GVP.L Regulatory News (GVP)

Gabelli Value Plus+ Trust Plc

Annual Report and Accounts 2020

OVERVIEW AND PERFORMANCE

AT A GLANCE

GABELLI VALUE PLUS+ TRUST PLC ("GVP" or the "Company") was launched in February 2015 to invest in U.S. equities. The Company is a public company, limited by shares. Trading on the London Stock Exchange under the symbol GVP, the Company brings the "best of" Gabelli Funds through an actively managed fund investing in U.S. companies, giving UK investors direct access to the Gabelli value investment methodology. It incorporates a portfolio of Gabelli Funds all cap U.S. equity ideas with selective deployment of their classic merger arbitrage approach. The merger arbitrage approach aims to earn absolute returns in excess of short term interest rates, non-correlated with the overall equity markets.

Through its Manager, Gabelli Funds, LLC ("Gabelli Funds"), the Company provides access to Gabelli's core methodology, which has delivered annualised outperformance of the Standard & Poor's 500 Index of 5% since the launch of this strategy in 1977. The Company's investment portfolio is diversified across securities, capitalisations, sectors, and event time horizons; it is flexible through various market cycles and opportunistic where appropriate.

The Company is part of the lineage of Gabelli Closed-End Funds. The Gabelli Fund complex currently includes 14 U.S.-based closed-end funds, two funds based in the UK, 24 open-end funds and a SICAV, with two sub-funds.

FINANCIAL HIGHLIGHTS

Source: Investment Manager (Gabelli Funds, LLC), verified by the Administrator, State Street Bank and Trust Company.

# The net asset value ("NAV") total return for the year reflects the movement in the NAV, adjusted for the reinvestment of any dividends paid.

† The total share price return for the year to 31 March 2020 reflects the movement in the share price during the year, adjusted to reflect the reinvestment of any dividends paid.

* Ongoing charges are calculated as a percentage of shareholders' funds using the average net assets over the year and calculated in line with the AIC's recommended methodology.

** The annualised ongoing charges are the recurring operating and investment management costs of the Company, expressed as a percentage of the average net assets. The breakdown is set out in the following table. Portfolio transaction charges are shown for transparency, although they do not form part of the ongoing charges under the AIC's recommended methodology.

CHAIRMAN'S STATEMENT

Introduction

I am pleased to present the Company's annual results for the year to 31 March 2020. The period under review saw financial markets, in the United States and worldwide, dramatically affected by the spread of the COVID-19 pandemic, which originated in China. Your Company has clearly not been immune to the effects of this pandemic.

As shareholders will be aware, a resolution will be put to shareholders at the forthcoming Annual General Meeting in connection with the continuation of the Company. The advisory resolution will require over 50% of all votes cast to be in favour of continuation for it be passed. If the continuation resolution is not passed, the Board will be required to put forward to shareholders plans to wind-up, reorganise or reconstruct the Company. Further details on the continuation vote, the Board's voting recommendation and the potential implications for the Company are set out overleaf and throughout this report.

Performance

While the first half of the Company's year saw the NAV rise by 6.1%, for the full year to 31 March 2020, the NAV fell from 137.9p per share to 101.9p, or by 26.1%, while its share price fell by 32.7%. By contrast, the Russell 3000 Value Index fell by 13.8% (in sterling) or 18.0% (in US dollars) and the S&P 500 Index fell by 2.2% (in sterling) or 7.0% (in US dollars), illustrating the effect of the pandemic on markets generally. At the same time the performance of the large capitalisation "Growth" stocks continued to be the main drivers of US stock market performance, a trend largely uninterrupted by the pandemic. The Board recognises that this represents a disappointing relative performance for the Company's shareholders.

The non-market correlated component part of the portfolio invested in merger arbitrage, which can affect the volatility of the portfolio, in the past has accounted for up to 30% of the portfolio, but averaged approximately 5% of net asset value over the last year.

Various efforts aimed at controlling and reducing the pandemic effect have been put in place throughout the world, with varying degrees of success. These include population lock downs and the widespread closure of many businesses. As a consequence a wide range of business sectors have been severely affected, including retail, entertainment, catering, transportation and tourism, causing a very significant decrease in economic activity. As a direct result, in America, unemployment surged to levels not seen since the depression of the 1930s which, at the time of this report, was close to 15%. This figure may have peaked but any decline will depend on how quickly lockdown ends, allowing people to get back to work.

In an attempt to alleviate the impact of this economic hardship, Governments worldwide have reduced interest rates and moved to provide major amounts of fiscal and monetary support as a means of helping ease the financial pressure now faced by millions of furloughed workers. In America, for example, as commented on in the Investment Manager's Review, the Federal Reserve Bank has committed to add the massive sum of $5 trillion into the economy through various support programmes.

In this rapidly changing environment, however, many growth stocks have continued to prosper, enjoying strong market support, robust balance sheets and market leading positions. At the top end of the market, for example, the combined market value of five leading growth or technology stocks (Alphabet, Apple, Amazon, Microsoft and Facebook) amounted to $5.6 trillion, a figure almost equal to a fifth of the value of the S&P 500 Index. In contrast, however, value stocks continued to lag in market performance, even though, in many cases, they may appear to be reasonably valued. It does seem likely that the COVID-19 experience will be felt for some time, holding back economic growth. This effect may well require a change in the way certain activities are implemented and, if so, businesses will need to adopt different methods of operation.

Dividend

The Company's portfolio is constructed with total return in mind rather than any envisaged split between income and capital return. The portfolio is likely to vary considerably relative to that of the US stock market, according to the investment stock selections. Revenue earnings per share during the year were 1.09 pence per the Statement of Comprehensive Income, which compares with 0.76 pence in the previous year.

The Directors recommend a final dividend of 1.0 pence per share (2019: 0.75 pence). The proposed final dividend will be paid on 14 August 2020 to shareholders on the register at the close of business on 17 July 2020. The ex-dividend date is 16 July 2020.

Share price rating and buybacks

The share price started the period at a discount of 11.7% to NAV and finished the year at a discount of 19.9%. A total of 1,424,500 shares were purchased and placed in treasury during the period, at an average price of 126.55 pence per share and average discount of 13.5%.

As shareholders are aware, the management fee paid to the Investment Manager is calculated on market capitalisation, since this is thought to better align its interests with that of shareholders

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Board

Jonathan Davie stepped down as Chairman in November 2019. Jonathan made a great contribution to the Board and we wish him well for the future. Kasia Robinski has also indicated her intention not to stand for re-election at the forthcoming AGM. Kasia has been a great asset to the Board. I should like to thank her for her valuable contribution to the Company and wish her well for the future.

Shareholder Communication

As announced on 11 September 2019, the Company received a letter from Investec Wealth & Investment Limited, a shareholder in the Company, in which it stated that it intended to requisition a General Meeting of the Company in order to propose a Continuation Vote. Investec sent this letter as an open letter to the Company and certain other shareholders. No requisition notice has been received and the Continuation Vote will take place at the Company's Annual General Meeting ("AGM") on 30 July 2020, as previously announced. As noted in the Company's Notice of Annual Results announcement, released on 15 June 2020 the Board of Directors, with one abstention, is recommending that shareholders vote against continuation of the Company. That decision was reached after consultation with a range of shareholders and reflects, among other concerns, disappointment with the Company's performance since launch., the persistent discount at which the Company's shares have traded to their underlying net asset value and the relative lack of liquidity of the Company's shares.

On 29 June 2020 the Company received a further letter from Investec Wealth & Investment for circulation to all shareholders together with the Company's Annual Report. The letter sets out Investec Wealth & Investment's rationale for supporting the Board's recommendation that shareholders vote against the continuation vote. A copy of the letter can also be found on the Company's website at https://www.gabelli.co.uk/docs/pdfs/Investec_Letter_Shareholders.pdf.

