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I'm not sure what happened to it when he fell into the chasm with the Balrog. I think it was destroyed then
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I don't have a quote to back it up, but I'm sure it says Gandalf has Glamdring later in LOTR, it might be when he is facing the witch-king. I think he kept Glamdring with him his entire battle with the balrog, and it remained with his body when he died, so that when he was brought back to life, his sword was there.