Audited Financial Statements - Fundsquare

GAMCO INTERNATIONAL SICAV

Societe d'investissement a Capital Variable R.C.S. Luxembourg B 155.657

Audited Financial Statements

For the period from 23 September 2010 (date of incorporation) to 31 December 2011

~I •. ~.;: ,

I I I GAMCO INTERNATIONAL SICAV

Table of Contents

Board of Directors, Management and Administration

Report of the Board of Directors

Schedule of Investments

Statement of Net Assets

Statement of Operations and Changes in Net Assets

Statement of Changes in Shareholders' Equity

Statistical Information

Notes to the Financial Statements

Report of the Reviseur d'entreprises agree

2

3

5

11

12

13

14

15

21

This report does not constitute an offer of shares. Subscriptions cannot be received on the basis of financial reports. Subscriptions are valid if made on the basis of the current prospectus, supplemented by the latest annual and the most recent semi-annual report if published thereafter.

Jt

GAM CO INTERNATIONAL SICAV Board of Directors, Management and Administration

Registered Office:

Board of Directors of the Fund:

Advisory Board of the Fund:

Management Company:

Custodian and Paying Agent:

Administrator, Registrar, Domiciliary and Corporate Agent:

Investment Manager and Promoter:

Cabinet de revision agree of the Fund:

Luxembourg Legal Adviser:

6C, route de Treves L-2633 Senningerberg Grand Duchy of Luxembourg

Chairman: Anthonie C. van Ekris Chairman BALMAC International Inc. United States of America

Oliver Stahel Chairman Viafina AG Ltd. Switzerland

John Birch COO Sentinel Asset Management United States of America

Mario d'Urso Karl Otto P6hl

MOO Management Company S.A. 19, rue de Bitbourg L-1273 Luxembourg Grand-Duchy of Luxembourg

J.P. Morgan Bank Luxembourg S.A. European Bank & Business Center 6C, route de Treves L-2633 Senningerberg Grand-Duchy of Luxembourg

J.P. Morgan Bank Luxembourg S.A. European Bank & Business Center 6C, route de Treves L-2633 Senningerberg Grand-Duchy of Luxembourg

GabelliFunds,LLC One Corporate Center Rye, NY 10580 United States of America

Deloitte Audit, Societe a responsabilite limitee 560, rue de Neudorf L-2220 Luxembourg Grand-Duchy of Luxembourg

Arendt & Medernach 14, Rue Erasme L-2082 Luxembourg Grand-Duchy of Luxembourg

2

GAMCO Strategic Value Fund

GAMCO INTERNATIONAL SICAV Board of Directors' Report

Concerns about economic growth, debt burdens, and political stalemates in Europe and the U.S. created volatility in the markets during 2011.

Beginning with a continued economic rebound following the financial crisis of 2008-2009, the market quickly recognized the implications of the political uprisings across the Middle East, and the earthquake and nuclear disaster in Fukushima, Japan, which resulted in both a human tragedy and a disruption to the supply chains of many industries. Over the summer, political brinksmanship over the debt ceiling in the U.S. led to the country losing its MA rating. Through autumn to the end of the year, concerns about the fiscal crisis in Europe led to doubts regarding the ability of certain EU members to repay their debts, and also of whether the euro itself will survive. Despite all the external shocks, the market and the Fund ended the year with little changed.

With this as a backdrop, we continue to do what we have done since the Fund's inception: invest in companies based on our Private Market Value with a CatalystR approach. We will invest in companies trading at a discount to their Private Market Value, with attractive products, in growing and fragmented industries, with good cash flow, and strong management teams. We will also continue to look for catalysts that could be in the form of a management change, restructuring, regulatory changes, split-ups, or other dynamics.

Selected holdings that contributed positively to performance in 2011 were HealthSpring, Inc. (2.17% of net assets as of December 31, 2011), RightNow Technologies (1.7%), and SonoSite, Inc. (2.14). Some of our weaker performing stocks during the year were Nil Holdings, Inc. (0.38%), Lawson Products, Inc. (0.55%), and Gaylord Entertainment Company (1.15%).

GAMCO Merger Arbitrage Fund Deal activity fell 5.5% in 2011, compared with 2010. In the second half of the year, merger and acquisition ("M&A") activity

totaled $1.1 trillion, a 23.9% decline from the first half. Fears over the European debt situation continued to weigh on the global financial markets, and deal activity in the fourth quarter of 2011 fell from the previous quarter. Total global M&A activity, according to Thomson Reuters M&A Review, totaled $543.8 billion in the fourth quarter compared with $569.2 billion in the third quarter of the year. Ongoing concerns about the future of the euro zone, the outlook for the global economy, and the growing domestic fiscal deficit contributed to the stagnant M&A market.

For the year, worldwide M&A activity grew by 7% to $2.6 trillion. Cross border M&A activity totaled $908.4 billion during 2011, accounting for 35.3% of overall M&A volume, unchanged compared with 2010. Cross border M&A was driven by the resources and financial sectors, which comprised nearly half of announced cross border deal volume during 2011.

In the U.S. M&A market, energy was the leading sector for deals, with volume totaling $248.7 billion for the year, accounting for 24.8% of all U.S. M&A activity during 2011 and a 23.1% increase from 2010. The healthcare sector followed, with $162.5 billion in deals announced.

Deals That Closed Within the Merger Arbitrage Fund During 2011 Cephalon Inc. is a biopharmaceutical company which develops products for the central nervous system, inflammatory diseases, pain, and oncology therapeutic uses. On May 2, 2011, the company announced that it had entered into an agreement with Teva Pharmaceuticals to be acquired for $81.50 per share in cash, valuing the entire transaction at roughly $6.8 billion. The deal closed on October 14, 2011.

Daylight Energy Ltd., based in Calgary, Alberta, is involved in oil and gas exploration in Alberta and British Columbia, with a land base yielding crude oil and natural gas. In the quarter prior to the deal being announced, Daylight had only produced about 35,000 barrels of oil, but it has accumulated significant land positions in emerging shale gas areas in Alberta. On October 9, 2011, the company announced that it had entered into an agreement to be acquired by SINOPEC of China. SINOPEC agreed to pay shareholders of Daylight C$1 0.08 per share held or C$2.2 billion in total. This represented more than a 100% premium to the prior day's closing price of C$4.59. The deal was subject to customary court and regulatory approvals as well as at least 66 2/3% approval by Daylight shareholders. The deal closed on December 30,2011.