Since the outcome of the continuation vote is by no means certain, this represents a material uncertainty which may cast significant doubt on the Company's future and its ability to continue as a going concern. Notwithstanding this, the financial statements have been prepared on a going concern basis. In arriving at the decision on the basis of preparation, the Board considered the financial position of the Company, its cashflow and liquidity position as well as the uncertainty surrounding the outcome of the continuation vote. Please see further commentary on the Continuation Vote, and the voting recommendation from the Company's Board of Directors, in the Directors' Report.

Annual General Meeting

The Board has been deliberating the potential impact of the COVID-19 outbreak on the arrangements for the forthcoming AGM which is to be held on 30 July 2020. In light of the public gathering restrictions and social distancing requirements, the AGM will be run as a closed meeting and shareholders will not be able to attend in person.

Shareholders' views are clearly important and the Board encourages shareholders to submit their votes by proxy, rather than attending in person. Shareholders may also submit questions in advance of the AGM to the Company Secretary via email to CoSec@MaitlandGroup.com or by post to the Company Secretary at the address set out in the Annual Report.

report.

Outlook

Your Board is well aware of the challenges which the Company faces, along with its investment policy of investing in the US equity market through the Investment Manager's bottom up, value style investment philosophy. The US equity market has continued to rate growth stocks highly, as they have generally delivered strong share price returns. There seems little reason for the overall growth of technology development to slow, and this, combined with the potential lingering effects of the pandemic, may continue to limit interest in the value sector of the market, at least in the near term.

Peter Dicks

Chairman of the Board

1 July 2020

INVESTMENT MANAGER'S REVIEW

Both the Company and its Investment Manager are economically viable and in strong financial positions. The Company maintains a highly liquid investment portfolio.

GVP's IPO prospectus, dated 29 July 2015, stated that if after the end of the fifth full financial year of the Company's existence (31 March 2020), the ordinary shares had traded on average at a

discount in excess of 10 per cent. of the net asset value per ordinary share in that financial year, a continuation vote would be held.

As announced on 31 July 2019, the Board of Directors of GVP concluded that it would be in the best interests of GVP's shareholders to amend the provision in the prospectus and to propose a

continuation vote every two years commencing from this year's Annual General Meeting (AGM).

Therefore, at the upcoming AGM scheduled for 30 July 2020 a continuation vote will be held. Due to this vote, throughout this Annual Report there is language related to the "going concern" of the Company. The going concern of the Company relates ONLY to the uncertainty of the outcome of this continuation vote.

Gabelli Methodology

Gabelli Funds would like to thank our investors for entrusting a portion of their assets to the Gabelli Value Plus+ Trust. We appreciate the confidence and trust you have offered our organisation through an investment in GVP. Today, as for over forty years, we remain vigilant in the application of our investment philosophy and in our search for opportunities. Let us outline our investment methodology and the investment environment during the year to 31 March 2020.

We at Gabelli are active, bottom-up, value investors, and seek to achieve real capital appreciation (relative to inflation) over the long term, regardless of market cycles. We achieve returns through investing in businesses utilising our proprietary Private Market Value ("PMV") with a Catalyst™ methodology. PMV is the value that we believe an informed buyer would be willing to pay to acquire an entire company in a private transaction. Our team arrives at a PMV valuation by a rigorous assessment of fundamentals from publicly available information and judgment gained from our comprehensive, accumulated knowledge of a variety of sectors. We focus on the balance sheet, earnings, free cash flow, and the management of prospective companies. We are not index benchmarked, and construct portfolios agnostic of market capitalisation and index weightings. We have invested this way since 1977.

Our research process identifies differentiated franchise businesses, typically with strong organic cash flow characteristics, balance sheet opportunities, and operational flexibility. We seek to identify businesses whose securities trade in the public markets at a significant discount to our estimates of their PMV estimate, or "Margin of Safety". Having identified such securities, we look to identify one or more "catalysts" that will narrow or eliminate the discount associated with that "Margin of Safety". Catalysts can come in many forms including, but not limited to, corporate restructurings (such as demergers and asset sales), operational improvements, regulatory or managerial changes, special situations (such as liquidations), and mergers and acquisitions.

It is through this process of bottom up stock selection and the implementation of disciplined portfolio construction that we expect to create value for our shareholders.

Macro Review

During the first quarter of 2020, the stock market saw its worst performance in well over a decade, with the S&P 500 Index down over 19% on a total return basis. This, of course, was after a very strong 2019, when the market was up by over 15% during the last three quarters of the year. As has been the case for many years now, growth stocks have continued to outperform value stocks. In the first quarter of 2020, growth stocks, as measured by the S&P/Citigroup Growth Index, were down 17% on a total return basis. Value stocks, on the other hand, were down 25% in the quarter, as measured by the S&P 500/Citigroup Value Index. The good news is that, although value investing has been out of favour for many years now, we feel the market is poised to start favouring value stocks once again, and your portfolio is well positioned to benefit when that rotation occurs. For the full fiscal year just ended, the S&P 500 performed substantially better than GVP. This was partially due to value stocks not performing as well as the overall market, and partially due to small and mid-cap stocks, which we emphasize in GVP, not performing as well as large-cap stocks. During the last few years, large cap stocks have also out performed small- and mid-cap stocks in the U.S. Since "trees do not grow to the sky" and smaller cap quality stocks tend to have better growth prospects, we expect our bias towards small- and mid-cap value stocks will start to pay off in the years ahead.

Pandemic Comes to the United States

As 2020 began, all seemed well in the United States. By all measures, the economy and consumers were healthy and prosperous. Very few had been paying attention to what initially seemed like an inconsequential virus outbreak on the other side of the world in Wuhan, China. Gradually, however, the virus spread and America started to become more aware of COVID-19, as the first death in the U.S. attributed to the threat was recorded in late February 2020. On March 11, 2020, the World Health Organization declared the virus a pandemic, as it had spread to more than 100 countries. By mid-March, the U.S. was bracing for a contagion that would kill far more people than the last global pandemic, the 2009 Swine Flu. By the end of March 2020, the end of the fiscal year for the Gabelli Value Plus+ Trust, over 90% of the American people were living under stay-at-home orders from their state governments.

Entering a Recession

The beginning of the first quarter of 2020 witnessed the American economy setting numerous records. It was the longest economic expansion on record, a time period that goes back to the mid 1800's. It was also the longest stock market bull market on record. The American workforce had the lowest unemployment rate in over 50 years. However, all of this came to a very abrupt end in March. With the stay-at-home orders and the closing of the economy, over 15 million workers were out of work by the second week of April, a figure representing over 10% of the workforce. That number increased to over 20 million in May and has since begun to show signs of inflection. U.S. gross domestic product contracted by 4.8% in the first quarter, with expectations for a double digit decline in the second quarter. Although it is hard to predict the severity or duration of this economic recession, it will certainly not be a mild one.

Government Response to the Pandemic

The government response to the COVID-19 pandemic has been unprecedented in its scale, both from the Federal Reserve and Congress. In terms of short-term interest rates, the Federal Reserve quickly slashed rates down to zero as the virus spread, and added a massive amount of liquidity into the market. By early April, the Fed, through various programs, was committed to adding a staggering $4.8 trillion to the economy. This figure represents about 22.4% of gross domestic product for the American economy. Congress and the President also swiftly passed legislation to add fiscal stimulus. The initial stimulus package amounted to $2.7 trillion, or about 12.7% of the American economy. Taken together, the Federal Reserve and Congress added liquidity and fiscal stimulus worth about one third of the American economy. Depending on the course that the virus takes, there may be more government response. to come if bipartisan support is forthcoming.

