CCSL.L Regulatory News (CCSL)

Chenavari Capital Solutions Limited

(a closed-ended investment company limited by shares incorporated under the laws of

Guernsey with registered number 56977)

Audited Annual Financial Statements

For the year ended 30 September 2015

Contents

Highlights for the year ended 30 September 2015 (the "Year")

Corporate Summary

General Information

Chairman's Statement

Investment Manager's Report

Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges

Report of the Directors

AIFM's Report to Shareholders

Corporate Governance Report

Statement of Principal Risks and Uncertainties

Audit Committee Report

Directors' Remuneration Report

Statement of Directors' Responsibilities

Commodity Exchange Affirmation Statement

Independent Auditor's Report to the Members of Chenavari Capital Solutions Limited

Statement of Comprehensive Income

Statement of Financial Position

Statement of Changes in Equity

Statement of Cash Flows For the year ended 30 September 2015

Condensed Schedule of Investments, at Fair Value

Notes to the Financial Statements

FORWARD-LOOKING STATEMENTS

This annual report includes statements that are, or may be considered, "forward-looking statements". These forward-looking statements can be identified by the use of forward-looking terminology, including the terms "believes", "estimates", "anticipates", "plans", "expects", "targets", "aims", "intends", "may", "will", "can", "can achieve", "would" or "should" or, in each case, their negative or other variations or comparable terminology. These forward-looking statements include all matters that are not historical facts. They appear in a number of places throughout this annual report, including in the Chairman's Statement. They include statements regarding the intentions, beliefs or expectations of the Company or the Investment Manager concerning, among other things, the investment objectives and investment policies, financing strategies, investment performance, results of operation, financial condition, liquidity prospects, dividend policy and targeted dividend levels of the Company, the development of its financing strategies and the development of the markets in which it, directly and through special purpose vehicles, will invest in and issue securities and other instruments. By their nature, forward-looking statements involve risks and uncertainties because they relate to events and depend on circumstances that may or may not occur in the future. Forward-looking statements are not guarantees of future performance. The Company's actual investment performance, results of operations, financial condition, liquidity, dividend policy and dividend payments and the development of its financing strategies may differ materially from the impression created by the forward-looking statements contained in this document. In addition, even if the investment performance, results of operations, financial condition, liquidity, dividend policy and dividend payments of the Company and the development of its financing strategies are consistent with the forward-looking statements contained in this document, those results or developments may not be indicative of results or developments in subsequent periods. Important factors that may cause differences include, but are not limited to: changes in economic conditions generally and in the structured finance and credit markets particularly; fluctuations in interest and currency exchange rates, as well as the degree of success of the Company's hedging strategies in relation to such changes and fluctuations; changes in the liquidity or volatility of the markets for the Company's investments; declines in the value or quality of the collateral supporting many of the Company's investments; legislative and regulatory changes and judicial interpretations; changes in taxation; the Company's continued ability to invest its cash in suitable investments on a timely basis; the availability and cost of capital for future investments; the availability of suitable financing; the continued provision of services by the Investment Manager and the Investment Manager's ability to attract and retain suitably qualified personnel; and competition within the markets relevant to the Company. These forward-looking statements speak only as at the date of this annual report. Subject to its legal and regulatory obligations, the Company expressly disclaims any obligations to update or revise any forward-looking statement (whether attributed to it or any other person) contained herein to reflect any change in expectations with regard thereto or any change in events, conditions or circumstances on which any statement is based. The Company qualifies all such forward-looking statements by these cautionary statements.

Highlights for the year ended 30 September 2015 (the "Year")

· During the Year, the Company produced a net asset value ("NAV") total return of 7.68% (dividends reinvested)

· The NAV per Share rose from 97.90 pence at 30 September 2014 to 99.41 pence at 30 September 2015 .

· Dividends of 7.50 pence per Ordinary Share ("Share") were paid in respect of the Year, of which 4.55 pence per Share was paid during the Year with a fourth dividend of 2.95 pence per Share for the Year paid on 27 November 2015.

· The Company's mid-market share price at 30 September 2015 was 98.25 pence, representing a discount to NAV of 1.17%.

· The profit of the Company for the Year was £9.5 million, or 7.31 pence per Share, taking into account recognition of the following significant items:

o total net income of £11.4 million.

o total operating expenses of £1.9 million.

· During the Year, the Company invested £65.0 million in bank capital solutions transactions through the purchase of seven primary transactions for a total of £50.9 million and four secondary transactions for a total of £14.1 million.

· At 30 September 2015, the Company was 92% invested in fifteen positions including eleven primary transactions valued at £92.4million and four secondary transactions valued at £27.1 million.

Corporate Summary

For the year ended 30 September 2015

The Company

Chenavari Capital Solutions Limited (the "Company") is a closed-ended Collective Investment Scheme registered pursuant to The Protection of Investors (Bailiwick of Guernsey) Law, 1987, as amended (the "Law") and the Registered Collective Investment Scheme Rules 2008 issued by the Guernsey Financial Services Commission (the "Commission").

The IPO of the Company raised gross proceeds of £130.3 million and the Company's Shares were admitted to trading on the Specialist Fund Market of the London Stock Exchange ("SFM") and Channel Island Stock Exchange ("CISX") on 7 October 2013. On 11 August 2014 the Company delisted its Shares from the CISX successor exchange, the Channel Islands Security Exchange Authority Limited ("CISEAL") as the CISEAL listing was no longer required to ensure that the Shares were eligible for UK ISAs.

Investment objective and policy

The investment objective of the Company is to provide Shareholders with an attractive return, while limiting downside risk, through investment in bank capital solutions transactions primarily with UK and European banks.

Target returns and dividend policy

The Company expects to target a NAV total net return to investors of 8-10% per annum over the life of the Company and to minimise cash drag to less than 10% of NAV. Returns to Shareholders will be predominantly as dividend income.

The Investment Manager and Investment Adviser

The Company's Investment Manager is Chenavari Investment Managers (Luxembourg) S.àRL (as renamed from Toro S.àRL on 26 June 2015), a non-cellular company incorporated in Luxembourg under registered number B 0143992, and is licenced and regulated by the Commission de Surveillance du Secteur Financier ("CSSF") in Luxembourg to undertake the activities of an Alternative Investment Fund Manager ("AIFM"). The Investment Manager is a wholly owned entity within the Chenavari Group.

The Investment Manager has appointed Chenavari Credit Partners LLP (the "Investment Adviser"), which is also a member of the Chenavari Group, to provide investment advisory services to the Investment Manager. The Investment Adviser is a limited liability partnership incorporated in England and Wales under registered number OC337434 and is regulated and authorised in the UK by the FCA under registration number 484392 and in the United States by the SEC under Investment Adviser registration number 801/72662.

Asset Values

At 30 September 2015, the Company's NAV was £129.5 million, with the NAV per Share amounting to 99.41 pence. The Company publishes its NAV on a monthly basis. The NAV is calculated as the Company's assets at fair value less liabilities, measured in accordance with International Financial Reporting Standards.

Duration

The Company has an indefinite life.

Website

The Company's website address is www.chenavaricapitalsolutions.com 

Listing Information

The Company's Shares are admitted to trading on the SFM.

The ISIN number of the Shares is GG00BCHWW517 and the SEDOL is BCHWW51.

The closing price of the Shares quoted on the SFM at 30 September 2015 was 98.25 pence per Share.

The average closing price of the Shares over the year to 30 September 2015 was 100.23 pence per Share.

General Information

* Appointed Director on 21 July 2015 and Chairman on 1 November 2015

** On 5 May 2015, the Company announced with great sadness the death of Trevor Hunt. Iain Stokes served as acting Chairman until 1 November 2015 when Rob King was appointed as the Company's Chairman.

*** The Investment Manager and AIFM changed its name from Toro S.àRL to Chenavari Investment Managers (Luxembourg) S.àRL on 26 June 2015 and was authorised by the CSSF on the same date.

Chairman's Statement

Introduction

On behalf of the Board, I am pleased to present my first report on the Company's progress for the year ended 30 September 2015. Firstly I would like to thank Iain Stokes for his extensive contribution as acting Chairman following the untimely death of our previous Chairman, Trevor Hunt.

