GDL Fund : Semi-Annual Report

The GDL Fund

Semiannual Report - June 30, 2022

(Y)our Portfolio Management Team

Mario J. Gabelli, CFA	Willis M. Brucker	Regina M. Pitaro
Chief Investment Officer	Portfolio Manager	Managing Director
	BS, Boston College	BA, Fordham University
		MA, Loyola University, Chicago
		MBA, Columbia Business School

To Our Shareholders,

For the six months ended June 30, 2022, the net asset value (NAV) total return of The GDL Fund was (2.7)%, compared with a total return of 0.1% for the ICE BofA 3 Month U.S. Treasury Bill Index. The total return for the Fund's publicly traded shares was (5.4)%. The Fund's NAV per share was $10.01, while the price of the publicly traded shares closed at $8.21 on the New York Stock Exchange (NYSE). See page 3 for additional performance information.

Enclosed are the financial statements, including the schedule of investments, as of June 30, 2022.

Investment Objective (Unaudited)

The Fund's primary investment objective is to achieve absolute returns in various market conditions without excessive risk of capital. The Fund will seek to achieve its objective by investing primarily in merger arbitrage transactions and, to a lesser extent, in corporate reorganizations involving stubs, spin-offs, and liquidations.

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund's website (www.gabelli.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. To elect to receive all future reports on paper free of charge, please contact your financial intermediary, or, if you invest directly with the Fund, you may call 800-422-3554 or send an email request to [e-mail].

Performance Discussion (Unaudited)

Uncertainty surrounding the current state of the global macroeconomic environment, taxed supply chains, and an ongoing war in Eastern Europe plagued the pace of deal making in the first half of 2022. Global M&A activity totaled $2.2 trillion in the first six months of the year, a 21% decrease versus a year ago levels. More than 6,600 deals were announced in the United States, totaling just shy of $1 trillion. Deal making in the technology sector slowed 19% year-over-year but remained the most active, followed by industrials and financials. COVID-19 cases are now significantly below the peak, but hot spots have emerged around the world, particularly in China, adding additional hesitancy to the deal making landscape and leading cross-border activity to decline by 17% compared to last year.

Mega deals, or deals greater than $10 billion, increased 11% year-over-year, with several well-known targets entering into merger agreements. Microsoft began the year by announcing its $69 billion acquisition of game developer Activision Blizzard. In May, the software company VMware Inc agreed to be acquired by Broadcom Inc in a cash and stock transaction valued at $61 billion. And, of course, Elon Musk's well publicized effort to take Twitter for $44 billion, in which the ultimate outcome remains uncertain.

Throughout portions of the first half, we saw a significant widening of deal spreads. Some of which were tied to specific deal risks, including worries that buyers would walk away from transactions, leaving target companies vulnerable to market conditions. This led to relatively broad based selling across announced deals, with more pain felt in technology, given the sectors step selloff this year following lofty valuations. Spreads have since rebounded following the successful completion of several deals, as well as updates provided by buyers to reassure the market that they remain committed to closing their transactions.

While the pace of acquisition announcements by strategic acquirers slowed, private equity backed deals remained plentiful. A total of $553 billion worth of deals were announced in the half, accounting for a quarter of all M&A activity. While some private equity sponsors have hit roadblocks attempting to secure financing, strategic buyers' balance sheets remain strong with regard to cash levels, and financial buyers are coming off very robust years of capital raising.

As companies gain more certainty into a number of global concerns and enhance their due diligence efforts, we expect deal making to remain strong. Valuations have begun to reset, the importance of competing on a global basis, as well as a surplus of cash to deploy all remain drivers for corporate transactions to take place.

GDL closed deals during the first six months of 2022 were:

Arena Pharmaceuticals Inc., based in San Diego, California, is a clinical stage biotechnology company developing drugs for immuno-inflammatory diseases. On December 13, 2021, ARNA entered into an agreement to be acquired by Pfizer Inc. for $100 cash per share or a total equity value of $6.7 billion. The deal closed without issue on March 11, 2022, after initial concerns that U.S. antitrust regulators would take a closer look at the deal.

CyrusOne Inc. is a Dallas, Texas based owner and operator of data center properties worldwide. CONE entered into an agreement to be acquired by KKR and Global Infrastructure Partners on November 15, 2021 for $90.50 cash per share, or $10.5 billion. The deal received U.S. antitrust regulatory approval at the end of December as well as shareholder approval in February. The deal closed on March 25, 2022 following final foreign regulatory approvals.

Kraton Corp., based in Houston, Texas, is a producer of specialty polymers and high performance products for various industrial applications. On September 27, 2021, KRA entered into an agreement to be

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acquired by South Korean based DL Chemical for $46.50 cash per share or $2.5 billion. The deal required shareholder approval, HSR clearance, and international regulatory approvals. The deal closed on March 15, 2022.