Kinetic Concepts Inc. is a medical device company focused on the deSign, manufacture, marketing, and service of therapies and products for wound care, tissue regeneration, and therapeutic support system markets. On July 13, 2011, the company announced that it had entered into an agreement with a consortium of private equity funds led by APAX Partners to be acquired for $68.50 per share in cash. The transaction, valued at approximately $6.3 billion. The deal closed on November 4,2011.

3

GAMCO INTERNATIONAL SICAV Board of Directors' Report

Foster's Group Ltd. is an Australian based alcoholic and non-alcoholic beverage company whose products include beef, wine, and cider. The beer portfolio includes the Fosters brand as well as VB, Carlton Draught, Crown Lager, and Pure Blonde. It also licenses brands, including Corona and Asahi. On June 21, 2011, global beverage conglomerate SAB Miller offered to buy Foster's for A$4.90 per share in cash or A$9.5 billion. The company quickly rejected the offer and the deal went hostile in August, when SAB Miller went directly to Foster's shareholders. On September 21> 2011, SAB Miller increased its offer for Fosters to A$5.10 per share in cash plus a return of capital of A$0.30, which was amended to A$5.40 cash per share after a ruling by the Australian government. The deal closed on December 21 , 2011.

Varian Semiconductor Equipment Associates, Inc. is a supplier of ion implantation equipment used by chip makers around the world. On May 4, 2011 the company announced that it had entered into an agreement to be acquired by Applied Materials, Inc. Under the terms of the agreement, Varian shareholders received $63.00 per share in cash. The transaction, valued at approximately $4.9 billion was subject to regulatory as well as shareholder approval. The deal closed on November 10,2011.

We appreCiate your confidence and trust.

4

GAM CO INTERNATIONAL SICAV Schedule of Investments

As at 31 December 2011

GAMCO International Sicav - GAMCO Strategic Value

Holdings Security Description Currency

Transferable securities admitted to an official exchange listing

Common Stocks

Bermuda 30,000 Global Sources USD

Canada 5000 Talisman Energy USD

France 27,000 Sanofi USD

Ireland

200 Cooper Industries USD 1,000 Seagate Technology USD

Mexico

3,000 Grupo Televisa AOR USD

Netherlands

1,000 InterXion Holding USD

Norway 200,000 Kverneland NOK

Switzerland 23,900 GAM Holding CHF

United Kingdom

3,500 BPADR USD 2,000 Hamworthy GBP

United States of America 10,002 99 Cents Only Stores USD

1,200 Above Net USD 5,000 Advanced Analogic Technologies USD 3,000 American Express USD 2,000 Am pco·Pitts burgh USD 3,300 Avon Products USD

12,500 Bank of New York Mellon USD 2.400 Beam USD 2,200 Becton Dickinson and Co USD

11,000 Bio·Reference labs USD 4,500 Boeing USD

15,000 Brink's USD 1,500 Bristol·Myers Squibb USD

300 Casey's General Stores USD 6,000 CenturyUnk USD 1,700 CH Energy Group USD

800 Churchill Downs USD 45,000 Cincinnati Bell USD 24,000 CIRCOR International USD

3,500 Cohen & Steers USD 14,000 Crane USD

3,000 CVS Caremark USD 5,000 Delphi Financial Group ·A· USD

60,000 DemandTec USD

Market Value

USD

145,500 145,500

63,750 63,750

32,400 32,400

10,830 16,400 27,230

63,180 63,180

13,450 13,450

356,907 356,907

260,699 260,699

149,590

25,643 175,233

219,544

78,012 28,900

141,510 38,680

57,651 248,875

122,952 164,384 178,970 330,075 403,200

52,860 15.453

223,200 99,246

41,704 136,350 847.440 101,150 653,940

122,340 221,500

790,200

The accompanying notes are an integra! part of these Financial Statements.

5

%of Total Net

Assets

0.29 0.29

0.13 0.13

0.06 0.06

0.02 0.03 0.05

0.12 0.12

0.03 0.03

0.71 0.71

0.52 0,52

0.30 0.05 0,35

0.44

0.15 0.06 0.28 0.08

0.11 0.49 0.24

0.33 0.36

066 0.80

0.11 0.03 0.44

0.20 0.08 0.27 1.68 0.20 1.30

0.24 0.44

1.57

~ Q1

GAMCO INTERNATIONAL SICAV Schedule of Investments (continued)


GAMeO international Sicav· GAMeO Strategic Value (continued)

Holdings Security Description

United States of America (continued) 2,500 Diebold USD 8,000 DISH Network·A· USD 1,500 EI Paso Electric USD 2,000 Energizer Holdings USD 1 ADO Epoch Holding USD

12,000 Exetis USD 3,000 Federal.Mogul USD 7,808 Fisher Com m unications USD 3,000 Flushing Financial USD

24,000 Ford Motor USD 2,400 Fortune Brands Hom e & Security USD 1,500 GATX USD

24,000 Gaylord Entertainm ent USD 12,000 GenCorp USD 22,000 Goodrich USD 10,000 Gorman-Rupp USD 12,000 Griffon USD

1,400 Hain Celestial Group USD 12,000 Harleysville Group USD 20,000 Healthspring USD

1,800 Hospira USD 190,000 Internap Network Services USD

5,000 ITT USD 1,000 Ixia USD

400 Kennametal USD 1,000 Kirby USD 1,088 Kratos Defense & Security Solutions USD

600 Las Vegas Sands USD 18,000 Lawson Products USD

1,500 Loral Space & Com munications USD 1,500 LS Starrett -A- USD

37,600 Lydall USD 3,800 Madison Square Garden - A- USD

50,000 Magma Design Automation USD 4,500 MAKO Surgical USD 4,000 Materion USD

10,000 McCormick & Schmick's Seafood Restaurants USD 10,000 McGrath Rentcorp USD 8,000 Media General -A- USD 5,000 Merck & Co USD