Performance Summary 2019/20

Over the year to 31 March 2020, GVP's net asset value declined 24.9% on a total return basis as small-cap value stocks, which comprise the core of our portfolio, exceeded the declines of the broader market. Value stocks tend to be more sensitive to economic cycles than growth stocks, and smaller cap companies tend to exhibit greater operational leverage than large ones. As such, we expect our negative performance to reverse itself as economies reopen and the greater effect of revenue growth on operating income for smaller companies is realised again. We note that some shift to value has already materialised since the end of this reporting period and our portfolio remains well positioned.

During the year our best five contributors to our returns were our holdings in the shares of Teledoc Health, Allergan, Newell Brands, Rockwell Automation, and Legg Mason. Our strongest contributor, Teladoc Health, is headquartered in Purchase, New York, and provides virtual healthcare services. With the spread of COVID-19, the demand for virtual care visits has accelerated and more than half of all the Teladoc Health visits in the month of March were from first time users.

By contrast, our holdings in Navistar, HERC, Textron, GCP Applied Technologies, and ViacomCBS detracted from returns. Our biggest detractor, Navistar, based in Lisle, Illinois, manufactures commercial trucks, buses and defence vehicle. We had long viewed Volkswagen's strategic partnership with Navistar as a likely first step in a full purchase of the company, and in January 2020 its recently spunoff truck and business TRATON SE submitted a proposal to acquire Navistar for $35 per share. Navistar shares sold off sharply in March, as projections for lower industrial activity weighed on the sector, but its discussions with TRATON have remained ongoing. TRATON has voiced that it views Navistar as a critical piece to its vision of becoming a "global champion" in commercial trucking, and we believe a merger still offers strategic merits.

Our Commitment to the UK Market

Gabelli portfolio objectives are to earn positive, real returns for investors through the business cycle. Given that GVP's active share (percentage of equity holdings in the portfolio that differs from a specific benchmark) has been consistently greater than 95% versus passive benchmarks, such as the Russell 3000 Value and S&P 500 Indices, we believe relative performance comparisons to these commonly used indices yield very limited analytical merit. We measure a portfolio's success at the individual stock level. While 2020 began with a strong start for the Company, GVP's relative underperformance to passive indices over the calendar first quarter was driven mostly by its exposure to domestic oriented small-cap value stocks, and in particular its allocation to the industrials sector, which we expect will outperform pending a long awaited infrastructure bill and the acceleration of U.S. supply chains re-onshoring following the coronavirus pandemic.

We are proponents of the closed-end structure, especially during market dislocations, because it allows us greater flexibility to generate returns by building meaningful positions in our portfolio holdings while actively engaging with managements, and the ability to comfortably allocate capital to small cap and less liquid holdings in which we have strong conviction:

• Active Positions. At 31 March 2020, approximately 29% of the GVP portfolio was invested in companies in which the Gabelli organization was a Schedule 13D filer. Gabelli actively seeks to engage with the management of investee companies to initiate potential value-enhancing actions and promote good corporate governance. Utilising 13D filings (a U.S. regulatory requirement when ownership threshold reaches or exceeds 5% of shares outstanding), Gabelli's discretionary activist campaigns have historically taken different forms, including detailed regulatory filings, proxy contests, merger vetoes, shareholder proposals, and governance improvements, such as opposition to poison pills and incumbent director candidates.

• Small and Micro Cap Positions. At 31 March 2020, approximately 29% of the GVP portfolio was comprised of companies with market capitalisations of less than $1.5 billion. Citing the preponderance of sell-side coverage as well as the inclusion of large-cap stocks over small-cap stocks in indices, academic research reveals that small-caps demonstrate greater market inefficiencies and are thus more prone to deviation from their fundamental values. With the discretion our 30+ in-house industry research analysts enjoy in bottom-up idea generation, the Gabelli investment team is able to identify and allocate capital to small and micro-cap stocks which are overlooked by Wall Street and may offer greater opportunities for capital appreciation.

• Less Liquid Positions. At 31 March 2020, approximately 40% of the GVP portfolio was represented by companies which require 27 trading days on average to build a position (defined as a 3% position in a $100 million portfolio representing 10% of the average daily trading volume). These companies range in size from Full House Resorts, a $34 million market cap casino developer and operator in the state of Nevada, to CBS Corp Class-A, the less liquid voting share class of a $15 billion media company. Our price sensitivity when buying and selling is even more acute with smaller cap and less liquid positions.

Since 1977, Gabelli portfolios have demonstrated long-term performance by preserving and protecting capital through down markets. We have not deviated from our investment process over the past 43 years and remain steadfast, finding new opportunities from Mr. Market's dislocations. Our investors can remain confident that GVP's investment programme will continue accordance with prospectus and not give in to short-termism.

We are aware of consolidation within the private client wealth manager sector since GVP's launch five years ago and how wealth managers may be pursuing their own short interests as a result of internal "top down" business and compliance demands to invest in products which they can scale across their platforms with an objective of client uniformity.

Gabelli Funds remains firmly committed to serving our clients in the United Kingdom and growing our relationships with more investors in the years ahead. For its attributes above, we believe that Gabelli Value Plus+ Trust is truly a differentiated investment trust which remains well positioned to achieve attractive risk adjusted returns in the future. We thank shareholders for your support of, and interest in, our products. We invite you to visit the Company's website, https://www.gabelli.co.uk/thegabelli-value-plus-trust, for regularly published data and Manager commentary.

Top Five Holdings

Bank of New York Mellon Corp. (BK -$33.68- NYSE) is a global leader in providing financial services to institutions and individuals. The company operates in more than one hundred markets worldwide, and strives to be the global provider of choice for investment management and investment services. As of December 2019, the firm had $35.2 trillion in assets under custody and $1.8 trillion in assets under management. Going forward, we expect BK to benefit from rising global incomes and the cross border movement of financial transactions.

GCP Applied Technologies (GCP - $17.72- NYSE) is a global producer of construction chemicals and technologies, including additives and admixtures for concrete and cement, waterproofing products, and specialty systems; it also offers an in-transit concrete management system, known as VERIFI®. GCP's business is broken into two reporting segments: Specialty Construction Chemicals (SCC) and Specialty Building Materials (SBM). Following the involvement of activist Starboard, the company initiated a complete review of its operations, with the participation of strategic players and private equity investors; management concluded that "the best opportunity to enhance shareholder value was to pursue a standalone strategic and financial plan". It also said that "the Board would continue to evaluate opportunities to drive value for GCP shareholders as our industry continues to evolve". Starboard (10% ownership) has nominated a slate of nine "highly qualified Director Candidates," and is aiming to replace most Board members at the upcoming Annual Meeting. We believe that the industry is consolidating, and that GCP could be acquired sometime in the future, as size is an important competitive factor (BASF Construction Chemicals was acquired by private equity Lone Star at an estimated 12 multiple to EBITDA). In the meantime, management is successfully executing its strategic plan with a focus on operating efficiencies and cost reduction. Management expects first quarter results to be above previous expectations; however, the ongoing pandemic and resulting multiple shutdowns make it difficult to project how operations will be impacted for the balance of the year.

