000
							3,073,375
				Equipment and Supplies — 0.1%
	50,000			Capstone Turbine Corp.†			63,500
	2,000			Mueller Industries Inc.			53,580
							117,080
				Environmental Services — 0.0%
	3,000			Suez Environnement Co. SA			69,046
				Independent Power Producers and Energy Traders — 0.4%
	40,000			NRG Energy Inc.†			836,000
				TOTAL ENERGY AND UTILITIES			178,249,511
				COMMUNICATIONS — 11.7%
				Cable and Satellite — 4.1%
	90,000			Cablevision Systems Corp., Cl. A			2,172,600
	5,000			Cogeco Cable Inc.			203,220
	20,000			Cogeco Inc.			662,630
	50,000			DIRECTV, Cl. A†			1,690,500
	57,000			DISH Network Corp., Cl. A			1,186,740
	10,000			EchoStar Corp., Cl. A†			202,800
	35,000			Liberty Global Inc., Cl. A†			1,020,600
	20,000			Liberty Global Inc., Cl. C†			577,800
	8,000			Rogers Communications Inc., Cl. B			273,040
	12,000			Time Warner Cable Inc			639,720
							8,629,650
				Communications Equipment — 0.7%
	2,000			QUALCOMM Inc.			83,980
	260,000			The Furukawa Electric Co. Ltd.			1,351,588
							1,435,568
				Telecommunications — 4.0%
	50,000			AT&T Inc.			1,292,000
	2,000			Belgacom SA			78,122
	4,350			Bell Aliant Regional Communications Income Fund (a)			108,830
	16,000			BT Group plc, ADR			299,360
	210,000			Cincinnati Bell Inc.†			716,100
	2,000			Comstar United Telesystems OJSC, GDR			14,020
	60,000			Deutsche Telekom AG, ADR			810,000
	2,000			France Telecom SA, ADR			48,060
	200			Hutchison Telecommunications Hong Kong Holdings Ltd.			35
	200			Hutchison Telecommunications International Ltd.†			55
	500			Mobistar SA			30,771
	19,000			Nippon Telegraph & Telephone Corp.			800,727
	11,800			Orascom Telecom Holding SAE, GDR			60,416

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2010 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				COMMUNICATIONS (Continued)
				Telecommunications (Continued)
	15,000			Portugal Telecom SGPS SA		$	167,711
	2,000			PT Indosat Tbk			1,209
	1,000			Rostelecom, ADR			29,750
	500			Sistema JSFC, GDR† (b)			13,600
	1,200			Tele2 AB, Cl. B			20,026
	27,000			Telekom Austria AG			377,441
	40,000			Touch America Holdings Inc.† (a)			0
	115,000			Verizon Communications Inc.			3,567,300
	6,000			Windstream Corp.			65,340
							8,500,873
				Wireless Communications — 2.9%
	600			America Movil SAB de CV, Cl. L, ADR			30,204
	2,000			China Mobile Ltd., ADR			96,240
	2,000			China Unicom Hong Kong Ltd., ADR			22,300
	13,500			Millicom International Cellular SA			1,203,525
	4,500			Mobile TeleSystems OJSC, ADR			249,750
	171			MobileOne Ltd.			254
	1,000			NTT DoCoMo Inc.			1,523,158
	600			SK Telecom Co. Ltd., ADR			10,356
	200			SmarTone Telecommunications Holdings Ltd.			207
	22,000			Turkcell Iletisim Hizmetleri A/S, ADR			331,320
	29,000			United States Cellular Corp.†			1,200,020
	75,000			Vimpel-Communications, ADR			1,380,750
							6,048,084
				TOTAL COMMUNICATIONS			24,614,175
				OTHER — 1.8%
				Aerospace — 0.3%
	75,000			Rolls-Royce Group plc†			677,752
				Agriculture — 0.0%
	3,000			Cadiz Inc.†			38,310
				Entertainment — 1.1%
	18,000			Time Warner Inc.			562,860
	64,000			Vivendi			1,712,850
							2,275,710
				Investment Companies — 0.0%
	3,000			Kinnevik Investment AB, Cl. B			55,259
				Publishing — 0.0%
	8,000			Idearc Inc.† (a)			26
				Real Estate — 0.1%
	6,075			Brookfield Asset Management Inc., Cl. A			154,427
				Transportation — 0.3%
	20,000			GATX Corp.			573,000
				TOTAL OTHER			3,774,484
				TOTAL COMMON STOCKS			206,638,170
				CONVERTIBLE PREFERRED STOCKS — 0.9%
				ENERGY AND UTILITIES — 0.9%
				Energy and Utilities: Natural Gas Integrated — 0.9%
	2,000			El Paso Corp., 4.990% Cv. Pfd. (c)			1,921,420
				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†			2,611
				COMMUNICATIONS — 0.1%
				Wireless Communications — 0.1%
	16,000			Bharti Airtel Ltd., expire 09/19/13† (c)			111,333
				TOTAL WARRANTS			113,944
Principal
Amount
				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 (c)			108,625
				U.S. GOVERNMENT OBLIGATIONS — 0.7%
				U.S. Treasury Bills — 0.1%
	123,000			U.S. Treasury Bill, 0.213%††, 09/09/10			122,887
				U.S. Treasury Cash Management Bills — 0.6%
	1,305,000			U.S. Treasury Cash Management Bill, 0.143%††, 06/17/10			1,304,623
				TOTAL U.S. GOVERNMENT OBLIGATIONS			1,427,510
TOTAL INVESTMENTS — 100.0% (Cost $193,321,747)						$	210,209,669

See accompanying notes to schedule of investments.