10,000 MercuryComputer Systems USD 10,000 MGM Resorts International USD

165,500 Midas USD 9,000 MOCON USD 7,000 Modine Manufacturing USD 2,300 Mueller Industries USD 4,600 Myers Industries USD 4,000 National Fuel Gas USD

42,000 Netlogic Microsystems USD 5,000 Newmont Mining USD 9,000 Nil Holdings USD 6,000 Northern Trust USD

15,500 Oil-Dri Corp of Am erica USD 7,000 Par Pharm aceutical Cos USD 2,800 Pharmasset USD

18,500 Pinnacle Entertainm ent USD 2,000 Ralcorp Holdings USD

20,000 RightNow Technologies USD 3,000 RSC Holdings USD

30,000 Sara Lee USD 6,000 Schiff Nutrition International USD

25,000 Snyders-Lance USD 4,200 Sonesta International Hotels - A- USD

20,000 SonoSite USD

Market Value

USO

75,175 227,840

51,960 154,960

31,122 108,600

44,250 225,105

37,890 258,240

40,872 65,490

579,360

63,840 2,721,400

271,500 109,560

51,324 678,840

1,090,800 54,666

1,128,600 96,650 10,510 14,608 65,840

6,495 25,638

277,740 97,320 19,275

356,824 108,832 359,000 113,445

97,120 87,400

289,900 32,560

188,500 132,900 104,300

1,421,645 143,460

66,220 88,366 56,764

222,320 2,081,940

300,050 191,700 237,960 313,720 229,110 358,960 187,960 171,000 854,600

55,500 567,600

64,200 562,500 128,940

1,077 ,200

The accompanying notes are an integral part of these Financial Statements.

6

% of Total Net

Assets

0.15 0,45

0.10 0.31 0.06 0.22 0.09 0.45 0.08 0.51 0.08 0.13 1.15

0.13 5,41 0,54 0.22 0,10 1.35 2.17 0.11 2.24 0.19 0.02 0.03 0.13 0.01 0.05 0.55 0.19 0.04 0.71 0.22 0.71 0.23 0.19 0.17 0.58 0.06 0.37 0.26 0.21 2.82 0.29 0.13 0.18 0.11 0,44

4.14 0.60 0.38 0,47 0.62 0,46 0.71 0.37 0.34 1.70 0.11 1.13 0,13 1.12 0.26 2.14



GAMCO International Sicav· GAMCO Strategic Value (continued)

Holdingsl Nominal Security Description

United States of America (continued) 10,000 Southern Union USD

5,000 State Street USD 3.000 Stratasys USD 7,500 Strattec Security USD

35,000 SuccessFaclors USD 19,000 Superior Industries International USD

3,000 Tekelec USD 2,000 Telephone & Data Systems USD

30,000 Temple-Inland USD 4,000 Texas Industries USD 3.500 Texas Instruments USD

20,000 Thorn as & Betts USD 31,000 Tredegar USD 31,000 Twin Disc USD

2,500 United States Cellular USD 1,000 Viacom -A· USD 1,000 Vulcan Materials USD

10,000 WCAWaste USD 12,000 Xylem USD

Total Common Stocks

Transferable Securities dealt on another regulated market

United States of America 100,000 US TreasuryBili 0.06% 16/0212012 USD 333,000 US TreasuryBili 0.03 0/0 23/02/2012 USD 233,000 US TreasuryBHI 0.11% 01/03/2012 USD

2,410,000 US Treasury Bill 0.10% 08/0312012 USD 5,590,000 US Treasury Bill 0.04% 15/03/2012 USD

750,000 US Treasury BiI! 0.05% 29/0312012 USD 2,215,000 US Treasury Bill 0.05% 05/0412012 USD

400,000 US Treasury Bill 0.09% 1210412012 USD 220,000 US Treasury Bill 0.04% 26/0412012 USD 390,000 US TreasuryBili 0.03% 1010512012 USD 300,000 US TreasuryBili 0.07% 24/0512012 USD 320,000 US TreasuryBili 0.06% 31/0512012 USD

3.080,000 US TreasuryBili 0.05% 07/06/2012 USD 439,000 US Treasury Bill 0.04% 14/06/2012 USD

Total Transferable Securities dealt on another regulated market

Market Value

USD

421,100 201,550

91,230 149,625

1,395,450 314,260

32,790 51,780

951,300 123,120 101,885

1,092,000 688,820

1,125,920 109,075

53,330 39,350 65,100

308,280

32,572,067

33,710,416

99,993 332,983 232,954

2,409,526 5,589,583

749,905 2,214,684

399,902 219,968 389,951

299,919 319,919

3,079,379

438,912 16,777,578

16,777,578


7

%of Total Net

Assets

0.84 0.40 0.18 0.30 2.77 0.62 0.07 0.10 1.89

0.24 0.20 2.17 1.37 2.24 0.22 0.11 0.08 0.13

0.61 64.72

66.98

0.20 0.66 0.46 4.79

11.11 1.49 4.40 0.79 0.44

0.77 0.60 0.63 6.12 0.87

33.33

33.33



GAMeO International 5icav ~ GAMeO Strategic Value (continued)

Holdingsl Nominal Security Description

Other Transferable Securities

United States of America

200,000 Gerber Scien USD 10,010 Steel Excel USD 11,500 TGC Industries USD

Total Other Transferable Securities

TOTAL INVESTMENTS

OTHER ASSETS AND LIABILITIES, NET

TOTAL NET ASSETS


8

Market %of Value Total Net

USD Assets

- -

240,240 0.48 82,110 0.16

322,350 0.64

322,350 0.64

50,810,344 100.95

(480,346) (0.95)