Liberty Braves Group (BATRK-$19.02 - NASDAQ), located in Cobb County, Georgia, was founded in 1871 and is the oldest continuously operating professional sports franchise in the U.S. The Atlanta Braves' third season at the 41.5K seat SunTrust Park built on the first two years increasing attendance and grew 3.9% to 31,779, as the young team returned to the play-offs for the

second consecutive year. The Braves continue to benefit from the increase in beach front sports team valuations, notwithstanding the lapsed speculated bid for 80% of the New York Mets by Steven Cohen at a $2.6 billion, about 7.6x last year's revenue and higher than the estimated 5.7x paid for the last team to trade, the Miami Marlins. Continued Braves team performance combined and a top farm system could drive valuation further. The Braves continue to benefit from MLB broadcast contracts with new broadcasters, such as Facebook/Google and potential legal sports (PAPSA) betting revenue. COVID-19 is delaying the new season opening, and will impact attendance if games are played without spectators and also impact rents and hotel occupancy in the Battery's real estate development.

PNC Financial Services Group Inc. (PNC - $95.72 - NYSE) is one of the nation's largest diversified financial services organizations. From the company's Pittsburgh headquarters, PNC provides retail and commercial banking services throughout the Northeast, Southeast, Midwest, and Western U.S., via a regional branch network of over two thousand locations, along with mortgage and deposit businesses on a national basis. The company also operates a large asset management franchise, with over $136 billion in assets under management and $128 billion under administration as of December 2019. The firm has strong corporate leadership, with a historically conservative approach to loan origination and credit performance.

Republic Services Inc. (RSG -$75.06- NYSE), based in Phoenix, Arizona, became the second largest solid waste company in North America after its acquisition of Allied Waste Industries in December 2008. Republic provides non-hazardous solid waste collection services for commercial, industrial, municipal, and residential customers in forty-one states and Puerto Rico. Republic serves more than 2,800 municipalities and operates 189 landfills, 212 transfer stations, 340 collection operations, and 79 recycling facilities. Since the Allied merger, Republic has benefited from synergies driven by route density, beneficial use of acquired assets, and reduction in redundant corporate overhead. Republic is committed to its core solid waste business. While other providers

have strayed into alternative waste resource technologies and strategies, we view Republic's plan to remain steadfast in the traditional solid waste business positively. We expect continued solid waste growth acquisitions, earnings improvement, and incremental route density and internalization growth in already established markets to generate real value in the near to medium term, highlighting the company's potential.

Gabelli Funds, LLC

1 July 2020

PORTFOLIO

PORTFOLIO SUMMARY

Portfolio distribution as at 31 March 2020 (%)*

* Excludes cash and short term investments.

By asset class (%)

Portfolio holdings

* Excludes cash and short-term investments.

All holdings are ordinary shares.

GOVERNANCE

STRATEGIC REPORT

The Directors present the Strategic Report of the Company for the year ended 31 March 2020. The aim of the Strategic Report is to provide shareholders with the ability to assess how the Directors have performed their duty to promote the success of the Company during the year under review.

Business Review

Structure and Objective of the Company

Gabelli Value Plus+ Trust PLC (GVP or the Company) is an investment trust company that has a premium listing on the London Stock Exchange.

The Company's strategy is to generate returns for its shareholders by pursuing its investment objective while mitigating shareholder risk, by investing in a diversified spread of equity investments. Through a process of bottom-up stock selection and the implementation of disciplined portfolio construction, the Company aims to create value for its shareholders.

In seeking to achieve its investment objective the Company has contractually delegated the management of the investment portfolio to Gabelli Funds, LLC, (the "Manager"). Gabelli Funds, LLC is also the Company's Alternative Investment Fund Manager. The Company's existing investment objective and investment policy are set out below.

Investment Policy, Restrictions and Guidelines

The Company will seek to meet its investment objective by investing predominantly in equity securities of U.S. companies, of any market capitalisation.

In selecting such securities the Manager will utilise its proprietary Private Market Value ("PMV") with a CatalystTM methodology. PMV is the value that the Manager believes an informed industrial buyer would be willing to pay to acquire an entire company. The Manager arrives at a PMV valuation by a rigorous assessment of fundamentals (focusing on the balance sheet, earnings and free cash flow) from publicly available information and judgment gained from its comprehensive, accumulated knowledge of a variety of sectors.

The Manager's fundamental research seeks to identify investments typically featuring, but not limited to, differentiated franchise businesses with organic cash flow, balance sheet opportunities and operational flexibility. The Manager will seek to identify businesses whose securities trade in the public markets at a significant discount to their PMV estimate which the Manager refers to as a "Margin of Safety".

Having identified such securities, the Manager will seek to identify one of more "catalysts" that will help to narrow or eliminate the Margin of Safety. Catalysts can come in many forms including, but not limited to, corporate restructurings (such as demergers and asset sales), operational improvements, regulatory or managerial changes, special situations (such as liquidations) and mergers and acquisitions.

The Manager seeks value creation through its process of bottom-up stock selection and its implementation of a disciplined portfolio construction process.

As at 31 March 2020, the top 60 holdings represent 97% of the total investments, in line with expectations at launch. Given the recent volatility in the stock market, the Manager has raised the cash holdings, which currently stand at around 11.2% of the portfolio, so as to be able to buy individual stocks in the near future that become especially attractive on a fundamental basis.

In addition to equity securities of U.S. companies, the Company may (subject to the investment restrictions set out below) also invest in other securities from time to time including non-U.S. securities, convertible securities, fixed interest securities, preferred stock, nonconvertible preferred stock, depositary receipts, warrants and other rights. Subject to the investment restrictions set out below, there is no limitation on the number of investments which may be exposed to any one type of catalyst event, including demergers, restructurings or announced mergers and acquisitions.

The Company may invest through derivatives for efficient portfolio management and for investment purposes. Any use of derivatives for efficient portfolio management and for investment purposes will be subject to the investment restrictions set out below.

Risk diversification

General

Portfolio risk will be mitigated by investing in a diversified spread of investments. In particular, the Company will observe the following investment restrictions:

• no single investment shall, at the time of investment, account for more than 10 per cent. of the Gross Assets;

• no more than 15 per cent. of the Gross Assets, at the time of investment, shall be invested in securities issued by companies other than U.S. companies; and

• no more than 25 per cent. of the Gross Assets, at the time of investment, shall be exposed to any one industry (as defined by the MSCI industry groups according to the GICS (global industry classification standards categorisation).

The Company may adopt a temporary defensive position where it determines that adverse market conditions exist and invest some or all of the portfolio in:

• cash or cash equivalents, money market instruments, bonds, commercial paper or other debt obligations with banks or other counterparties having a single A (or equivalent) or higher credit rating as determined by an internationally recognised rating agency; or

• any "government and public securities" as defined for the purposes of the FCA Handbook.

In addition, uninvested cash or surplus capital or assets may be invested on a temporary basis in such assets.

Derivatives and short selling

If the Company invests in derivatives and/or structured financial instruments for investment purposes and/or for efficient portfolio management purposes, the total notional value of derivatives and/or structured financial instruments at the time of investment will not exceed, in aggregate, 10 per cent. of its Gross Assets. The Company may take both long and short positions. The Company may short up to a limit of 10 per cent. of its Gross Assets. For shorting purposes, the Company may use indices or individual stocks.

When investing via derivatives and/or structured financial instruments (whether for investment purposes and/or for efficient portfolio management purposes), the Company will seek to mitigate and/or spread its counterparty risk exposure by collateralisation and/or contracting with a potential range of counterparty banks, as appropriate, each of whom shall, at the time of entering into such derivatives and/or structured financial instruments, have a single-A (or equivalent) or higher credit rating as determined by an internationally recognised rating agency.

In the event of a breach of the investment guidelines and restrictions set out above, the Manager will inform the Board upon becoming aware of the same and, if the Board considers the breach to be material, notification will be made to a Regulatory Information Service and the Manager will look to resolve the breach with the agreement of the Board.