During the Year, the Company invested a further £65.0 million through the purchase of seven primary transactions for a total of £50.9 million and four secondary transactions for a total of £14.1 million and as at 30 September 2015, the Company was 92% invested in fifteen positions, with its free cash position being £4.4 million.

Results of Investment Period Extension

On the 24 November 2015 we wrote to Shareholders seeking their approval to extend the investment period for the Company until 31 December 2016. I am pleased to confirm that at the Extraordinary General Meeting ("EGM") held on 18 December 2015, Shareholders approved the extension to the investment period to 31 December 2016, although the extended investment period will cease before 31 December 2016, with immediate effect, if the Company does not:

· declare and pay, by 29 February 2016, a dividend of at least two pence per Share in respect of the three months to 31 December 2015; and

· declare and pay, by 31 May 2016, a dividend of at least two pence per Share in respect of the three months to 31 March 2016.

During the Extended Investment Period, the Directors will seek to ensure that any issues of Shares for cash will not result in the portfolio attributable to the Shares being less than 75% invested.

I would like to take this opportunity to thank Shareholders for their continued support of the Company, its investment strategy and the Investment Manager and Investment Advisor.

Share Performance

During the Year the Shares have moved from a premium to NAV of 8.7% on 30 September 2014 to trade at a discount of 1.17% as 30 September 2015. The Board continue to monitor the Share Price discount to NAV and will give consideration to purchasing Shares under the policy set out in the Prospectus where the market price of a Share trades at more than 7.5% below the latest published NAV per Share for more than 90 days.

The Net Asset Value per Share was 99.41 pence at 30 September 2015.

During the year ended 30 September 2015, the Company's NAV increased by 7.68% (dividends reinvested) and was up 12.92% since inception (net of issue costs and with dividends reinvested).

Dividends

The Company announced in the 31 March 2015 unaudited interim financial statements, its intention to pay three quarterly payments at a similar level and a special dividend for the fourth quarter to 30 September each year, as necessary to ensure that the Company distributes all its realised revenue from investments, net of expenses, by way of dividends each financial year. For the Year, the Company has declared and paid four dividends totalling 4.55 pence per Share (1.35 pence per Share on 20 February 2015 for the period ending 31 December 2014, 1.20 pence per Share on 22 May 2015 for the period ending 31 March 2015 and 2.00 pence per Share on 21 August 2015 for the period ending 30 June 2015). Following the year end, the Company announced a dividend of 2.95 pence per Share for the final period of the Company's financial year which was paid 27 November 2015.

The Board notes that a condition of Shareholder approval to extend the Company's investment period to 31 December 2016, is the payment of a dividend of at least 2.00 pence per Share in respect of each of the periods ending 31 December 2015 and 31 March 2016, by 29 February 2016 and 31 March 2016 respectively.

Financial Performance

For the Year, the Company generated a profit of £9.5 million or earnings of 7.31 pence per Share.

The Company's mid-market share price at 30 September 2015 was 98.25 pence representing a discount to NAV of 1.18%.

Chairman's Statement (continued)

Investment Portfolio and Performance

The details of the portfolio and performance are set out in the Investment Managers Report on pages 9 to 11 of these financial statements. The Board continue to be pleased with the active management under taken on behalf of the Company by the Investment Manager.

Foreign Account Tax Compliance Act

The Company has registered under the U.S. Foreign Account Tax Compliance Act (" FATCA") and has received a GIIN which is RTQKH5.99999.SL.831.

Alternative Investment Fund Managers Directive

The Company is considered to be an Alternative Investment Fund ("AIF") under the Alternative Investment Fund Managers Directive ("AIFMD") and is managed by Chenavari Investment Managers (Luxembourg) S.àRL as Alternative Investment Fund Manager ("AIFM"). Quintillion Limited, the Company's Sub-Administrator, was appointed as Depositary for the Company with effect from 1 October 2015, and undertakes Article 36 Custodian duties alongside Elavon Financial Services Limited and JP Morgan Chase Bank NA Jersey Branch..

Board Review

Following my appointment as a Director of the Company, the Board undertook a review of its own performance and an evaluation of the operations the Company's service providers. This is detailed further on pages 20 to 23.

We also noted Shareholder responses from the Annual General Meeting ("AGM") held on 13 March 2015 in that Mr Mouchotte, by virtue of his directorship of the Investment Manager and other funds managed within the Chenavari Group, is not considered independent. Given Mr Mouchotte's extensive investment experience, the independent Directors are of the opinion that Shareholder interests are best served through Mr Mouchotte's continued appointment and his contribution is considered to be an integral part of the Board's decision making process.

Outlook

Further to Shareholder support in extending the investment period of the Company to 31 December 2016, the Board is of the opinion that there are attractive, risk adjusted investment opportunities as we seek to continue the positive performance of the Company.

Annual General Meeting

The AGM of the Company will be held at noon on 16 March 2016 and Shareholders are invited to attend.

Rob King

Non-executive Chairman

13 January 2016

Investment Manager's Report

Investment Review

The Company launched with £130.3 million gross proceeds in October 2013. As of 30 September 2015, the Company was 92% invested.

The sector allocation as of 30 September 2015 reflected the anticipated target portfolio with a significant representation of corporate and SME loans. 

Geographically the portfolio diversification increased as the consequence of new investment and amortizing positions.

As at 30 September 2015, the top five holdings were the following:

Investment Manager's Report (continued)

Performance

During the year from 1 October 2014 to 30 September 2015, the Company's NAV performance (dividends reinvested) was 7.68%.

The month-on-month performances since inception, dividends reinvested, were the following:

Since inception, the Company recorded the following dividends:

On 27 November 2015, the Company paid a dividend of 2.95 pence per Share for the period to 30 September 2015.

During the Year, the Company invested £65.0 million in bank capital solutions transactions through the purchase of seven primary transactions for a total of £50.9 million and four secondary transactions for a total of £14.1 million. The primary transactions are summarised as follows:

In October 2014, the Company closed a €21.6m investment in a portfolio of Spanish real estate exposure (secured loans and residential properties) which was divested by a Spanish bank. The portfolio was purchased at a significant discount to par and under the base cash flow scenario offers double digit unlevered returns.

In December 2014, the Company closed an €8.6m first loss regulatory capital investment in a static portfolio of Italian SME exposure, originated by a large Italian corporate and investment bank. This was the first investment for the Company in an exclusively Italian portfolio, and the bank's underwriting, monitoring and work-out processes were fully examined.

In February 2015, the Company invested £5.1 million in a bilateral transaction from a highly rated European Corporate and Investment Bank that provides exposure to a portfolio of prime UK residential mortgage loans. The portfolio comprises prime and buy-to-let mortgage loans backed by residential properties located primarily in central London. The portfolio is expected to generate a strong double digit return with robust downside protection and the transaction benefits from attractive limited recourse bank financing that allows the Company to monetize the purchase price discount over a short period of time as well as receive excess spread.

In March 2015 the Company completed its investment of £14.0 million in a thick first loss tranche providing exposure to a portfolio of large corporate loans originated by a UK corporate and investment bank. The majority of the corporate borrowers in the portfolio are large UK companies, and over 60% of borrowers in the initial pool are either FTSE 100 or FTSE 250 listed entities. The purchased exposure benefits from robust downside protection due to a high detachment point, and a stop-replenishment trigger if defaults reach a certain level.

In May 2015, the Company invested €16.0 million in a thick first loss tranche providing exposure to a revolving €2.35 billion portfolio of mid-market corporate loans originated by a German corporate and investment bank. The portfolio will be subject to replenishment for 5.5 years and benefits from solid origination and robust downside protection due to the high detachment point of the tranche.

Investment Manager's Report (continued)

In June 2015, the Company invested €4.5million, in a first-loss exposure to a diversified portfolio of SME loans extended by a large Italian corporate and investment bank. The loan portfolio is highly granular and is primarily located in Northern Italy. The portfolio is static, and the amortising nature of the loans causes the first-loss risk to de-lever over time. The investment benefits from solid underwriting and the originator's a strong local presence in the Italian market, as well as a comprehensive set of work-out strategies.