50,329,998 100.00

GAMCO INTERNATIONAL SICAV Schedule of Investments


GAMCQ International Sicav" GAMCO Merger Arbitrage

Holdlngsl Security Description Currency

Tra nsferable securities adm Itted to an offie jar excha nge listing

Common Stocks

Australia 32,500 Anvil Mining CAO 36,400 Extract Resources AUO

1,926,500 Flinders Mines AUO 175,900 Sundance Resources AUO

Canada 34,000 Futurem ed Healthcare Products CAD

100,300 Grande Cache Coal CAD 20,800 March Networks CAD

4,400 Quadra FNX Mining CAD 45,400 Sinopec Daylight Energy CAD

2,300 Jaguar Mining CAO

Cayman Islands 2,243,900 ERA Mining Machinery HKD

Norway 45,000 Eltek NOK

102,500 Kverneland NOK

Switzerland 128,100 Iberian Minerals CAD

United Kingdom

60,000 Kalahari Minerals GBP

United States of America 8,000 99 Cents Only Stores USD

162,571 Ad vanced Analogic Technologies USD 3,000 American Dental Partners USD

11,000 Baldwin Technology- A- USO 24,400 Blue Coat System s USD 21,500 Cogdell Spencer USD

7,900 Com m erdal Metals USO 5,300 Delphi Financial Group - A- USD

27,012 DemandTec USD 6,500 EIPaso USD

25,300 Goodrich USD 2,200 Harleysville Group USD

29,000 Healthspring USD 800 InterDigital USD

2,400 1ST A Pharm aceuticals USD 10,900 Magma Design Automation USD 48,100 McCorm ick & Schm ick's Seafood Restaurants USO 13,100 Morton's RestaurantGroup USD 55,500 Motorola Mobility Holdings USD 60,591 Nabi Biopharm aceuticals USD 56,300 N etlogic Microsystem s USD

4,100 N exstar Broadcasting Group - A- USD 4,800 Pennichuck USD

23,900 Pharmasset USO 2,700 PharMerica USO

29,900 RightNow Technologies USD 2,200 Sonesta International Hotels - A- USD 9,700 SonoSite USD

28,550 Southern Union USO 53,000 Success Factors USD

3,400 Synovis life Technologies USD

Ma rket Value

USO

234,275 316,451

553,013

71,231 1,174,970

268,795 976,158

98,051 65,163

448,984 14,682

1,871,833

245,579 245,579

24,506 182,914 207,420

137,126 137,126

225,189 225,189

175,600 939,661

56,490 9,912

620,980 91,375

109,257 234,790 355,748 172,705

3,129,610 124,454

1,581,660 34,856 16,920 78,262

420,394 90,128

2,153,400 113,911

2,790,791 32,144

138,384 3,063,980

40,986 1,277 ,627

67,540 522,442

1,202,241 2,113,110

94,622


9

%of Total Net

Assets

0.43 0.58 1,01

0.13 2.15

0.49

1.79 0.18

0.12 0.82 0.03

3.43

0.45 0.45

0.05 0.33 0.38

0.25 0.25

0.41 0.41

0.32 1.72 0.10 0.02 1.14 0.17 0.20 0.43 0.65 0.32 5.72 0.23 2.89 0.06 0.03 0.14 0.77 0.17 3.94 0.21 5.10 0.06 0.25 5.60 0.07 2.34 0.12 0.96 2.20 3.86 0.17

I GAMCO INTERNATIONAL SICAV

Schedule of Investments (continued) As at 31 December 2011

GAMCO International Sicav - GAMCO Merger Arbitrage (continued)

Holdlngsl Nominal Security Description

United States of America (continued)

9,500 Synthes C"' 21,400 Tekelec USO 81,309 Tern pie-Inland USO

1,000 Vulcan Materials USO 10,200 WCA Waste USO 46,600 Winn-Dixie Stores USO

TotalCommon Stocks

Rights

France 50,000 Sanefi Right 31/12/2020 USO

Tota I Rights

Total Transferable securities admitted to an official exchange listing

Tra nsfe ra ble Se c urities dea It on a nother regulated market

United States of America 306,000 US Treasury Bill 0.02% 1210412012 USO

2,050,000 US TreasuryBil1 0.08% 2610412012 USO 2,000,000 US TreasuryBili 0.02% 03/05/2012 USO 3,210,000 US Treasury Bill 0.03% 10/05/2012 USO 4,340,000 US TreasuryBiII0.05% 17/05/2012 USO 3,500,000 US Trea s u ry Bill 0.07% 24/05/2012 USO 6,000,000 US Treasury Bill 0.04% 07/06/2012 USO

945.000 US TreasuryBili 0.03% 14/06/2012 USD 3.000,000 US Treasury Bill 0.05% 28/06/2012 USO

Tota I Tra ns fera ble Securltle s de a It on a nother regulated mark et

Other Transferable Securities

United States of America 40,000 KGEN Power 144A USO

Total Other Transferable Securities

TOTAL INVESTMENTS

OTHER ASSETS AND LIABILITIES, NET

TOTAL NET ASSETS

Market % of

Value Total Net

USo Assets

1.600,096 2.93 233,902 0.43

2,578,308 4.72

39,350 0.07 66,402 0.12

437,108 0.80 26,809,146 49.03

30,671,263 56.10

60,000 0,11

60,000 0.11

60,000 0.11

30,131,263 56.21

305,980 0.56 2,049,433 3.75

1,999,853 3.66

3,209,605 5.87

4,339,128 7.93

3,499,032 6.40

5,998,813 10.97

944,854 1.73

2,999,321 5.48 25,346,019 46.35

25,346,019 46.35

308.000 0.56 308,000 0.56

308,000 0.56

56,385,282 103.12

(1,707,044) (3.12)

54,678,238 100.00

144A: Security may be offered and sold only to "qualified inslillltionalbuyers" under Rule 144A of the U.S. Securities Act of 1933

The accompanying notes are an integral part of these Financial Statements. 10

~

GAMCO INTERNATIONAL SICAV Statement of Net Assets


Go1.MCO Strategic Value

Note USO

Assets

Investments, at market value, excluding forward currency contracts 2, 50,810,344 Cost 51,118,238 Cash at banks 78,321 Unrealised appreciation on forward foreign exchange contracts Receivables for securities sold 95,712 Dividends and interest receivable 2, 19,283 Other assets 120,841

Total Assets 51,124,501

Liabilities

Bank ol.-€rdraft Unrealised depreciation on forward foreign exchange contracts Payables for securities purchased 538,650 Managementfees payable 3, 157,667 A::iministrative, registrar agent and domicilial)'and corporate agent fees payable 3d 51,654 Formation cost payable 20 Custody fees payable '0 5,617 Performance fees payable 3b 19,987 Taxe d'abonnement payable 4 1,205 Other e;.:penses payable 19,723

Total Liabilities 794,503

TOTAL NET ASSETS 50,329,998

• Gamco Merger Arbitrage was launched on 30 September 2011.