On January 4, 2021, Magellan Health, a managed care service provider, entered into an agreement to be acquired by Centene Corp. for $95 cash per share or $2.2 billion. The deal required a shareholder vote and U.S. regulatory approval and closed one year later, on January 4, 2022, following California state insurance approvals.

Selected holdings that contributed positively to performance during the period ended June 30, 2022

were:

Bel Fuse Inc. (0.63% of total investments as of June 30, 2022) which manufactures, markets, and sells products that are used in networking, telecommunication, high-speed data transmission, commercial aerospace, military, broadcasting, transportation, e-Mobility and broadcasting, and consumer electronic industries in the United States, Macao, the United Kingdom, Slovakia, Germany, Switzerland, and internationally; MoneyGram International, Inc.(0.24%), together with its subsidiaries, provides cross-borderpeer-to-peer payments and money transfer services in the United States and internationally; and Yashili International Holdings, Ltd (0.02%), is an investment holding company, that manufactures and sells dairy and nourishment products in the People's Republic of China and internationally.

Some of our weaker performing securities for the period were: Lennar Corp. (1.07%), together with its subsidiaries, operates as a homebuilder primarily under the Lennar brand in the United States; Siltronic AG (0.14%), together with its subsidiaries, manufactures and sells hyperpure semiconductor silicon wafers with diameters of up to 300 mm worldwide; and Clear Channel Outdoor Holdings, Inc. (0.07%), owns, operates, and sells advertising displays in the United States and internationally.

Thank you for your investment in The GDL Fund.

We appreciate your confidence and trust.

The views expressed reflect the opinions of the Fund's portfolio managers and Gabelli Funds, LLC, the Adviser, as of the date of this report and are subject to change without notice based on changes in market, economic, or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

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Comparative Results

Average Annual Returns through June 30, 2022 (a) (Unaudited)

Since

Six

Inception

Months

1 Year

3 year

5 year

10 year

15 year

(1/31/07)

GDL Fund (GDL)

NAV Total Return (b). . . . . . . . . . . . . . . . . . . .

(2.66)%

(2.37)%

0.87%

0.95%

2.49%

2.21%

2.34%

Investment Total Return (c).. . . . . . . . . . . . . .

(5.45)

(4.42)

1.30‌

0.48‌

2.75‌

2.15‌

1.71‌

ICE BofA 3 Month U.S. Treasury Bill Index . . . . . .

0.14‌

0.17‌

0.63‌

1.11‌

0.64‌

0.75‌

0.87‌

1. Performance returns for periods of less than one year are not annualized. Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. The Fund's use of leverage may magnify the volatility of net asset value changes versus funds that do not employ leverage. 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. The ICE BofA 3 Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month, that issue is sold and rolled into the outstanding Treasury Bill that matures closest to, but not beyond three months from the re-balancing date. To qualify for selection, an issue must have settled on or before the re-balancing (month end) date. Dividends are not reinvested for the ICE BofA 3 Month U.S. Treasury Bill Index. You cannot invest directly in an index.
2. Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex- dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.
3. Total returns and average annual returns reflect changes in closing market values on the NYSE and reinvestment of distributions.
   Since inception return is based on an initial offering price of $20.00.

Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing.

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Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of total investments before securities sold short as of June 30, 2022:

The GDL Fund

Long Positions

U.S. Government Obligations...............	54.2%
Electronics....................................	5.6%
Health Care...................................	5.0%
Computer Software and Services..........	4.1%
Energy and Utilities..........................	3.9%
Financial Services............................	3.2%
Automotive: Parts and Accessories........	3.0%
Consumer Products..........................	3.0%
Specialty Chemicals.........................	2.6%
Aerospace.....................................	2.2%
Machinery.....................................	1.9%
Building and Construction...................	1.6%
Cable and Satellite...........................	1.4%
Telecommunications.........................	1.2%
Semiconductors..............................	1.2%
Closed-End Funds...........................	1.0%
Broadcasting..................................	0.9%
Real Estate....................................	0.7%

Entertainment.................................	0.7%
Business Services............................	0.7%
Diversified Industrial.........................	0.6%
Metals and Mining............................	0.5%
Retail..........................................	0.3%
Food and Beverage..........................	0.2%
Transportation................................	0.1%
Wireless Communications...................	0.1%
Automotive....................................	0.1%
Hotels and Gaming...........................	0.0%*
	100.0%
Short Positions
Building and Construction...................	(0.9)%
Semiconductors..............................	(0.0)%**
	(0.9)%

• Amount represents less than 0.05%.
• Amount represents greater than (0.05)%.

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the SEC) for the first and third quarters of each fiscal year on Form N-PORT. Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI(800-422-3554). The Fund's Form N-PORT is available on the SEC's website at www.sec.gov and may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling

800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later

than August 31 of each year. A description of the Fund's proxy voting policies, procedures, and how each Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI

(800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting

the SEC's website at www.sec.gov.

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