In September 2015, the Company invested €4.0 million in a portfolio of non-performing residential mortgage loans and repossessed real estate assets across Spain. The total portfolio has an outstanding balance of €437.0m and was purchased at a significant discount to both the outstanding balance and the revised real estate valuation.  The investment was priced to a double digit return under a base case that is conservative in terms of resolution strategy, house price appreciation and transaction costs, while still achieving a positive return in a scenario at which properties are realised at "fire-sale" valuations.

Investment Outlook

 The Investment Manager continues to see opportunities to reinvest the proceeds of redeeming and amortising transactions at rates of return in line with the Company's stated targets. The focus continues to be on risk sharing transactions with bank counterparties while opportunities in portfolio acquisitions and warehousing transactions will be considered if the risk return profile is attractive.

The pipeline looks strong and we believe it will continue to build throughout Q1 2016 as issuers launch new transaction processes. This should result in multiple investment opportunities over the coming months. The transactions that we are currently working on include an Italian SME equity tranche, a corporate loan tranche from a French bank, a portfolio of Spanish performing mortgage loans and an Austrian SME mezzanine tranche.

Chenavari Investment Managers (Luxembourg) S.àRL

Investment Manager

13 January 2016

Board of Directors

Directors

The Directors are responsible for the determination of the Company's investment objective and investment policy and have overall responsibility for the Company's activities including the review of investment activity and performance and the control and supervision of the Investment Manager. All of the Directors are non-executive and, save for René Mouchotte (as described below), are independent of the Investment Manager and the Investment Adviser.

The Directors meet at least four times per annum.

The Directors are as follows:

Robert King (aged 52)

Rob is a non-executive director for a number of open and closed ended investment funds and companies including JPMorgan Senior Secured Loans Fund Limited, Threadneedle UK Select Fund Limited and Weiss Korea Opportunities Fund Limited. Prior to becoming an independent non-executive director in 2011 he was a Director of Cannon Asset Management Limited and their associated companies, from October 2007 to February 2011. Prior to this he was a Director of Northern Trust International Fund Administration Services (Guernsey) Limited where he had worked from 1990 to 2007. He has been in the offshore finance industry since 1986 specialising in administration and structuring of offshore open and closed ended investment funds. Rob is British and resident in Guernsey.

René Mouchotte, non-executive director (aged 69)

René has over 40 years' experience in senior finance positions. He has held senior positions in various investment banks, including managing director global head of securitisation and tax lease for Credit Agricole Indosuez, Chairman of Eurotitrisation and managing director global head of credit portfolio management for CALYON, independent board member of Banque AIG and has also been a board member of IACPM (International Association of Credit Portfolio Managers) from 2007 to 2009. René is currently an independent board member of Eurotitrisation. He is a non-executive director of Chenavari Investment Managers (Luxembourg) S.àRL a non-cellular company incorporated in Luxembourg, as well as a non-executive director of the Chenavari Multi-Strategy Fund Limited (and of its trading subsidiaries), a Cayman Islands umbrella fund. Both of these entities are members of, or managed by members of, the Chenavari Financial Group. René holds an MS in Engineering from Ecole des Mines, an MBA from Columbia University Graduate School of Business, an MA in Finance and Economics from Institut d'Etudes Politiques de Paris and a Post-Master's degree in Economics from Paris University. René is not considered independent of the Advisers for the purposes of the Company's voluntary compliance with the Listing Rules of the Financial Conduct Authority by virtue of his directorship of the other funds managed within the Chenavari Group.

Iain Stokes, non-executive director (aged 51)

Iain acts as a consultant for Wyvern Partners, an independent corporate advisory firm. In his early career he worked in audit and advisory for BDO before joining Guernsey International Fund Managers Limited (part of Barings) in 1996. Iain joined Mourant International Finance Administration (MIFA) in 2003 and as Group Managing Director, he was a member of the executive team that managed the sale of MIFA to State Street in 2010. He was a Senior Managing Director with State Street Alternative Investment Solutions as Head of Private Equity Product, EMEA until 2012. Iain holds a range of non-executive directorships on fund management and fund investment companies focused on alternative asset strategies. He is a Chartered Certified Accountant, holds the Institute of Directors Diploma in Company Direction and is resident in Guernsey.

Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges

The following summarises the Directors' directorships in other public companies:

Report of the Directors

The Directors are pleased to present their Annual Report and Audited Financial Statements for the year ended 30 September 2015. In the opinion of the Directors, the Annual Report and Audited Financial Statements are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company's performance, business model and strategy.

Incorporation

The Company is a closed-ended limited liability company registered in Guernsey under the Companies (Guernsey) Law, 2008 (as amended) with registered number 56977.

Investment Objective and Policy

The investment objective of the Company is to provide Shareholders with an attractive return, while limiting downside risk, through investment in bank capital solutions transactions primarily with UK and European banks. Returns to Shareholders will be predominantly as dividend income. The investment policy is set out in full in note 1 to the financial statements.

The focus of the Portfolio is on investing in newly issued transactions ("Primary Transactions") referenced to credit exposure although transactions may also be acquired in the secondary market ("Secondary Transactions") where the Investment Adviser identifies attractive opportunities. The Company will invest its assets with the aim of spreading investment risk.

At 30 September 2015, the Portfolio is invested in eleven Primary Transactions and these represent 71.33% of the Company's total assets. The Company has flexibility to invest in bank capital solutions transactions with a range of underlying asset types, including (but not limited to) mortgage loans, corporate and SME loans, asset backed securities, derivatives and counterparty risks. As of 30 September 2015, the Company was 92% invested with a sector allocation that reflects the anticipated target portfolio with a significant representation of corporate and SME loans. 

As of 30 September 2015, no more than 20% of the NAV was exposed to any one Bank Counterparty (calculated on a net basis, taking into account effective credit hedging arrangements entered into by the Company in relation to the relevant Bank Counterparty). The limit of 20% could be increased to 25% net exposure to any one Bank Counterparty where, in the Board's opinion, the relevant Investment Instrument is expected to amortise such that, within one year of investment, the expected capital balance outstanding is less than 20% of NAV, calculated at the time of investment.

Following the extension of the investment period approved by Shareholders at an EGM on 18 December 2015, the Company may continue to invest its cash balances from time to time, and any further monies raised, in accordance with its investment policy, to the extent that such cash is not required for working capital puposes or the payment of dividends in accordance with the Company's dividend policy up to and including 31 December 2016 subject to the restrictions applicable to the extension period. Following the end of the extended investment period, the Company will return to Shareholders any unencumbered cash and such cash balances as arise from time to time as a result, predominantly, of investments maturing in accordance with their terms or otherwise. Amounts required for working capital purposes (including, in particular, a cash reserve for meeting any required margin calls on derivative positions), for the payment of dividends in accordance with the Company's dividend policy and for settling transactions contractually agreed before 31 December 2016, will be excluded from such returns of cash to Shareholders. The Company will not be under any obligation to sell investments before they mature in order to fund returns of cash to Shareholders, but may do so to optimise returns. The precise mechanism for any return of cash to Shareholders will depend upon the relevant factors prevailing at the time and will be at the discretion of the Board, but may include a combination of capital distributions, share repurchases and redemptions. The amount and frequency of such distributions will be at the Company's absolute discretion.

Results

The results for the year ended 30 September 2015 are set out in the Statement of Comprehensive Income on page 38. The profit for the year and total comprehensive income was £9,522,204. (2014: £5,083,793)

Report of the Directors (continued)

Dividends

The table below sets out the Company's dividend history.

The payment of any dividend by the Company is subject to the satisfaction of a solvency test as required by the Companies (Guernsey) Law, 2008 (as amended).

Share Capital

The IPO of the Company raised gross issue proceeds of £130.3 million resulting in 130,300,000 Shares being admitted to trading on the Specialist Fund Market of the London Stock Exchange on 7 October 2013. At 30 September 2015, the Company's issued share capital amounted to 130,300,000 Shares, none of which were held in treasury. No Shares were bought back during the year. The current authority to purchase Shares for cancellation expires on the date of the next AGM which will be held in Guernsey on 16 March 2016.