GAMCO Combined Merger Arbitrage- Total

USO USO

56,385,282 107,195,626 56,164,444 107,282,682

78,321 50,147 50,147

411,097 506,809 11,484 30,767

193 121,034

56,858,203 107,982,704

1,209,516 1,209,516 18,477 18,477

764,994 1,303,644 103,932 261,599

14,964 66,618 48 48

3,407 9,024 54,640 74,627

974 2,179 9,013 28,736

2,179,965 2,974,468

54,678,238 105,008,236

GAMCO INTERNATIONAL SICAV Statement of Operations and Changes in Net Assets


GAMeO Strategic Value

Note USO

TOTAL NET ASSETS at the beginning of period

Income Bank interest Bond interest 2a 113 Net dividends 2a 198,973 Total Income 199,086

Expenses Managemenlfees 3a 524,029 Mministrative, registrar agent and domiciliary and corporate agent Fees 3d 64,521 Formation cost 20 28,101 Cuslodyfees 30 33,842 Performance fees 3b 22,405 Directors' fees 58,845 Legal and professional fees 81.402 Bank changes 2a 972 Subscription tax 4 4,967 Other expenses 58,402 Total Expenses 877 ,486

Net Investment (loss) (678,400)

Net realised gain on securities sold 1,064,225 Net realised gain on forward foreign exchange contracts Net realised (loss) on foreign exchange on other net assets (941) Net realised gain for the period 1,063,284

Net change in unrealised gainf(loss) on investments (307,894) Net change in unrealised gain on forward foreign exchange contracts Net change in unrealised gainf(loss) on foreign exchange on other net assets (3,837) Net change in unreallsed galnf(loss) for the period (311,731 )

Increase in Net Assets as a Result of Operations 73,153

Movements in Share Capital Proceeds from shares issued 50,256,845 Payments for shares redeemed Distributions paid 5 Increase In Net Assets as a Result of Movements in Share Capital 50,256,845

TOTAL NET ASSETS 50,329,998

• Gamco Merger Plbitrage was launched on 30 September 2011.


GAMCD Merger Arbitrage·

USO

10 1,182

17,736 18,928

103,932 4,959

48 7,095

55,629 12,316 16,043

1,585 974

7,716

210,297

(191,369)

125,750 86,408

(56,826) 155,332

220,838 31,670

2,050 254,558

218,521

54,459,717

54,459,717

54,678,238

Combined Total

USO

10 1,295

216,709 218,014

627,961 69,480 28,149 40,937 78,034 71,161 97,445

2,557 5,941

66,118 1,087,783

(869,769)

1,189,975 86,408

(57,767) 1,218,616

(87,056) 31,670 (1,787)

(57,173)

291,674

104,716,562

104,716,562

105,008,236

GAMCO INTERNATIONAL SICAV Statement of Changes in Shareholders' Equity


Shares Outstanding at the Beginning of the Period

Number of Shares subscribed

Number of Shares Shares Outstanding at the

GAMCO International SICAV· GAMCO Strategic Value

Class A(USD) Share Class Class A(CHF) Share Class Class A(EUR) Share Class Class I (USD) Share Class Class I (CHF) Share Class Class! (EUR) Share Class

GAMCO International SICAV· GAMeO Merger Arbitrage

Class A(USD) Share Class Class A(CHF) Share Class Class A(EUR) Share Class Class I (USD) Share Class Class I (CHF) Share Class Class I (EUR) Share Class

100 100 100

5,000,000 10,000 10,000

100 100 100

5,294,574.28 10,000 10,000


13

redeemed End of the Period

100 100 100

5,000,000 10,000 10,000

100 100 100

5,294,574.28 10,000 10,000

, " /1 .ji

~

GAMCO INTERNATIONAL SICAV Statistical Information

GAMCO International SICAV· GAMCO Strategic Value


Class A (USD) Share Class Class A (CHF) Share Class Class A (EUR) Share Class Class I (USD) Share Class Class I (CHF) Share Class Class I (EUR) Share Class

Outstanding Shares

100 100 100

5,000,000 10,000 10,000

Net Asset Value per Share

10.5783 10.8876 10.9328 10.0146 10.8993 10.5318

GAMCO International SICAV· GAMCO Merger Arbitrage


Class A (USD) Share Class Class A (CHF) Share Class Class A (EUR) Share Class Class I (USD) Share Class Class I (CHF) Share Class Class I (EUR) Share Class

Outstanding Shares Net Asset Value per Share

100 10.2714 100 10.5703 100 10.6143

5,294,574.28 10.2791 10,000 10.5828 10,000 10.6263


Total Net Assets

1,058 1,164 1,419

50,073,082 116,557 136,718

Total Net Assets

1,027 1,130 1,378

54,423,584 113,173 137,946

GAMCO INTERNATIONAL SICAV Notes to the Financial Statements

31 December 2011

1. Organisation

GAMCO International SICAV (the "Fund") is a Luxembourg Societe d'investissement a Capital Variable composed of several separate Sub-Funds (each, a "Sub-Fund").

The Fund was incorporated on 23 September 201 0 for an unlimited period of time.

The minimum capital of the Fund, as provided by law, which must be achieved within six months after the date on which the Fund has been authorized as a UCITS under Luxembourg law, shall be Euro 1,250,000, or any equivalent. The initial capital of the Fund is Euro 31.000, divided into 31 Shares of no par value. The capital of the Fund is represented by fully paid up Shares of no par value. The share capita! is at aU times equal to the total net assets of each the Sub-Funds.

The Articles of Incorporation have been lodged with the registry of the District Court and a publication of such deposit made in the Memoria! C, Recuei! des Societes et Associations of 7 of October 2010.