THE GABELLI UTILITY TRUST
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2010 (Unaudited)

		Market
		Value
Aggregate book cost		$	193,321,747
Gross unrealized appreciation		$	29,299,135
Gross unrealized depreciation			(12,411,213	)
Net unrealized appreciation/depreciation		$	16,887,922

03/31/10

Acquisition

Acquisition

Acquisition

Carrying Value

Shares

Issuer

Date

Cost

Per Unit

500

Sistema JSFC, GDR

10/10/07

$

17,384

$

27.2000

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 United States of America 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. 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.

     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:

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

     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 and other financial instruments by inputs used to value the Fund’s investments as of March 31, 2010 is as follows:

		Valuation Inputs
		Level 1				Level 2				Level 3				Total
		Quoted				Other Significant				Significant				Market Value
		Prices				Observable Inputs				Unobservable Inputs				at 3/31/10
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
ENERGY AND UTILITIES
Energy and Utilities: Merchant Energy		$	3,653,412			$	—			$	0			$	3,653,412
COMMUNICATIONS
Telecommunications			8,392,043				108,830				0				8,500,873
OTHER
Publishing			—				—				26				26
Other Industries (a)			194,483,859				—				—				194,483,859
Total Common Stocks			206,529,314				108,830				26				206,638,170
Convertible Preferred Stocks (a)			1,921,420				—				—				1,921,420
Warrants:
ENERGY AND UTILITIES
Energy and Utilities: Merchant Energy			2,611				—				—				2,611
COMMUNICATIONS
Wireless Communications			—				111,333				—				111,333
Total Warrants			2,611				111,333				—				113,944
Corporate Bonds			—				108,625				—				108,625
U.S. Government Obligations			—				1,427,510				—				1,427,510
TOTAL INVESTMENTS IN SECURITIES		$	208,453,345			$	1,756,298			$	26			$	210,209,669
OTHER FINANCIAL INSTRUMENTS:
ASSETS (Unrealized Appreciation): *
EQUITY CONTRACT:
Contract for Difference Swap Agreement		$	—			$	12,197			$	—			$	12,197
LIABILITIES (Unrealized Depreciation): *
INTEREST RATE CONTRACT:
Interest Rate Swap Agreement			—				(236,664	)			—				(236,664	)
TOTAL OTHER FINANCIAL INSTRUMENTS		$	—			$	(224,467	)		$	—			$	(224,467	)

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:

																																		Net change
																																		in unrealized
																																		appreciation/
																																		depreciation
														Change in																				during the
		Balance				Accrued				Realized				unrealized				Net				Transfers				Transfers				Balance				period on Level 3
		as of				discounts/				gain/				appreciation/				purchases/				into				out of				as of				investments held
		12/31/09				(premiums)				(loss)				depreciation				(sales)				Level 3†				Level 3†				3/31/10				at 3/31/10
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
ENERGY AND UTILITIES
Energy and Utilities: Merchant Energy		$	0			$	—			$	—			$	—			$	—			$	—			$	—			$	0			$	—
COMMUNICATIONS
Telecommunications			0				—				—				—				—				—				—				0				—
OTHER
Publishing			0				—				—				—				—				26				—				26				—
Total Common Stocks			0				—				—				—				—				26				—				26				—
TOTAL INVESTMENTS IN SECURITIES		$	0			$	—			$	—			$	—			$	—			$	26			$	—			$	26			$	—

2. Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purpose of increasing the income of the Fund, 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.

     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 intended to approximate the Fund’s variable rate payment obligation on the Series B Auction Market Cumulative Preferred Shares (“Series B Shares”). In an interest rate cap, the Fund would pay a premium to the counterparty and, to the extent that a specified variable rate

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

index exceeds a predetermined fixed rate, would receive from the counterparty payments of the difference based on the notional amount of such cap. 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. In a swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

     The Fund has entered into 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 March 31, 2010 are as follows:

Notional						Floating Rate*				Termination				Net Unrealized
Amount		Fixed Rate				(rate reset monthly)				Date				Depreciation
$25,000,000			4.00000	%			0.22875	%			6/02/10			$	(236,664	)

     Current notional amounts are an indicator of the average volume of the Fund’s derivative activities during the period.

     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, 2010 are as follows:

Notional		Equity Security		Interest Rate/		Termination		Net Unrealized
Amount		Received		Equity Security Paid		Date		Appreciation
$213,625 (25,000 Shares)		Market Value Appreciation on: Rolls-Royce Group plc		One month LIBOR plus 90 bps plus Market Value Depreciation on: Rolls-Royce Group plc		6/25/10		$	12,197

     The Fund’s volume of activity in equity contract for difference swap agreements during the quarter ended March 31, 2010 had an average monthly notional amount of approximately $204,343.

     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 investments and 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 quarter ended March 31, 2010, the Fund had no investments in futures contracts.

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

     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 investments and 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 quarter ended March 31, 2010, the Fund had no investments in forward foreign exchange contracts.

     The following table summarizes the net unrealized appreciation/depreciation of derivatives held at March 31, 2010 by primary risk exposure:

		Net Unrealized
		Appreciation/
		(Depreciation)
Asset Derivatives:
Equity Contract		$	12,197
Liability Derivatives:
Interest Rate Contract		$	(236,664	)

3. Tax Information. At December 31, 2009, the Fund had net capital loss carryforwards for federal income tax purposes of $890,826 which are available to reduce future required distributions of net capital gains to shareholders through 2017.

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 & Acting Treasurer

Peter D. Goldstein

Chief Compliance Officer & Acting Secretary

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:			31,053,578				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.

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		6/1/10

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 & Principal       Financial Officer

Date		6/1/10