Discount control

The Company may, subject to compliance with the Companies (Guernsey) Law, 2008 (as amended), purchase its own Shares in the market on an ad hoc basis with a view to addressing any imbalance between the supply of, and demand for, the Shares, to increase the NAV per Share and to assist in minimising any discount to the NAV per Share in relation to where the market price of a Share trades at more than 7.5%. below the latest published NAV per Share for more than 90 days.

Shareholder Information

The NAV will be calculated as of the last Business Day of each month (or at any other times at the Board's discretion) by the Sub-Administrator, based on third party valuations or information supplied by the Bank Counterparties (as applicable) and in consultation with the Advisers. The NAV and the NAV per Share will be published in Pounds Sterling by a RIS announcement and on the website of the Company at www.chenavaricapitalsolutions.com.

Investment Manager

The investment management fee payable to the Investment Manager is paid monthly in arrears at a rate of 1% per annum of NAV, which is based upon the month end NAV and calculated as of the last business day of each month.

The Investment Manager shall be entitled to receive from the Company a performance fee equal to 20%. of realised returns (i.e. dividends and capital repayments/returns) to Shareholders, subject to a hurdle of 7.5%. per annum with a catch up. For the year ended 30 September 2015, no performance fee was paid or accrued for payment to the Investment Manager.

The Board keeps the performance of the Investment Manager under regular review, and the management engagement committee, comprising all Directors, conduct an annual appraisal of the Investment Manager's performance, and makes a recommendation to the Board about the continuing appointment of the Investment Manager. The Investment Manager has executed the investment strategy according to the Board's expectations and it is the opinion of the Directors that the continuing appointment of Chenavari Investment Managers (Luxembourg) S.àRL is in the interests of Shareholders as a whole.

Non-mainstream pooled investments

On 1 January 2014, FCA rules concerning the promotion of non-mainstream pooled investments came into effect. The Board conducts and intends to continue to conduct its affairs so that the Company's Shares will be "excluded securities" under the FCA's new rules. This is on the basis that the Company which is resident outside the EEA, would qualify for approval as an investment trust by the Commissioners for HM Revenue and Customs if resident and listed in the United Kingdom. Promotion of the Company's Shares will not be subject to the FCA's restriction on promotion of non-mainstream pooled investments.

Report of the Directors (continued)

AIFMD

The Company's Investment Manager has received approval from the Commission de Surveillance du Secteur Financier as the Luxembourg Alternative Investment Fund Manager ("AIFM") on 26 June 2015. However, the Company, as a Guernsey registered closed ended fund which is not currently actively marketed in the EEA, is not significantly impacted by the AIFMD (save for certain consequential effects arising from its appointment of an EU domiciled Alternative Investment fund Manager ("AIFM"), such as the requirement to appoint a depositary). The Board acknowledges that if active marketing is undertaken in the EEA the private placement regime requirements for the relevant jurisdiction would need to be met.

FATCA

The Foreign Account Tax Compliance Act (FATCA) was introduced by the US in 2010 to identify and report on US citizens, corporates and trusts who held financial assets - whether US source or not - with financial institutions in other jurisdictions. The intention is to reduce tax evasion by ensuring such assets and the related income were being declared on US tax returns.

The Model I Intergovernmental Agreement (IGA) was developed to overcome the legal issues and practical barriers to implementing 'US FATCA' in many jurisdictions and to reduce some of the burden on financial institutions. The first reporting deadline for financial institutions to file their report with the local tax authorities detailing US 'Specified Persons' was during the second quarter of 2015, which was to be in turn reported to the IRS by 30 September 2015.

The UK adopted a similar approach and developed "UK FATCA" IGAs for reporting equivalent information on UK Specified Persons' accounts held by financial institutions in its Crown Dependencies and Overseas Territories (CDOTs). The first reporting date for UK 'Specified Persons' to be reported to the tax authorities is June 2016, which will then in turn be reported to the HMRC.

Common Reporting Standard

The Common Reporting Standard ("CRS") is a global tax information sharing initiative promoted by the O.E.C.D., similar to FATCA, which is due to come into force on 1 January 2016. Approximately 60 'Early Adopter' (EA) countries have signed up to comply with CRS from 1 January 2016 with a further 40 countries in agreement to comply from 1 January 2017. The requirements of CRS are closely aligned to requirements under a FATCA Model 1 Intergovernmental agreement.

Specialist Fund Market 'SFM' and FATCA/CRS Exemptions

Whilst there are exemptions to reporting interests (holdings) in shares that are 'regularly traded on an established securities market' the UK FATCA and US FATCA rules and supporting guidance interpret this phrase differently and have tests to help establish adherence. The end result is that if the definition cannot be met - and the US IGA specifically suspends it for Investment Entities - some holdings will instead require the application of FATCA due diligence and subsequent reporting of holders. Helpfully some holding types can be treated as excluded accounts for reporting purposes (e.g. the UK's HMRC now excludes CREST holdings), and there is more to be announced. CRS similarly adds further differences and thus complications.

Significant Shareholdings

Shareholders with holdings of more than 3.0% of the Shares of the Company at 30 September 2015 were as follows:

Going Concern

The Directors believe that it is appropriate to adopt the going concern basis in preparing the Financial Statements. In reaching their view, the Directors have considered the Company's holding in cash and cash equivalents and the distribution features of the Company's income generating investments, meaning the Company has adequate financial resources to meet its liabilities as they fall due over a period of at least twelve months from the date of approval of the financial statements.

Report of the Directors (continued)

Report on Viability

The Directors have reviewed the viability of the Company and have based their opinion on the valuation of the assets of the Company as at 30 September 2015, the extension of the investment period to 31 December 2016 and the Company's expected cash flows based on the current portfolio.

Whilst the extension of the investment period is subject to the payment of a dividend of at least 2p per Share in respect of each of the periods ending 31 December 2015 and 31 March 2016 and that any issue of Shares for cash will not result in the portfolio being less than 75% invested, it means the Investment Manager will manage the portfolio with the intention to actively reinvest the proceeds from the disposal of any assets during 2016. Without any further extension, from 1 January 2017, the Company will return to Shareholders any unencumbered cash as arises from time to time, predominately as a result of investments maturing in accordance with their terms or otherwise.

Following the extension of the investment period, the Directors consider that there will not be a significant change to the Company's principal risk profile, that future assets of the Company will have a similar risk profile to its existing assets, that during 2016 the Company will remain at least 75% invested and dividends of at least 2p per Share will be paid, and that target returns to investors will remain in the range of 8-10% per annum. All of the assumptions are based on there being no significant change in the global financial markets and in particular bank capital solutions transactions during 2016.

As detailed in the proposal to Shareholders for the extension of the investment period, the Company's cash flow forecasts indicate that, in the year to 31 December 2016, the existing portfolio may generate in the region of £30 million of cash flows and that these will be first used to meet the Company's ongoing expenses, dividend obligations and working capital requirements.

The Directors have therefore taken a three year view on the viability of the Company and believe this is an appropriate period for which to provide the statement given the Company's investment strategy described above, the simplicity of the business model and the significant working capital margin available. Taking into consideration the above assumptions, and that the Company will continue to meet its liabilities on an on-going basis, the Directors have a reasonable expectation that the Company will be able to continue in operation over the three year period.

The principal risks, which are set out in these financial statements on pages 24 and 25, will continue to be monitored closely.

Directors

The Directors of the Company during the year and at the date of this Report are set out on page 5.

On 5 May 2015, the Company announced with great sadness the death of Trevor Hunt and noted that the Board had resolved that Iain Stokes would serve as acting Chairman until a new appointment could be made. Rob King was appointed as non-executive Director on 21 July 2015 and as Chairman on 1 November 2015.

Directors' and Other Interests

At 30 September 2015 none of the Directors had a direct or indirect holding in the Company.

None of the Directors or any persons connected with them have had a material interest in the Company's transactions or agreements during the year. Mr Mouchotte, by virtue of his directorship of the Investment Manager and other funds managed within the Chenavari Group is not considered independent of the Adviser.