The registered office of the Fund is located at 6C, route de Treves, Senningerberg, at L-2633 Luxembourg. The Fund is recorded in the Luxembourg Registre de Commerce under the number 8 155.657 and authorised under Part I of the Law in accordance with the provisions of the UCITS Directive.

As of 31 December 2011, the following Sub-Fund and Share Classes are available to the investors:

GAMCO International SICAV - GAMCO Strategic Value which was launched on 30 September 2010. GAMCO International SICAV - GAMCO Merger Arbitrage which was launched on 30 September 2011.

Class A and Class I (USD), (CHF), (EUR)

2. Significant Accounting Policies

Presentation of Financial Statements

The Financial Statements are prepared in accordance with generally accepted accounting principles in the Grand Duchy of Luxembourg.

Financial Statements

The Statement of Net Asset Value and Statement of Operations and Changes in Net Asset Value are expressed in USD.

The Net Asset Value of each Sub~Fund is determined in accordance with the following rules to be applied in determining such Value:

a) Valuation of Investments and Other Assets

The value of each SUb-Fund's assets shall be determined as follows:

(i) the value of any cash on hand or on deposit, bills and demand notes payable and accounts receivable, prepaid expenses, cash dividends and interest declared or accrued as aforesaid and not yet received shall be deemed to be the full amount thereof, unless in any case the same is unlikely to be paid or received in full, in which case the value thereof shall be arrived at after making such discount as the Board of Directors of the Fund may consider appropriate in such case to reflect the true value thereof.

(ii) Securities which are listed or dealt in on a stock exchange or dealt in on a Regulated Market, are based on the last available price; the value of Transferable Securities, Money Market Instruments and any financial assets listed or dealt in on a Regulated Market shall be based on the last available closing or settlement price in the relevant market prior to the time of valuation, or any other price deemed appropriate by the Board of Directors of the Fund.

15

GAMCO INTERNATIONAL SICAV Notes to the Financial Statements (continued)

31 December 2011

a) Valuation of Investments and Other Assets (continued)

(iii) the value of any assets held in a Sub-Fund's portfolio which are not listed or dealt in on a Regulated Market or on any Other Regulated Market or if, with respect to assets quoted or dealt in on any stock exchange or dealt in on any such regulated markets, the last available closing or settlement price is not representative of their value, such assets are stated at fair market value or otherwise at the fair value at which it is expected they may be resold, as determined in good faith by or under the direction of the Board of Directors of the Fund;

(iv) Money Market Instruments with a remaining maturity of 90 days or less are valued by the amortized cost method, which approximates market value. Under this valuation method, the relevant Sub-Fund '5 investments are valued at their acquisition cost as adjusted for amortization of premium or accretion of discount rather than at market value;

(v) units or shares of an open~ended UCI are valued at their last determined and available official net asset value as reported or provided by such UCI or their agents, or, if such price is not representative of the fair market value of such assets, then the price shall be determined by the Fund on a fair and equitable basis. Units or shares of a closed-ended UCI are valued in accordance with the valuation rules set out in items (ii) and (iii);

(vi) units or shares of an open-ended UCI may be valued by reference to estimated values for open~ended UCI which have not yet finalized their own net asset values by the relevant Valuation Day, provided that if no price as at the Valuation Day has been published or otherwise made available to an open-ended UCI by such time as determined by the Investment Manager from time to time, or if the Investment Manager is not satisfied that the valuation provided is representative of fair market value, the value of a holding in such an open-ended UCI is valued at its probable realization value as at the Valuation Oay estimated with care and good faith by Board of Directors of the Fund;

(vii) the liquidating value of forward or options contracts not traded on a market shall mean their net liquidating value determined, pursuant to the policies established prudently and in good faith by the Board of Directors of the Fund, on a basis consistently applied for each different variety of contracts. The liquidating value of futures, fOlWard or options contracts traded on a market are based upon the last available settlement or closing prices as applicable to these contracts on a stock exchange or on the market on which the particular futures, forward or options contracts are traded on behalf of the Fund; provided that if a future, forward or options contract could not be liquidated on the day with respect to which assets are being determined, the basis for determining the liquidating value of such contract is such value as the Board of Directors of the Fund may deem fair and reasonable;

(viii) interest rate swaps are valued on the basis of their market value established by reference to the applicable interest rate cUlVe. Total return swaps or TRORS are valued at fair value under procedures approved by the Board of Directors of the Fund. As these swaps are not eXChange-traded, but are private contracts into which the Fund and a swap counterparty enter as principals, the data inputs for valuation models are usually established by reference to active markets. However it is possible that such market data will not be available for total return swaps or TRORS near the Valuation Day. Where such markets inputs are not available, quoted market data for similar instruments, e.g. , a different underlying instrument for the same or a similar reference entity are used provided that appropriate adjustments be made to reflect any differences between the total return swaps or TRORS being valued and the similar financial instrument for which a price is available. Market input data and prices may be sourced from exchanges, a broker, an external pricing agency or a counterparty; if no such market input data are available, total return swaps or TRORS will be valued at their fair value pursuant to a valuation method adopted by the Board of Directors of the Fund which shall be a valuation method widely accepted as good market practice, i.e., used by active participants on setting prices in the market place or which has been demonstrated to provide reliable estimates of market prices) provided that adjustments that the Board of Directors of the Fund may deem fair and reasonable be made. The Fund's auditor will review the appropriateness of the valuation methodology used in valuing total return swaps or TRORS. In any way the Fund will always value total return swaps or TRORS on an arms-length basis. All other swaps, are valued at fair value as determined in good faith pursuant to procedures established by the Board of Directors of the Fund;

(ix) all other securities, instruments, and other assets are valued at fair market value, as determined in good faith pursuant to procedures established by the Board of Directors of the Fund;

(x) assets or liabilities denominated in a currency other than that in which the relevant Net Asset Value are expressed, are converted at the relevant foreign currency spot rate on the relevant Valuation Day. In that context account shall be taken of hedging instruments used to cover foreign exchange risks;

16


31 December 2011

b) Conversion of Foreign Currencies

The books and records of the Fund are denominated in USD. Amounts denominated in other currencies are translated into USD on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currencies are converted each business day into USD using currency exchange rates prevailing on each such business day, and Oi) purchases and sales of foreign investments, income, and expenses are converted into USD using currency exchange rates prevailing on the respective dates of such transactions.