Borrowing policy

The Company may borrow up to 15 per cent. of Net Asset Value (calculated at the time of draw down). Borrowings may be used for investment and/or working capital purposes.

In accordance with the requirements of the UK Listing Authority, any material change to the Company's investment policy will require the approval of Shareholders by way of an ordinary resolution at a general meeting.

There has been no change to the investment policy since the launch of the Company in February 2015.

Culture and Values

The Directors seek to discharge their responsibilities and meet shareholder expectations in an open and transparent manner. The Board seeks to recruit Directors who have diverse experience.

The industry experience on the Board ensures that there is detailed knowledge and constructive challenge in the decision-making process. This helps the Company achieve its overarching aim

of enhancing shareholder value. The Directors are mindful of costs and seek to ensure that the best value for money is achieved in managing the Company.

The Company's values of skill, knowledge and integrity are aligned to the delivery of its investment objective and are closely monitored by the Board.

The Board seeks to employ third-party providers who share the Company's culture and, importantly, will work with the Directors in an open and transparent manner to achieve the Company's aims.

Performance

Details of the Company's performance during the year are provided in the Chairman's Statement. The Investment Management Report includes a review of developments during the year as well as information on investment activity within the portfolio.

Total Return, Revenue and Dividends

The Company's revenue earnings for the year amounted to 1.09 pence per share (2019: 0.76 pence).

The Company intends to pay dividends annually. Dividend yield is a by-product of the investment process as part of the total return sought. Investors should have no expectation that the Company will pay dividends as anticipated or at all and past dividends are not an indication of future dividend payments.

The Directors recommend a final dividend of 1.0 pence (2019: 0.75 pence) per ordinary share payable on 14 August 2020 to holders on the register at the close of business on 17 July 2020.

Key Performance Indicators ("KPIs")

The Board recognises that it is share price performance that is most important to the Company's shareholders. Fundamental to share price performance is the performance of the Company's net asset value. The central priority is to generate returns for the Company's shareholders through net asset value and share price total return, and to manage any discount or premium at which the Company's shares trade. The principal KPIs are described below:

• Performance

At each meeting the Board reviews the performance of the portfolio as well as the net asset value and share price. Although the Company does not have a benchmark the Board reviews performance in the context of the performance of the S&P 500 and Russell 3000 Value indices.

• Performance attribution

The purpose of performance attribution analysis is to assess how the Company achieved its performance and to understand the impact on the Company's relative performance of the various components, such as stock selection.

• Share price discount to net asset value per share

The Board operates a share repurchase programme that seeks to address imbalances in supply and demand for the Company's shares within the market and thereby reduce the volatility of the discount to NAV per share at which the Company's shares trade. In the year to 31 March 2020, the discount ranged between 5.78% and 22.91% based on daily data. Details of shares bought back during the year are given in the Chairman's statement.

The Board at its regular meetings, undertakes reviews of marketing and investor sentiment.

• Ongoing charges

The ongoing charges represent the Company's management fee and all other recurring operating expenses expressed as a percentage of average net assets. The ongoing charges for the year ended 31 March 2020 were 1.24% (2019: 1.36%).

1 This measures the Company's NAV and share price total returns, which assumes dividends paid by the Company have been reinvested.

2 This is the difference between the share price and the cum-income NAV per share at the year end.

The KPIs for the Company are set out above. These KPIs fall within the definition of "Alternative Performance Measures" (APMs) under guidance issued by the European Securities and Markets Authority (ESMA) and additional information explaining how these are calculated is set out in the Glossary contained in the Annual Report and Financial Statements.

Principal Risks

The Directors confirm that they have carried out a robust assessment of the principal risks facing the Company including those that would threaten its business model, future performance, solvency or liquidity, including the potential impact of the COVID-19 pandemic.

With the assistance of the Manager, the Board has produced a risk matrix which identifies the Company's key risks. In assessing these risks and how they can be mitigated, the Board has given particular attention to those issues that threaten the viability of the Company. With the exception of the recently emerged COVID-19 pandemic, these key risks remain unchanged since last year and are set out below, together with details of how these have been mitigated or managed, where appropriate.

Investment Portfolio Risks

One of the main risks of an investment in GVP is a decline in the U.S. equity markets. This is best mitigated by investing in a diversified portfolio and by adhering to a carefully monitored series of investment restrictions, enabled by automated pre-trade compliance features and daily review of trade tickets. These strictures mandate that no single security purchase can, at the time of investment, account for more than 10% of the gross assets of the Company; no more than 15% of the gross assets, at the time of purchase, can be invested in securities issued by companies other than U.S. companies; and no more than 25% of the gross assets, at the time of purchase, can be exposed to any one industry as defined by the Morgan Stanley Capital Industry groups according to the GICS categorisations. In addition, the Board meets the portfolio management team quarterly at the Board meetings to review the risk factors and their effect on the portfolio, and a thorough analysis of the investment strategy is completed.

Global Macro Event Risks

Global instability or events, such as the COVID-19 pandemic, could undermine markets and therefore affect the Company's share price and NAV. To this end, global economic, geopolitical, and financial conditions are constantly monitored. Diversification of Company assets is incorporated into the investment strategy and, if disruptive events occur, the Manager may be prepared to adopt a temporary defensive position and invest some or all of the Company's portfolio in cash or cash equivalents, money market instruments, bonds, commercial paper or other debt obligations with banks or other counterparties, with appropriate ratings as determined by an internationally recognised rating agency and approved by the Board. Another option is the investment in "government and public securities" as defined for the purposes of the Financial Conduct Authority Handbook.

Operational Risks

The operational functions of the Company are outsourced to third parties, which include Computershare (registrar and receiving agent), State Street Bank and Trust Company (custodian, administrator, and depositary), Maitland Administration Services Limited (company secretary) and Peel Hunt (shareholder communications). Disruptions to the systems at these companies or control failures could impact the Company. All of these third parties report to the Company on a regular basis and their reports and representations are reviewed by the Board and the Manager.

The COVID-19 pandemic has resulted in the operational functions of the Company's third party service providers transitioning to remote working under their respective business continuity plans. Service levels are monitored by the Board and they have continued to operate effectively.

Corporate Governance and Regulatory Risks

The Company can suffer damage to its reputation through poor corporate governance. The Board actively performs self-assessments of compliance with best governance practices. Also, shareholder discontent due to a lack of appropriate communications and/or inadequate financial reporting could cause shareholders to reduce or liquidate their positions, which could impact the market price of the shares. The Board is in contact with its major shareholders on a regular basis, and it monitors shareholder sentiment. In addition, regulatory risks, in the form of failure to comply with mandatory regulations, could have an impact on the Company's continuity. The Company receives, and responds to, guidance from both its external and internal advisors on compliance with the Listing Rules, and Disclosure and Transparency Rules, as well as other applicable regulations.

Tax Risks

In order to qualify as an investment trust, the Company must comply with Sections 1158-59 of the Corporation Tax Act 2010. A breach of these sections could result in the Company losing investment trust status and, as a consequence, capital gains realised within the Company's portfolio would be subject to Corporation Tax. The criteria are monitored by both the Board and the Manager.

Market Price of the Shares may trade at a discount to Net Asset Value

The market price of the Company's shares may fall below the NAV per share. To address a discount, the Company has made use of share buy-backs, through which shares are repurchased when trading at a discount to NAV. The Company may purchase up to a maximum percentage of 14.99% of its issued share capital. In addition, as discussed under "Corporate Governance and Regulatory Risks," the Company has increased its shareholder communications programmes to increase its visibility and interaction with existing and potential investors.