In December 2015 the Directors acquired the following interests in Shares: Mr King 30,000, Mr Stokes 40,000 and Mr Mouchotte invested 5,000.

Retirement by Rotation

Under the terms of their appointment, each Director is required to retire by rotation and be subject to re-election at least every three years. The Directors are required to seek re-election if they have already served for more than nine years. Mr Mouchotte, by virtue of his other directorships, is required to be re-elected on an annual basis. The Company may terminate the appointment of a Director immediately on serving written notice and no compensation is payable upon termination of office as a Director of the Company becoming effective.

Report of the Directors (continued)

Disclosure of Information to Auditors

The Directors who held office at the date of approval of these Financial Statements confirm that, so far as they are each aware, there is no relevant audit information of which the Company's auditor is unaware; and each Director has taken all the steps that they ought to have taken as a Director to make themselves aware of any relevant audit information and to establish that the Company's auditor is aware of that information.

Independent Auditor

Deloitte was formally appointed as the Company's auditor for the 2015 year end audit following the AGM on 13 March 2015.

A resolution for the reappointment of Deloitte will be proposed at the next AGM.

Signed on behalf of the Board of Directors by:

Rob King,

Non-executive Chairman

Iain Stokes,

Non-executive Director

13 January 2016

AIFM's Report to Shareholders

The Company is an Alternative Investment Fund ("AIF") as defined by the Alternative Investment Fund Directive ("AIFMD") and has appointed Chenavari Investment Managers (Luxembourg) S.àRL (formerly Toro S.àRL), as the Investment Manager in accordance with the terms of an AIFM Agreement. The Investment Manager has appointed Chenavari Credit Partners LLP to provide investment advisory services to the Investment Manager.

The investment management agreement can be terminated by either party on 12 months' written notice, with such notice not to be served before the fourth anniversary of Admission, which is 16 September 2017.

Under the terms of the investment management agreement dated 23 September 2013 as novated on 22 July 2014, the Investment Manager receives a fee of one-twelfth of 1% on the NAV of the Company, payable monthly in arrears. The total management fees for the year payable to the Investment Manager amounted to £1,282,996, of which £107,192 was accrued at the year end.

The Investment Manager is also entitled to receive from the Company, a performance fee equal to 20% of realised returns (i.e. dividends and capital repayments/returns) to Shareholders, subject to a hurdle of 7.5% per annum with a catch up. The catch up operates such that a performance fee shall not become payable until the Company has distributed to Shareholders an amount equal to the Gross Issue Proceeds as increased by a hurdle rate of 7.5% per annum (the "Hurdle"). Thereafter, amounts available for distribution in excess of the Hurdle shall be distributed by the Company as to 50% to Shareholders and paid as to 50% to the Investment Manager until the Investment Manager has received 20% of all amounts in excess of the Gross Issue Proceeds. Thereafter, all further amounts available for distribution by the Company shall be distributed as to 80% to Shareholders and paid as to 20% by way of payment of the performance fee to the Investment Manager. 

As of 30 September 2015, no performance fee was accrued according to those principles.

As described on page 22, the Management Engagement Committee carried out its second review of the performance and capabilities of the Investment Manager during November 2015 to confirm that the continued appointment of the Investment Manager is deemed to be in the interest of Shareholders.

Chenavari Investment Managers (Luxembourg) S.àRL

13 January 2016

Corporate Governance Report

The Company was admitted to trading on Specialist Funds Market (SFM) of the London Stock Exchange on 7 October 2013 and as such, the Listing Rules applicable to closed-ended investment companies which are listed on the premium listing segment of the Official List of the UKLA do not apply to the Company. 

Whilst the Company is subject to the Disclosure and Transparency Rules of the Financial Conduct Authority ("DTRs") while traded on SFM, the Directors have resolved that, as a matter of good corporate governance, the Company will also voluntarily comply with certain provisions of the Listing Rules, including the relevant provisions of Chapter 9 regarding corporate governance and continuing obligations.

The Directors recognise the value of the UK Corporate Governance Code (the "UK Code") and have taken appropriate measures to ensure that the Company complies with the UK Code. The UK Code is publically available at www.frc.org.uk/Our-Work/Codes-Standards/Corporate-governance.aspx.

Compliance with the UK Code

As the Company has voluntarily complied with the UK Code, there is a requirement to provide Shareholders with a statement on how the main and supporting principles set out in the UK Code have been applied and whether the Company has complied with the provisions of the UK Code. The Board recognises the importance of a strong corporate governance culture and has established a framework for corporate governance which it considers to be appropriate to the business of the Company. The Board has reviewed the principles and recommendations of the UK Code and considers that the Company has complied throughout the period, except as disclosed below:

Section A-C: The Company does not have a Deputy Chairman, Executive Directors or a Chief Executive Officer. Accordingly, provisions of the UK Code relating to the Deputy Chairman, Executive Directors and Chief Executive Officer do not apply to the Company.

Explanation: As the UK Code itself states, investment companies typically have a Board structure that differs from those of other companies and this affects the relevance of particular provisions of the UK Code. Due to the nature of the Company's business and the structure of its relationships with its Administrator, Sub-Administrator, Custodian, Investment Adviser and Investment Manager, the Directors do not believe it would be at present cost-effective or advisable to have full-time Executive Directors.

Section A4.1: The Company has not appointed one of the independent non-executive Directors to be the senior independent director.

Explanation: An independent senior director has not been identified and such a role is not considered necessary because the Company has adopted a policy that the composition of the Board of Directors, which is required by the Company's Articles to comprise of at least two persons, is at all times such that a majority of the Directors are independent of the Investment Manager and Investment Adviser and any company in the same group as the Investment Manager and Investment Adviser; the Chairman of the Board of Directors is free from any conflicts of interest and is independent of the Investment Manager and Investment Adviser and of any company in the same group as the Investment Manager and Investment Adviser; and that no partner, employee or professional adviser to the Investment Manager and Investment Adviser or any company in the same group as the Investment Manager and Investment Adviser may be a Director of the Company at any time.

Section B2.1: The Company has not established a nomination committee to lead the process for Board appointments and make recommendations to the Board.

Explanation: The appointment of new Directors forms part of the schedule of matters reserved for the Board and the Board considers that the process for Board appointments to be the Board's responsibility in accordance with the principles set out in the UK Code.

Section B2.3: Non-executive Directors should be appointed for specified terms subject to re-election and to statutory provisions relating to the removal of a Director.

Explanation: Non-executive Directors are not appointed for a specified term and the Company's articles of association require that all Directors retire by rotation at the annual general meetings of the Company.

Section C3.1: the Board should establish an Audit Committee of at least three, or in the case of smaller companies' two, independent non-executive directors.

Corporate Governance Report (continued)

Explanation: The Company's Audit Committee comprises all members of Board; however Mr Mouchotte, by virtue of his directorship of the Investment Manager and other funds managed within the Chenavari Group, is not considered independent of the Advisers for the purposes of the UK Code. Given Mr Mouchotte's extensive investment experience, the independent members of the Audit Committee are of the opinion that Shareholder interests are best served through Mr Mouchotte's membership of the Audit Committee.

Section C3.5: The audit committee should review arrangements by which staff of the Company may, in confidence, raise concerns about possible improprieties in matters of financial reporting or other matters. The audit committee's objective should be to ensure that arrangements are in place for the proportionate and independent investigation of such matters and for appropriate follow-up action.

Explanation: Given the Directors are non-executive and the Company does not have employees, there is no whistle-blowing policy since the Company relies on the Company Secretary and other third-party service providers to address any concerns raised.

Section C3.6: The Company does not have an internal audit function.

Explanation: The Directors believe that this requirement of the UK Code was intended for companies with internal accounting departments. The Company has no employees and relies on its Administrator and Sub-Administrator for assistance in drawing up its accounts and reports to Shareholders.

Section D.1: The Board has not established a remuneration committee to consider executive directors remuneration to promote the long-term success of the Company.