Net realised gains and losses on foreign exchange represent: (I) foreign exchange gains and losses from the holding and sale of foreign currencies, OJ) gains and losses between trade date and settlement date on securities transactions, and (iii) gains and losses arising from the difference between amounts of dividends and interest recorded and the amounts actually received.

The resulting gains and losses on translation are included in "Net Realised Gain/(Loss) on Foreign Exchange" in the Statement of Operations and Changes in Net Assets.

c) Formation Costs

The costs and expenses incurred in connection with the formation of the Fund and the initial issue of Shares by the Fund, including those incurred in the preparation and publication of the sales documents of the Fund, the remuneration of the Advisory Board members, all legal, fiscal and printing costs, as well as certain launch expenses (including advertising costs) and other preliminary expenses shall be written off over a period not exceeding five years and in such amount in each year in each Sub-Fund of the Fund as determined by the Board of Directors of the Fund on an equitable basis. Such expenses are estimated to be approximately Euro 150.000.

Upon creation of a new Sub-Fund the costs and expenses incurred in connection with its formation shall be written off over a period not exceeding five years against the assets of all existing Sub-Funds and in such amounts in each year and in each Sub-Fund as determined by the Board of Directors of the Fund on an equitable basis. The newly created Sub-Fund shall bear a pro-rata share of the costs and expenses incurred in connection with the formation of the Fund, the creation of all existing Sub-Funds and the initial issue of Shares, which have not already been written off at the time of creation of the new SubFund.

d) Shares to Issue I Shares to Redeem

Shares to be issued by the Fund shall be treated as being in issue as from the time specified for each of the Sub-Funds on the Valuation Date with respect to which such valuation is made and from such time and until received by the Fund the price therefore shall be deemed to be an asset of the Fund;

Shares of the Fund to be redeemed (if any) shall be treated as existing and taken into account until the date fixed for redemption, and from such time and until paid by the Fund the price therefore shall be deemed to be a liability of the Fund.

3. Fees and Expenses

a) Management Fees

The Sub-Fund shall pay a Management Company fee to the Management Company, payable quarterly, at an annual rate of 0.04% per annum with a minimum of Euro 20,000 per annum which shall be calculated on the Sub-Fund's average Net Asset Value.

The Investment Manager receives a Management Fee based on the Net Asset Value of each class of Shares within each Sub-Fund calculated and accrued each Valuation Day and paid monthly in arrears at the annual percentages of rates which are more fully described in the porpectus. The Investment Manager is in charge of the payment of the fees of each SubInvestment Manager as the case may be.

Fund Class A (EUR) Class A (USD) Class A (GBP) Class A (CHF) Gamco Strategic Value 1.50% p.a 1.50% p.a 1.50% p.a 1.50% p.a Gamco Merger Arbitrage 1.50% p.a 1.50% p.a 1.50% p.a 1.50% p.a

Class I (EUR) Class I (USD) Class I (GBP) Class I (CHF) Gamco Strategic Value 1.00% p.a 1.00% p.a 1.00% p.a 1.00% p.a Gamco Merger Arbitrage 1.00% p.a 1.00% p.a 1.00% p.a 1.00% p.a

17

b) Performance Fees


31 December 2011

The Investment Manager receives a perlormance fee, accrued on each Valuation Day, paid yearly, based on the Net Asset Value, equivalent to 20% of the performance of the Net Asset Value per Share exceeding the high water mark (as defined hereafter). The performance fee is calculated on the basis of the Net Asset Value after deduction of all expenses, liabilities, and management fees (but not performance fee), and is adjusted to take account of all subscriptions and redemptions. The performance fee is equal to the outperformance of the Net Asset Value per Share multiplied by the number of Shares in circulation during the calculation period. No performance fee will be due if the Net Asset Value per Share before performance fee turns out to be below the high water mark for the calculation period in question.

The high water mark is defined as the greater of the following two figures: - The last highest Net Asset Value per Share on which a performance fee has been paid; and - The initial Net Asset Value per Share.

The high water mark will be decreased by the dividends paid to Shareholders.

Provision will be made for this performance fee on each Valuation Day. If the Net Asset Value per Share decreases during the calculation period, the provisions made in respect of the performance fee will be reduced accordingly. If these provisions fall to zero, no performance fee will be payable.

If Shares are redeemed on a date other than that on which a performance fee is paid while provision has been made for performance fees, the performance fees for which provision has been made and which are attributable to the Shares redeemed will be paid at the end of the period even if provision for performance fees is no longer made at that date. Gains which have not been realized may be taken into account in the calculation and payment of performance fees.

In the case of subscriptions, the performance fee calculation is adjusted to avoid that a subscription impacts the amount of performance fee accruals. To perform this adjustment, the performance of the Net Asset Value per Share against the high water mark until the subscription date is not taken into account in the performance fee calculation. This accumulated adjustment amount is used in the performance fee calculation until the end of the relevant period and is adjusted in case of subsequent redemptions during the period.

Calculation period shall correspond to each calendar year.

Performance fees are payable within 15 business days following the closing of the annual accounts.

c) Custody Fees

A maximum of 0.035% of each Sub-Fund's average Net Asset Value per year will be payable to the Custodian and its agents by the Fund. This fee is waived for the first six months from the launch of Gamco Strategic Value Fund only. Such fee will be payable on a quarterly basis to the Custodian and on a daily or monthly basis to the agents as the case may be.

d) Administrative, Registrar Agent and Domiciliary and Corporate Agent Fees

A maximum of 0.03% of each Sub-Fund's average Net Asset Value per year will be payable annually by the Fund to the Administrator with a minimum of Euro 20,000 per year for each Sub-Fund (waived for the first six months from the launch of the relevant Sub-Fund). Approximately 0.04% of each Sub-Fund's average Net Asset Value per year will be payable annually by the Fund to the Registrar Agent with a minimum of Euro 35,000 per year for the Fund (waived for the first six months from the launch of the Fund). Euro 7,500 for the first year and Euro 15,000 per subsequent year will be payable annually by the Fund to the Domiciliary and Corporate Agent for the Fund.