Merger and Event Driven Risks

This risk is inherent to the mergers and acquisitions component of the Company's strategy and addresses the possibility that a deal does not go through, is delayed beyond the original closing date, or that the terms of the proposed transactions change adversely. This risk is addressed by the portfolio management team's careful selection and active monitoring of mergers and acquisitions deals, and maintaining a thorough knowledge of the selected securities in the portfolio.

Climate Change Risk

The Board and Investment Manager consider how climate change could affect the Company's portfolio companies and shareholder returns.

For discussion of additional risks, please refer to Note 11 to the financial statements.

Section 172 Statement

The Directors are mindful of their duties to promote the success of the Company for the benefit of its shareholders, while also considering the interests of its wider stakeholders, as per section 172 of the Companies Act 2006. The matters set out in section 172(1)(a) to (f) are:

(a) the likely consequences of any decision in the long term;

(b) the interests of the company's employees;

(c) the need to foster the company's business relationships with suppliers, customers and others;

(d) the impact of the company's operations on the community and the environment;

(e) the desirability of the company maintaining a reputation for high standards of business conduct; and

(f) the need to act fairly between members of the company.

The Board acknowledges that engagement with key stakeholders assists the Board in meeting these obligations and has identified its key stakeholders below. The following outlines the Board's engagement with stakeholders in the year. The Company has no employees and therefore no employee stakeholder matters to consider.

We define principal decisions as both those that are material to the Company but also those that are significant to any of our key stakeholders as identified above. In making the following principal decisions, the Board considered the outcome from its stakeholder engagement as well as the need to maintain a reputation for high standards of business conduct and the need to act fairly between the members of the Company.

Viability Statement

In accordance with the provisions of the UK Corporate Governance Code, the Directors have assessed the prospects of the Company over a longer period than the 12 months referred to in the 'Going Concern' guidelines.

At the forthcoming AGM shareholders are invited to vote on the continuation of the Company. The Board of Directors, with one abstention, recommends that shareholders vote against the resolution; however, the outcome of the continuation vote is by no means certain and, as such, the vote represents a material uncertainty in the context of assessing the future prospects of the Company. Notwithstanding this, the Directors have assessed the viability of the Company over a three year period to March 2023. This period was selected as the Company is subject to a continuation vote every two years and therefore, if the forthcoming continuation vote is passed, a further vote would be required to be put to shareholders in 2022. Depending on the outcome of that subsequent vote the Directors may be required to put forward proposals to wind- up, reorganise or reconstruct the Company. It is not unreasonable to estimate that this process could take up to a further 12 months. In making this assessment the Board also considered the Company's principal risks.

Investment trusts in the UK operate in a well established and robust regulatory environment and the Directors have assumed that:

• Investors will continue to want to invest in closed-end investment trusts because the fixed capitalisation structure is better suited to pursuing the Investment Manager's proprietary long term PMV investment strategy;

• The Company's remit of investing predominantly in the securities of U.S. listed companies will continue to be an activity to which investors will wish to have exposure. (Many closed-end funds were originally created in the UK to facilitate investment in the "New World.")

As with all investment vehicles, there is a risk that the performance of individual investments will vary and that capital may be lost, but this is not regarded as a threat to the viability of the Company. Operationally, the Company retains title to all assets, and cash and securities are held with a custodian bank approved by the Manager and the Board.

The nature of the Company's investments means that solvency and liquidity risks are low because the portfolio is invested mainly in readily realisable listed securities:

• The closed-end nature of the Company means that, unlike an open-ended fund, it does not need to realise investments when shareholders wish to sell their shares; and

• The expenses of the Company are predictable and reasonable in comparison with the assets and there are no capital commitments currently foreseen which would alter that position.

Taking these factors into account, and notwithstanding the potential that the continuation vote could require the Company to be wound up in the next 12 months, the Directors confirm that they have a reasonable expectation that the Company will continue to operate and meet its expenses as they fall due over the next three years.

The Company's portfolio consists of North American investments, accordingly, the Company believes that the "Brexit" process will not materially affect the prospects for the Company, but the Board and Investment Manager will continue to keep developments under review.

The COVID-19 pandemic initially had a significant impact on world stockmarkets; however, with the pandemic being brought under control, stockmarkets have recovered initial losses. The Board will continue to monitor development but it does not expect COVID-19 to impact the future viability of the Company.

Future developments

The future of the Company is dependent upon the success of the investment strategy. The outlook for the Company is discussed in the Chairman's Statement, Investment Manager's Report, the viability statement and the going concern statement.

Board Diversity

When recruiting a new Director, the Board's policy is to appoint individuals on merit. The Board believes diversity is important in bringing an appropriate range of skills, knowledge and experience to the Board and gives that consideration when recruiting new Directors.

As at 31 March 2020 there were three male Directors and one female Director on the Board.

Employees, Social, Community and Human Rights Issues

As an investment vehicle the Company has no employees and accordingly it has no direct social or community impact and limited environmental impact from its operations. However, the Company believes that it is in shareholders' interests to consider human rights issues, environmental, social and governance factors when selecting and retaining investments.

The Chairman's Statement, the Investment Managers Report and the portfolio analysis also form part of this Strategic Report.

The Strategic Report was approved by the Board on 1 July 2020.

On behalf of the board

Peter Dicks

Chairman

1 July 2020

Statement of Directors' Responsibilities in respect of the financial statements

The directors are responsible for preparing the Annual Report and the financial statements in accordance with applicable law and regulation.

Company law requires the directors to prepare financial statements for each financial year. Under that law the directors have prepared the financial statements in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 "The Financial Reporting Standard applicable in the UK and Republic of Ireland", and applicable law). Under company law the directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of the company and of the profit or loss of the company for that period. In preparing the financial statements, the directors are required to:

• select suitable accounting policies and then apply them consistently;

• state whether applicable United Kingdom Accounting Standards, comprising FRS 102, have been followed, subject to any material departures disclosed and explained in the financial statements;

• make judgements and accounting estimates that are reasonable and prudent; and

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the company will continue in business.

The directors are also responsible for safeguarding the assets of the company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

The directors are responsible for keeping adequate accounting records that are sufficient to show and explain the company's transactions and disclose with reasonable accuracy at any time the financial position of the company and enable them to ensure that the financial statements and the Directors' Remuneration Report comply with the Companies Act 2006.

The directors are responsible for the maintenance and integrity of the company's website. Legislation in the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

Directors' confirmations

The directors consider that the annual report and accounts, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the company's position and performance, business model and strategy.

Each of the directors, whose names and functions are listed in Board of Directors section confirm that, to the best of their knowledge:

• the company financial statements, which have been prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 "The Financial Reporting Standard applicable in the UK and Republic of Ireland", and applicable law), give a true and fair view of the assets, liabilities, financial position and loss of the company; and

• the Directors' Report includes a fair review of the development and performance of the business and the position of the company, together with a description of the principal risks and uncertainties that it faces.

In the case of each director in office at the date the Directors' Report is approved:

• so far as the director is aware, there is no relevant audit information of which the company's auditors are unaware; and

• they have taken all the steps that they ought to have taken as a director in order to make themselves aware of any relevant audit information and to establish that the company's auditors are aware of that information.

On behalf of the Board

Peter Dicks

Chairman of the Board

1 July 2020

STATEMENT OF COMPREHENSIVE INCOME

The total columns of this statement are the profit and loss accounts of the Company for the respective periods.

The revenue and capital items are presented in accordance with the AIC's Statement of Recommended Practice ('SORP') 2014, and updated 2019.

All revenue and capital items in the above statement derive from continuing operations.

No operations were acquired or discontinued in the year ended 31 March 2020.

The notes form part of these financial statements.

STATEMENT OF CHANGES IN EQUITY

* These reserves are distributable.

The notes form part of these financial statements.