Explanation: In view of its non-executive nature, the Board considers that it is not appropriate for there to be a separate remuneration committee. The Audit Committee makes all representations to the Board regarding Directors' remuneration. The Board as a whole fulfils the functions of the remuneration committee, and a separate Directors' Remuneration Report is set out on page 30 of these Financial Statements.

Further details of compliance with the UK Code are noted in the succeeding pages. There have been no instances of non-compliance, other than those noted above and the Company has therefore not reported further in respect of these provisions.

The Guernsey Financial Services Commission issued a Finance Sector Code of Corporate Governance (the "GFSC Code") which came into effect on 1 January 2012. As the Company voluntarily reports by reference to the UK Code, it is deemed also to meet the requirements of the GFSC Code.

Composition and Independence of the Board

The Board currently consists of three non-executive Directors. Biographies for all the Directors can be found on page 12. Mr King and Mr Stokes are considered independent of the Investment Manager and Investment Adviser for the purposes of the Company's compliance with the UK Code. However Mr Mouchotte, by virtue of his directorship of the Investment Manager and other funds managed within the Chenavari Group is not considered independent.

Since 1 November 2015 the Chairman of the Board is Mr King and, in this function, is responsible for the leadership of the Board and ensuring its effectiveness in all aspects of its role. In considering the independence of the Chairman, the Board has taken note of the criteria set out in B.1.1 of the UK Code relating to independence, and has determined that Mr King is an Independent Director.

The Company has no employees and therefore there is no requirement for a chief executive. The Board is responsible for the appointment and monitoring of all service providers to the Company. Between formal meetings there is regular contact with the Investment Manager, Investment Adviser and the Corporate Broker. The Directors are kept fully informed of investment and financial controls and other matters that are relevant to the business of the Company and should be brought to the attention of the Directors. The Directors also have access to the Company Secretary and, where necessary in the furtherance of their duties, to independent professional advice at the expense of the Company.

The Board holds quarterly Board meetings, the Audit Committee meets at least three times a year and the Management Engagement Committee meets at least annually. In addition, ad hoc meetings of the Board to review specific items between the regular scheduled quarterly meetings can be arranged.

Corporate Governance Report (continued)

Attendance at the Board, Audit Committee and Management Engagement Committee meetings during the year was as follows:

* On 5 May 2015, the Company announced with great sadness the death of Trevor Hunt

**Mr King was appointed on 21 July 2015

At the Board meetings the Directors review the management of the Company's assets and all other significant matters so as to ensure that the Directors maintain overall control and supervision of the Company's affairs. Agendas and Board papers are circulated in advance of meetings to assist members to discharge their duties appropriately. The Company maintains a formal schedule of matters reserved for the Board.

The Audit Committee's primary function is to assist the Board in fulfilling its oversight responsibilities and under the Terms of Reference its main duties include financial reporting, risk management systems, compliance, whistle blowing and fraud and external audit.

The Management Engagement Committee's principal duty is to consider the terms of appointment of both the Investment Manager and Investment Adviser and it will annually review those appointments and the terms of the Investment Management Agreement and Investment Advisory Agreement.

The Board has a breadth of experience relevant to the Company and the Directors believe that any changes to the Board's composition can be managed without undue disruption. After the untimely death of Mr Hunt in May 2015, the search for a replacement Director commenced. Criteria for the replacement Director were set and suitable candidates were submitted for the role by the Company Secretary, Investment Adviser and Corporate Broker. After a shortlist was selected, candidates were interviewed and Mr King's appointment was approved by the Board at a meeting on 21 July 2015. The Board's view is that Mr King has direct and relevant and experience and brings a wealth of knowledge to the Board and Company.

The Board has reviewed its composition and believes that the current appointments provide an appropriate range of skills, experience and diversity. In order to maintain its diversity, the Board is committed to continuing to review its current composition.

Audit Committee

An Audit Committee has been established consisting of all Directors with Mr Stokes appointed as Chairman. The Audit Committee's primary function is to assist the Board in fulfilling its oversight responsibilities and under the Terms of Reference its main duties include financial reporting, risk management systems, compliance, whistle blowing and fraud. It will review the scope, results, cost effectiveness, independence and objectivity of the external auditor. Further details on the Audit Committee can be found in the Audit Committee Report on page 26.--

Management Engagement Committee

The Board has established a Management Engagement Committee with formal duties and responsibilities. The Management Engagement Committee commits to meeting at least once a year and comprises the entire Board with Mr King appointed as Chairman. Its principal duty is to consider the terms of appointment of the Investment Manager and it will annually review that appointment and the terms of the Investment Management Agreement and Investment Advisory Agreement. Its duties and responsibilities also extend to the regular review of the performance of and contractual arrangements with other service providers.

The Management Engagement Committee carried out its second review of the performance and capabilities of the Investment Manager and Investment Adviser during November 2015 to confirm that the continued appointment of Chenavari Investment Managers (Luxembourg) S.àRL as Investment Manager and Chenavari Credit Partners LLP as Investment Adviser are deemed to be in the interest of Shareholders. As part of the review process, the Management Engagement Committee concluded that the Company's other service providers are performing in accordance with the Company's expectations and contractual arrangements.

Corporate Governance Report (continued)

Board Performance

During November 2015, the Management Engagement Committee formally evaluated the Board's effectiveness by considering the balance of skills, experience, independence and knowledge of the Company on the Board, its diversity, how the Board works together as a unit, the allocation of sufficient time to the Company as well as other factors relevant to its effectiveness. The Management Engagement Committee found the performance of the acting Chairman, individual Directors and the Board as a whole over the review period to be as expected and resolved to appoint Mr King to be the Company's Chairman from 1 November 2015.

Investor Relations

Shareholders are able to contact the Company directly through its dedicated e-mail address (chenavaricapitalsolutions@chenavari.com) or by correspondence sent to the Company Secretary, Investment Manager or Corporate Broker. As a consequence, the Board receives appropriate updates from the Company Secretary, Investment Manager or Corporate Broker relative to such correspondence to keep it informed of Shareholders' sentiment or analyst views.

The Company also publishes a monthly factsheet on its website www.chenavaricapitalsolutions.com, which include updates on markets and the Company's performance.

Statement of Principal Risks and Uncertainties

Summary

An investment in the Shares is only suitable for institutional investors and professionally advised private investors who understand and are capable of evaluating the merits and risks of such an investment and who have sufficient resources to be able to bear any losses (which may equal the whole amount invested) that may result from such an investment. Furthermore, an investment in the Shares should constitute part of a diversified investment portfolio. It should be remembered that the price of securities and the income from them can go down as well as up.

The risks set out below are those which are considered to be the material risks relating to an investment in the Shares but are not the only risks relating to the Shares or the Company. Additional risks and uncertainties of which the Company is presently unaware or that the Company currently believes are immaterial may also adversely affect its business, financial condition, results of operations or the value of the Shares.

The Board have carried out a robust assesssment to identify the principal risks that could affect the Company, including those that would threaten its business model, future performance, solvency or liquidity. The Board has adopted a controls based approach to its risk monitoring requiring each of the relevant service providers including the Investment Manager to establish the necessary controls to ensure that all known risks are monitored and controlled in accordance with agreed procedures. The Directors receive periodic updates at their Board meetings on key risks and have adopted their own control review to ensure where, possible, risks are monitored appropriately.

Audit Committee Report

I am pleased to report to you on the activities of the Audit Committee for the year ended 30 September 2015.

The Board has established terms of reference in respect of the membership of the Audit Committee, its duties, reporting responsibilities, and authority given to its members (the "Terms of Reference").

The Audit Committee continues to be supportive of the latest UK Code recommendations and is of the opinion that the revised UK Code allows it to act as a key independent oversight committee contributing to a climate of discipline and control.

Terms of Reference

The Audit Committee's primary function is to assist the Board in fulfilling its oversight responsibilities and, under the Terms of Reference, its main duties include:

Financial Reporting

· monitoring the integrity of the financial statements of the Company, including its annual and half-yearly reports and any other formal announcement relating to its financial performance, reviewing significant financial reporting issues and judgements which they contain.