18

i

4. Taxation


31 December 2011

Under current law and practice in the Grand Duchy of Luxembourg, the Fund is not liable to any Luxembourg income tax, nor are dividends distributed by the Fund liable to any Luxembourg withholding tax.

The Fund is as a rule liable in Luxembourg to a subscription tax (taxe d'abonnement) of 0.05% per annum of its net asset value, such tax being payable quarterly on the basis of the value of the aggregate net assets of the Fund at the end of the relevant calendar quarter.

This rate is however of 0.01 % per annum for:

undertakings the exclusive object of which is the collective investment in money market instruments and the placing of deposits with credit institutions;

undertakings the exclusive object of which is the collective investment in deposits with credit institutions; and

individual compartments of UCls with multiple compartments as well as for individual classes of securities issued within a UCI or within a compartment of a UCI with multiple compartments, provided that the securities of such compartments or classes are reserved to one or more institutional investors.

5. Distribution Policy

The Fund may issue Distributing Share classes and Capitalization Share classes within each Sub~Fund.

Capitalization Share classes capitalise their entire earnings whereas Distributing Share classes pay dividends.

The general meeting of Shareholders of the class or classes of Shares issued in respect of any Sub-Fund, upon proposal of the Board of Directors of the Fund, shall determine how the income of the relevant classes of Shares of the relevant SubFunds shall be disposed of and the Fund may declare from time to time, at such time and in relation to such periods as the Board of Directors of the Fund may determine, distributions in the form of cash or Fund's Shares for the class of Shares entitled to distribution.

Should the Shareholders elect the distribution of a cash dividend, all distributions will be paid out of the net investment income available for distribution. For certain classes of Shares, the Board of Directors of the Fund may decide from time to time to distribute net realised capital gains, unrealized capital gains or capital. Unless otherwise specifically requested, dividends will be reinvested in further Shares within the same class of Shares of the same Sub-Fund and investors will be advised of the details by a dividends statement. No sales charge will be imposed on reinvestments of dividends or other distributions.

For classes of Shares entitled to distribution, dividends, if any, will be declared and distributed on an annual basis. Moreover, interim dividends may be declared and distributed from time to time at a frequency decided by the Board of Directors of the Fund in compliance with the conditions set forth by law.

However, no distribution may be made if the Net Asset Value of the Fund would fall below EUro 1,250,000. No dividends were paid during the period ended 31 December 2011.

6. Forwards transaction

Each Sub-Funds may enter into or trade forward contracts for speculative or hedging purposes. Forward contracts are not traded on exchanges; rather, banks and dealers act as principals in these markets. None of the SEC, the U.S. Commodity Futures Trading Commission or any banking authority regulates trading in forward contracts, and no limitation exists on the daily price movements of forward contracts. In their forward trading, the Sub~Fund will be subject to the risk of the failure of, or the inability or refusal to perform by, the counterparties with which they trade.

19


31 December 2011

6. Forwards transaction (continued)

The unreaHsed profit or loss is shown in the Statement of net assets. On 31 December 2011, the following portfolio held open fOlwards contracts:

7. Calculation method of the risk exposure

The methodology used in order to calculate the global exposure resulting from the use of financial derivative instruments is the commitment approach in accordance with the CSSF Circular 11/512.

8. Transaction cost

For the year ended 31 December 2011, the Fund incurred transactions costs which have been defined as brokerages fees, custody transactions fees relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets as follows:

Sub·Fund GAMCO Strategic Value GAMCO Merger Arbitrage

9. Information

Total (8ase Currency) 137,570 23,718

A statement giving the changes in the portfolio of investments for the period under review can be obtained free of charge upon request at the registered office of the Fund.

Copies of the current porspectus, latest annual and semiwannual reports are available free of charge from the registered office of the Fund.

20

Deloitte.

To the Shareholders of GAMCO International SICA V

Deloitte Audit Societe a responsabilite limitee

560, rue de Neudorf L-2220 Luxembourg B.P. 1173 L·1Ql 1 Luxembourg

Tel: +352 451 451 Fax: +352 451 452992 www.deloille.lu

REPORT OF THE REVISEUR D'ENTREPRISES AGREE

Following our appointment by the general meeting of the Shareholders dated 23 September 20 I 0, we have audited the accompanying financial statements of GAMCO International SICA V ("the Fund") and of each of its sub-funds, which comprise the statement of net assets and the schedu le of investments as at 3 I December 20 I I and the statement of operations and in net assets for the period from 23 September 2010 (date of incorporation) to 3 I December 2011, and a summary of significant accou nting policies and other explanatory information.

Responsibility of the Board of Directors of the Fundfor the financial statements

The Board of Directors of the Fund is responsible for the preparation and fair presentat ion of these financial statements in accordance with Luxembourg legal and regulatory requirements relati ng to the preparation of the fi nancial statements and for such internal control as the Board of Directors of the SICA V determines is necessary to enable the preparation of financial statements that are free from material mi sstatement, whether due to fraud or error.

Responsibility of the reviseur d'entreprises agree

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted fo r Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance

whether the financial statements are free from material mi sstatement.

Deloitte.

Report of the Reviseur d 'entreprises agree (continued)

An aud it involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the reviseur d'entreprises agree 's judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the reviseur d ' en/reprises agree considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accou nting estimates made by the Board of Directors of the Fund, as well as evaluating the overall presentation of the financial statements .

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opi nion.

Opinion

In our opinion, the financial statements give a true and fair view of the financial position of GAMCO International SICA V and each of its sub-funds as of 3 1 December 20 II , and of the results of its operations and changes in its net assets for the period from 23 September 2010 (date of incorporation) to 31 December 2011 in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Other mailer

Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such info rmation. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole.

For Deloitte Audit, Cabinet de revision agree

Philippe Lenges, Reviseur d' entreprises agree

Partner

Luxembourg, 29 March 2012

Documents

Audited Financial Statements - Fundsquare