STATEMENT OF FINANCIAL POSITION

* These reserves are distributable.

Gabelli Value Plus+ Trust Plc is registered in England and Wales under Company number 9361576.

The financial statements were approved by the Board of Directors on 1 July 2020 and signed on its behalf by

Peter Dicks

Chairman

The notes form part of these financial statements.

NOTES TO THE FINANCIAL STATEMENTS

1 Accounting policies

(a) Basis of preparation - For the year ended 31 March 2020, the Company applied FRS 102 - The Financial Reporting Standard applicable in the UK and Republic of Ireland, which forms part of the revised Generally Accepted Accounting Practice (UK GAAP) issued by the Financial Reporting Council ('FRC') in 2015.

As noted in the Company's Notice of Annual Results announcement, released on 15 June 2020, the Board of Directors, with one abstention, is recommending that shareholders vote against continuation of the Company. That decision was reached after consultation with a range of shareholders and reflects, among other points, disappointment with the Company's performance since launch. A vote of 50% plus 1 of votes cast in favour at the AGM is required for continuation

The voting will be such that if the relevant continuation resolution is not passed, the Board of Directors of the Company will be required to put forward to shareholders plans to wind-up, reorganise or reconstruct the Company.

As such, the outcome of the continuation vote at the AGM on 30 July 2020 represents a material uncertainty which may cast significant doubt on the Company's ability to continue as a going concern. The financial statements do not include the adjustments that would result if the company was unable to continue as a going concern. In arriving at the decision on the basis of preparation, the Board has considered the financial position of the Company, its cash cashflow and liquidity position as well as the uncertainty surrounding the outcome of the continuation vote.

If it were not appropriate to prepare the financial statements on a going concern basis of accounting then adjustments would be required to reclassify all assets as current, and a provision for further liabilities, including liquidation costs, would be made. In the Directors' opinion the impact of these adjustments on the financial statements is not expected to be significant.

For the year ended 31 March 2020, the Company applied FRS 102 - The Financial Reporting Standard applicable in the UK and Republic of Ireland, which forms part of the revised Generally Accepted Accounting Practice (UK GAAP) issued by the Financial Reporting Council ('FRC') in 2015.

These financial statements have been prepared on a going concern basis in accordance with the Disclosure Guidance and Transparency Rules of the Financial Conduct Authority, FRS 102 issued by the FRC in September 2015, the revised Statement of Recommended Practice "Financial Statements of Investment Trust Companies and Venture Capital Trusts" (SORP) issued by the AIC in November 2014 and updated in October 2019 and Companies Act 2006.

Statement of estimation uncertainty - In the application of the Company's accounting policies, the Investment Manager is required to make judgements, estimates, and assumptions about carrying values of assets and liabilities that are not always readily apparent from other sources. The estimates and associated assumptions are based on historical experience and other factors that are considered to be relevant. Actual results may vary from these estimates. There have been no significant judgements, estimates, or assumptions for the year.

Cash flow statement - The statement of cash flows has not been included in the financial statements as the Company meets the conditions set out in paragraph 7.1A of FRS 102, which state that a statement of cashflows is not required to be provided by investment funds that meet all of the following conditions:

(i) substantially all of the entity's investments are highly liquid;

(ii) substantially all of the entity's investments are carried at market value; and

(iii) the entity provides a statement of changes in net assets."

(b) Income recognition - Revenue from investments (other than special dividends), including taxes deducted at source, is included in revenue by reference to the date on which the investment is quoted ex-dividend, or where no ex-dividend date is quoted, when the Company's right to receive payment is established. Franked investment income is stated net of the relevant tax credit. Other income includes any taxes deducted at source. Special dividends are credited to capital or revenue, according to the circumstances. Scrip dividends are treated as unfranked investment income; any excess in value of the shares received over the amount of the cash dividend is recognised as a capital item in the Statement of Comprehensive Income.

(c) Expenses - The investment management fees are allocated seventy-five percent to capital and twenty-five percent to revenue in the Statement of Comprehensive Income in accordance with the Board's expected long term split of returns in the form of capital gains and revenue, respectively. Interest receivable and payable and management expenses are treated on an accruals basis. All other expenses are charged to revenue except where they directly relate to the acquisition or disposal of an investment, in which case, they are added to the cost of the investment or deducted from the sale proceeds.

(d) Cash and cash equivalents - Cash comprises cash on hand and on demand deposits. Cash equivalents are short-term, highly liquid investments that are readily convertible to known amounts of cash.

(e) Investments - Investments have been designated upon initial recognition at fair value through profit or loss. Investments are recognised and de-recognised at trade date where a purchase or sale is under a contract whose terms require delivery within the time frame established by the market concerned, and are initially measured at fair value. Subsequent to initial recognition, investments are valued at fair value. Movements in the fair value of investments and gains/losses on the sale of investments are taken to the Statement of Comprehensive Income as capital items. The Company's investments are classified as held at fair value through profit or loss in accordance with Section 11 and Section 12 of FRS 102.

The Company's listed investments are fair valued using the closing bid price of the valuation date.

(f) Foreign currency - Foreign currencies are translated at the rates of exchange prevailing on the year end date. Revenue received/receivable and expenses paid/payable in foreign currencies are translated at the rates of exchange prevailing at the transaction date.

(g) Fair value - All financial assets and liabilities are recognised in the financial statements at fair value.

(h) Dividends payable - Interim dividends are recognised in the period in which they are paid. Final dividends are not recognised until approved by the shareholders in the general meeting.

(i) Capital reserve - Capital distributions received, realised gains or losses on investments that are readily convertible to cash, and capital expenses are transferred to the capital reserve. Share buybacks are funded through the capital reserve, with details of buybacks disclosed in note 10.

(j) Taxation - The tax effect of different items of income/gains and expenditure/losses is allocated between revenue and capital on the same basis as the particular item to which it relates, under the marginal method, using the Company's effective rate of tax. Deferred taxation is recognised in respect of all timing differences that have originated but not reversed at the year end date where transactions of events that result in an obligation to pay more or a right to pay less tax in future have occurred at the year end date measured on an undiscounted basis and based on enacted tax rates. This is subject to deferred tax assets only being recognised if it is considered more likely than not that there will be suitable profits from which the future reversal of the underlying timing differences can be deducted. Timing differences are differences arising between the Company's taxable profits and its results as stated in the accounts which are capable of reversal in one or more subsequent periods.

(k) Functional and presentation currency - The functional and presentation currency of the Company is GBP sterling.

(l) Alternative Performance Measures ("APM's")

The Company's APMs are set out in the glossary in the Annual Report.

2 Investments held at fair value through profit or loss

The company received £73,761,000 (2019: £105,940,000) from investments sold in the year. The book cost of these investments when they were purchased was £68,818,000 (2019: £95,417,000).

Fair value hierarchy

The Company has adopted the 'Amendments to FRS 102 - Fair value hierarchy disclosure', where an entity is required to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy shall have the following levels:

• Level 1 - The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date.

• Level 2 - Inputs other than quoted prices included within Level 1 that are observable, i.e., developed using market data, for the asset or liability, either directly or indirectly.

• Level 3 - Inputs are unobservable, i.e., for which market data is unavailable, for the asset or liability.

The financial assets measured at fair value through profit or loss in the financial statements are grouped into the fair value hierarchy as follows:

Net realised and unrealised (losses)/gains on investments

Transaction costs

During the year, commissions (paid mostly to G.research, LLC, an affiliate of the Investment Manager) and other expenses were incurred in acquiring or disposing of investments classified at fair value through profit or loss. These have been expensed through capital and are within gains/(losses) in the Statement of Comprehensive Income. The total costs were as follows:

3 Management fees and other expenses

* Includes an amount of £3,000 which relates to employer costs of National Insurance.