Risk Management Systems

· review the adequacy and effectiveness of the Company's risk management systems and review and approve the statements to be included in the annual report concerning risk management.

Compliance, Whistle blowing and Fraud

· review the adequacy and security of the Company's arrangements to raise concerns, if any, about possible wrongdoing in financial reporting or other matters;

· reviewing the Company's procedures for detecting fraud;

· reviewing the Company's systems and controls for the prevention of bribery and receive reports on non-compliance;

· reviewing the adequacy and effectiveness of the Company's anti-money laundering systems and controls; and

· reviewing the adequacy and effectiveness of the Company's compliance function.

External audit

· overseeing the relationship with the external auditor including making recommendations of remuneration, terms of engagement, assessing independence and objectivity, compliance with relevant ethical and professional guidance on the rotation of audit partners, the level of fees paid by the Company, assessing qualifications, expertise and resources and the effectiveness of the audit process.

In regard to the above duties, I confirm, on behalf of the Audit Committee, that, to the best of our knowledge and belief, we have fulfilled our responsibilities in line with our Terms of Reference and in accordance with the UK Code.

Delegation of Duties

The Company has no employees as all functions, including the preparation of the financial statements, have been outsourced to various service providers. Morgan Sharpe Administration Limited have been appointed as Administrator and Company Secretary, Quintillion Limited as Sub-Administrator, Chenavari Investment Managers (Luxembourg) S.àRL as Investment Manager and AIFM, JPMorgan Chase Bank National Association as Custodian and Principal Bankers and Capita Registrars (Guernsey) Limited as Registrar (together the "Outsourced Service Providers"). Please see page 5 for further details in relation to the Outsourced Service Providers.

Membership of the Committee

The Audit Committee was established on incorporation and consists of Rob King, Rene Mouchotte and myself, Iain Stokes, as its Chairman. All the members of the Audit Committee are non-executive Directors. Mr King and I are considered independent of the Advisers for the purposes of the Company's compliance with the UK Code however Mr Mouchotte, by virtue of his directorship of the Investment Manager and other funds managed within the Chenavari Group is not considered independent of the Advisers. The Audit Committee has concluded that its membership meets the requirements of C.3.1 of the UK Code. Each Audit Committee member is expected to be financially literate and to have knowledge of the following key areas:

· financial reporting principles and accounting standards;

· the regulatory framework within which the Company operates;

· the Company's internal control and risk management environment; and

· factors impacting the Company's Financial Statements.

As an Audit Committee we meet at least three times a year. Personnel from the Company's Outsourced Service Providers along with representatives of the Company's external auditor, Deloitte LLP ("Deloitte"), attend Audit Committee meetings when appropriate.

Audit Committee Report (continued)

In his role as a member of the Audit Committee, each member is available to discuss any particular matter with his fellow Board members and in addition the Audit Committee has the opportunity to meet with Deloitte without the presence of Outsourced Service Providers. In order to ensure that all Directors are kept up to date and informed of the Audit Committee's work, I provide a verbal report to the Board at Board meetings on key matters discussed at the Audit Committee meetings. In addition, the minutes of all Audit Committee meetings are available to the Board.

How the Audit Committee has Discharged its Responsibilities

In the year under review, the Audit Committee met 8 times, attendance at which is set out on page 22. The Audit Committee meetings focused on the following key areas:

Monitoring the integrity of the financial statements including significant judgements

· We reviewed the appropriateness of the Company's significant accounting policies, critical accounting judgements and key sources of uncertainty and monitored changes to, and compliance with, accounting standards on an ongoing basis.

· Prior to making any recommendations to the Board, we reviewed the Annual Report and Audited Financial Statements for the year ended 30 September 2015 (the "Annual Report"). We compared the results with, investment models, management accounts, budgets and monthly net asset values, focusing on the significant accounting matters set out below.

· In undertaking this review, we discussed with the Investment Manager, AIFM, Investment Advisor, Administrator, Sub-Administrator and Deloitte the critical accounting policies and judgements that have been applied and at the request of the Audit Committee, the Administrator and Sub-Administrator confirmed that they were not aware of any material misstatements including matters relating to the Annual Report presentation. Deloitte also reported to the Audit Committee on any misstatements that they had found during the course of their work and confirmed no material amounts remained unadjusted.

· At its meeting to review the Annual Report, the Audit Committee received and reviewed a report on the audit from Deloitte. On the basis of its review of the report, the Audit Committee is satisfied Deloitte has fulfilled its responsibilities with diligence and professional scepticism.

· The Audit Committee is satisfied that the Annual Report appropriately addresses the critical judgements and key estimates (both in respect to the amounts reported and the disclosures) and that the significant assumptions used for determining the value of assets and liabilities determined were in compliance with International Financial Reporting Standards ("IFRS") and were reasonable.

· The Audit Committee is therefore satisfied that the Annual Report, taken as a whole, is fair, balanced and understandable and provides the information necessary for Shareholders to assess the Company's performance, business model and strategy.

Significant Accounting Matters

During the year the Audit Committee considered key accounting issues, matters and judgements regarding the Company's financial statements and disclosures including those relating to:

Valuation and Classification of Financial Assets at Fair Value through Profit or Loss 

At 30 September 2015, the Company's investments had a fair value of £119.9m and represent a substantial portion of net assets of the Company. As such this is the largest factor in relation to the accuracy of the financial statements and is monitored by the Investment Manager, the Investment Adviser, the Administrator, the Sub-Administrator, the Custodian, the Audit Committee and the Board.

Investments are valued in accordance the Company's Valuation Policy and with the Accounting Policies set out in note 2 to the Financial Statements. The Valuation Policy is compiled with reference to key principles comprising; independence, documentation, transparency, consistency and relevance and documents the pricing process and timeline, with particular reference to difficult to value securities, and sets out escalation procedures.

The Audit Committee required the Investment Manager to provide detailed analysis of the broker quotes obtained for investments, including the liquidity, the number of quotes received, and the range of quotes. For primary transactions, the Investment Manager's own analysis of the fair value of the deal was compared to the quotes obtained and where pricing was obtained from the manager of the transaction, the Investment Manager provided an assessment of the manager's independence and reliability. Where broker quotes are not available, and pricing is the result of the Investment Advisor's internal models, the Audit Committee challenged the key assumptions of those investment models, in particular their sensitivities using stress scenarios. Additionally, the Audit Committee required the Investment Manager to provide a reasoned assessment of fair value for each investment held and its classification in the fair value hierarchy.

 Audit Committee Report (continued)

Following discussion, we were satisfied that the judgements made and methodologies applied were prudent and appropriate and that the correct accounting treatment has been adopted. Please see further details outlined in notes 2 and 7 to the financial statements.

Income Recognition

For primary and secondary transactions, the Audit Committee considered whether the separate presentation of interest income in the statement of comprehensive income is required or if a net fair value movement is more appropriate.

Due to the nature of the Company's investment strategy resulting in the possibility of investments being sold before maturity and given the consequent inherent uncertainty of using maturity dates to calculate income using the Effective Interest Rate method, for both primary and secondary investments, the Company's accounting policy recognises only a net fair value movement rather than reporting a split between fair value movement and interest income in the income statement. This is explained further in notes 7 and 11 to the financial statements.

Investment Manager's Fee

The Audit Committee identified the calculation of the Investment Manager's Fee to represent a significant risk of misstatement in the Company's financial reporting. The Committee requested the Administrator, Sub-Administrator, Auditor and Investment Manager to work together to ensure that the Management Fee calculation agreed to the terms of the Management Fee calculation methodology as set out in the Investment Management Agreement. The Audit Committee reviewed a detailed calculation methodology prepared by the Sub-Administrator and agreed the calculation with the Auditor and Investment Manager.

Assessment of Principal Risks and Uncertainties

The risks associated with the Company's financial assets, as disclosed in the financial statements, particularly in note 6, represent a key accounting disclosure. The Audit Committee critically reviews, on the basis of input from relevant Outsourced Service Providers, the process of ongoing identification and measurement of these risks disclosures.