Details of the contract between the Company and Gabelli Funds, LLC for provision of investment management services are given in the Directors' Report contained in the Annual Report and Financial Statements.

4 Dividends

5 Taxation on ordinary activities

The effective corporation tax rate was 19% (2019:19%). The tax charge for the year differs from the charge resulting from applying the standard rate of corporation tax in the UK for an investment trust company. The differences are explained below.

At the year end, after offset against income taxable on receipt, there is a potential deferred tax asset of £1,560,390 (2019: £1,117,083) in relation to surplus tax reliefs. It is unlikely that the Company will generate sufficient taxable profits in the future to utilise these amounts and therefore no deferred tax asset has been recognised.

Due to the Company's status as an investment trust and the intention to continue to meet the conditions required to obtain approval in the foreseeable future, the Company has not provided deferred tax on capital gains and losses arising on the revaluation or disposal of investments.

6 Return per ordinary share and net asset value

The return and net asset value per ordinary share are calculated with reference to the following amounts:

7 Cash and cash equivalents

8 Receivables: amounts falling due within one year

None of the Company's receivables were past due or impaired as at the year end date.

9 Payables: amounts falling due within one year

10 Called up share capital

During the year ended 31 March 2020, 1,424,500 shares (31 March 2019: 244,308) were bought back into treasury at a cost of £1,813,513 (31 March 2019: £307,432).

11 Financial risk management

The Company's financial instruments comprise securities and other investments, cash balances, receivables, and payables that arise directly from its operations; for example, in respect of sales and purchases awaiting settlement, and receivables for accrued income. The Company also has the ability to enter into derivative transactions in the form of forward foreign currency contracts, futures, and options, for the purpose of managing currency and market risks arising from the Company's activities. No derivatives transactions were undertaken during the year.

The main risks the Company faces from its financial instruments are (i) market price risk (comprising interest rate risk, currency risk, and other price risk), (ii) liquidity risk, and (iii) credit risk.

The Board regularly reviews, and agrees upon, policies for managing each of these risks. The Manager's policies for managing these risks are summarised below and have been applied throughout the year. The numerical disclosures exclude short term receivables and payables, other than for currency disclosures.

(i) Market price risk

The fair value or future cash flows of a financial instrument held by the Company may fluctuate because of changes in market prices. This market risk comprises three elements - interest rate risk, currency risk, and other price risk.

Interest rate risk

Interest rate movements may affect the level of income receivable and payable on cash deposits.

The possible effects on fair value and cash flows that could arise as a result of changes in interest rates are taken into account when making investment decisions.

Interest risk profile

The interest rate risk profile of the portfolio of financial assets and liabilities at the year end date was as follows:

Interest rate sensitivity

The sensitivity analyses below have been determined based on the exposure to interest rates for both derivative and non-derivative instruments at the year end date and the stipulated change taking place at the beginning of the financial year and held constant throughout the reporting year in the case of instruments that have floating rates.

If interest rates had been 10 (2019: 75) basis points higher or lower and all other variables were held constant, the Company's profit or loss for the reporting year to 31 March 2020 would increase / decrease by £12,000 (2019: £6,000). This is mainly attributable to the Company's exposure to interest rates on its floating rate cash balances.

As at 31 March 2020 an interest rate of 0.10% is used, given the prevailing Bank of England base rate 0.10%. This level is considered possible based on observations of market conditions and historic trends.

Foreign currency risk

The Company's investment portfolio is invested mainly in foreign securities and the year end can be significantly affected by movements in foreign exchange rates. It is not the Company's policy to hedge this risk on a continuing basis but the Company may, from time to time, match specific overseas investments with foreign currency borrowings.

The revenue account is subject to currency fluctuation arising from overseas income.

Foreign currency risk exposure by currency of denomination:

The asset allocation between specific markets can vary from time to time based on the Manager's opinion of the attractiveness of the individual markets.

Foreign currency sensitivity

The following table details the Company's sensitivity to a 15% increase and decrease in sterling against the relevant foreign currencies and the resultant impact that any such increase or decrease would have on net return before tax and equity shareholders' funds. The sensitivity analysis includes only outstanding foreign currency denominated monetary items and adjusts their translation at the year end for a 15% change in foreign currency rates.

Other price risk

Other price risks, i.e., changes in market prices other than those arising from interest rate or currency risk, may affect the value of the quoted investments.

The Investment Manager actively monitors market prices throughout the year and reports to the Board, which meets regularly to review investment strategy. The investments held by the Company are listed on recognised stock exchanges.

Other price risk sensitivity

If market prices at the year end date had been 15% higher or lower while all other variables remained constant, the return attributable to ordinary shareholders for the year ended 31 March 2020 would have increased / decreased by £13,484,000. The calculations are based on the portfolio valuations as at the year end date, and are not representative of the year as a whole.

(ii) Liquidity risk

This is the risk that the Company will encounter difficulty in meeting obligations associated with financial liabilities. All creditors are payable within three months.

Liquidity risk is not considered to be significant as the Company's assets comprise mainly readily realisable securities, which can be sold to meet funding commitments if necessary.

(iii) Credit risk

This is the risk of failure of the counterparty to a transaction to discharge its obligations under that transaction that could result in the Company suffering a loss.

The risk is managed as follows:

• Investment transactions are carried out mainly with one broker, G.research, LLC, whose credit ratings are reviewed periodically by the Investment Manager.

• Most transactions are made delivery versus payment on recognised exchanges.

• Cash is held only with reputable banks.

The maximum credit risk exposure as at 31 March 2020 was £12,603,000 (2019: £1,260,000) This was due to cash and receivables as per notes 7 and 8.

12 Capital management policies and procedures

The Company's capital management objectives are:

• to ensure that the Company will be able to continue as a going concern; and

• to maximise the revenue and capital return to its equity shareholders through an appropriate balance of equity capital and debt.

The Board monitors and reviews the broad structure of the Company's capital on an ongoing basis. This review includes the nature and planned level of gearing, which takes account of the Investment Manager's views on the market and the extent to which revenue in excess of that which is required to be distributed under the investment trust rules should be retained.

The analysis of shareholders' funds is as follows:

* These reserves are distributable.

13 Alternative Investment Fund Managers ("AIFM") Directive

In accordance with the Alternative Investment Fund Managers Directive ("AIFMD"), the Company is an Alternative Investment Fund ("AIF") and has appointed Gabelli Funds, LLC as its Alternative Investment Fund Manager (the "AIFM") to provide portfolio management and risk management services to the Company in accordance with the investment management agreement.

The Company is categorised as an externally managed European Economic Area ("EEA") domiciled AIF for the purposes of the AIFMD. Since the Investment Manager is a non-EEA AIFM, the Investment Manager is only subject to the AIFMD to the extent that it markets an EEA AIF in the EEA. Accordingly, the Investment Manager is required to make only certain financial and nonfinancial disclosures.

The Company's maximum leverage levels at 31 March 2020 are shown below:

The leverage limits are set by the AIFM and approved by the Board and are in line with the maximum leverage levels permitted in the Company's Articles of Association. The AIFM is also required to comply with the gearing parameters set by the Board in relation to borrowings.

14 Related party transactions

During the year ended 31 March 2020, with the exception of Investment Management fees, Directors' remuneration, Directors' shareholdings, secretarial fees, and other administrative fees, the Company paid brokerage commissions on security trades of £76,776 (2019: £128,191) to G.research, LLC, an affiliate of the Investment Manager.

15 Contingent Liabilities and Commitments

As at 31 March 2020, the Company had no contingent liabilities or commitments (31 March 2019: Nil).