Risk Management and Internal Controls

The Board as a whole is responsible for the Company's system of internal control; however, the Audit Committee assists the Board in meeting its obligations in this regard. The daily operational activities of the Company were delegated to the Outsourced Service Providers and as a result the Company has no direct internal audit function and instead places reliance on the external and internal audit controls applicable to the Outsourced Service Providers as regulated entities. However, the Audit Committee receives confirmations from the Outsourced Service Providers that no material issues have arisen in respect of the system of internal controls and risk management operated within the Company's Outsourced Service Providers. The Audit Committee confirms that this is an ongoing process in order to manage the significant risks faced by the Company. We deem that, to date, there are no significant issues in this area that need to be brought to your attention.

External Audit

It is the responsibility of the Audit Committee to monitor the performance, independence, objectivity and re-appointment of Deloitte. We met with Deloitte in May 2015 to review their Interim Review Report in relation to the Company's Unaudited Interim Financial Statements for the period from 1 October 2014 to 31 March 2015. In August 2015, we further met with Deloitte who presented their Audit Strategy and Plan for the year; we agreed the audit plan for the year, highlighting the key financial statement and audit risks, to seek to ensure that the audit was appropriately focused. Deloitte attends our Audit Committee meetings throughout the year, as appropriate, which allows the opportunity to discuss any matters the auditor may wish to raise without the Investment Manager or other Outsourced Service Providers being present. Deloitte provides feedback at each Audit Committee meeting on topics such as the key accounting matters, mandatory communications and the control environment.

Deloitte was formally re-appointed as the Company's auditor for the 2015 year end audit following the AGM on 13 March 2015. Deloitte LLP have expressed their willingness to continue in office as Auditor. The Audit Committee continues to be satisfied with the performance of Deloitte. We have therefore recommended to the Board that Deloitte, in accordance with agreed terms of engagement and remuneration, should continue as the Company's auditor and a resolution proposing their reappointment will be submitted at the forthcoming AGM. The lead audit partner will be rotated every five years to ensure continued independence and objectivity. In advance of the commencement of the annual audit, the Audit Committee reviewed a statement provided by Deloitte confirming their independence within the meaning of the regulations and professional standards. In addition, in order to satisfy itself as to Deloitte's independence, the Audit Committee undertook a review of the auditor compensation and the balance between audit and non-audit fees.

Audit Committee Report (continued)

During the year the value of non-audit services provided by Deloitte amounted to £25,513. Non-audit services are not deemed to be material and amounted to approximately 40% of the total fees paid by the Company to Deloitte. Deloitte Paris provided investment due diligence services to Chenavari Financial Group Limited, a portion of the cost of these services was recharged to the Company during the year amounting to £53,600.

Committee Effectiveness

The effectiveness of the Audit Committee is reviewed on an annual basis by both the Board and the Audit Committee. Following such reviews, I am pleased to advise that the Audit Committee is considered to continue to operate effectively and efficiently. A member of the Audit Committee will be available to Shareholders at the forthcoming AGM of the Company to answer any questions relating to the role of the Audit Committee.

Signed on behalf of the Audit Committee by:

Iain Stokes

Audit Committee Chairman

13 January 2016

Directors' Remuneration Report

The Directors' remuneration report has been prepared on behalf of the Directors in accordance with the UK Code.

The Directors do not consider it necessary for the Company to establish a separate Remuneration Committee since the Boards remuneration forms part of the schedule of matters reserved for the Board and the matters recommended by the UK Code that would be delegated to such a committee, is considered by the Board as a whole.

The Company's policy is to ensure that the fees payable to the Directors reflect the time spent by the Directors on the Company's affairs, the responsibilities borne by the Directors and be sufficient to attract, retain and motivate Directors of a quality required to run the Company successfully.

Following the death of the Trevor Hunt earlier in the year, Iain Stokes acted as the Company's Chairman from 5 May 2015 until 1 November 2015 when the Company announced the appointment of Rob King to that position with Mr Stokes continuing in his role as Chairman of the Audit Committee.

To date, the Chairman of the Board has been paid a higher fee in recognition of his additional responsibilities, as were the Chairmen of the Audit Committee and the Management Engagement Committee. Following the appointment of Mr King, in addition to the Company's policy to review fee rates periodically, it was agreed that the Chairman's remuneration shall not exceed that of any other Director. Where fee rates are reviewed, such a review will take account of fees paid to directors of comparable companies but will not necessarily result in any changes to the fee levels.

No element of the Directors' remuneration is performance related, nor does any Director have any entitlement to pensions, Share options or any long term incentive plans from the Company.

Following a recommendation from the Chairman, having regard to the level of fees payable to non-executive Directors that reflects comparable compensation levels of the peer universe for the Company, the role that individual Directors fulfil in respect of Board and Committee responsibilities, it is the responsibility of the Board as a whole to determine and approve the Directors' fees.

The Chairman's remuneration is decided separately and is approved by the Board as a whole.

The Directors are currently subject to the following annual remuneration in the form of Directors' fees:

*Mr. King receives a fee of £40,000 with effect from 1 November 2015 for his role as Chairman and was paid £37,500 (annualised) until 1 November 2015.

The Company's Articles limit the fees payable to Directors in aggregate to £300,000 per annum.

The remuneration policy set out above is the one applied for the year ended 30 September 2015 and is not expected to change in the foreseeable future.

Directors' and Officers' liability insurance cover is maintained by the Company on behalf of the Directors.

Mr. King was appointed as a non-executive Director on 21 July 2015 whilst Mr. Stokes and Mr. Mouchotte have served as non-executive Directors since 21 August 2013. Each Director's appointment letter provides that all records received by them during the course of their directorship remain the property of the Company. The Directors' appointments can be terminated in accordance with the Articles and without compensation. There is no notice period specified in the Articles for the removal of Directors. The Articles provide that the office of Director shall be terminated by, among other things: (a) written resignation; (b) unauthorised absences from Board meetings for a consecutive period of twelve months and the Board resolve that the Director in question's office be vacated; (c) unanimous written request of the other Directors; and (d) the Director in question becomes ineligible to be a Director in accordance with Section 137 of the Law.

Under the terms of their appointment, each Director is required to retire by rotation and be subject to re-election at least every three years. The Directors are required to annually seek re-election if they have already served for more than nine years. The Company may terminate the appointment of a Director immediately on serving written notice and no compensation is payable upon termination of office as a Director of the Company becoming effective.

Directors' Remuneration Report (continued)

The amounts payable to Directors shown in note 4 were for services as non-executive Directors. No Director has a service contract with the Company, nor are any such contracts proposed.

None of the Directors has any personal financial interest in any of the Company's investments

Signed on behalf of the Board of Directors by:

Rob King,

Non-executive Chairman

Iain Stokes,

Non-executive Director

13 January 2016

Statement of Directors' Responsibilities 

The Directors are responsible for preparing the Directors' Report and the Financial Statements in accordance with applicable Guernsey law and regulations.

Guernsey Company law requires the Directors to prepare Financial Statements for each financial year. Under that law they have elected to prepare the Financial Statements in accordance with International Financial Reporting Standards ("IFRS") as adopted by the European Union and applicable law.

Under company law the Directors must not approve the accounts 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 these Financial Statements, the Directors are required to:

· properly select and apply accounting policies;

· present information, including accounting policies, in a manner that provides relevant, reliable, comparable and understandable information;

· provide additional disclosures when compliance with the specific requirements in IFRSs are insufficient to enable users to understand the impact of particular transactions, other events and conditions on the entity's financial position and financial performance; and

· make an assessment of the Company's ability to continue as a going concern.

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 comply with The Companies (Guernsey) Law 2008. They 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 the maintenance and integrity of the corporate and financial information included on the Company's website. Legislation in Guernsey and the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

Directors' Responsibility Statement

We confirm that to the best of our knowledge:

· the financial statements, prepared in accordance with International Financial Reporting Standards as as adopted by the European Union, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company;

· 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; and

· the annual report and financial statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company's performance, business model and strategy.

· The Annual Report includes information required by the LSE and for ensuring the Company complies with the relevant provisions of the Disclosure and Transparency Rules and the UK Listing Authority.

This responsibility statement was approved by the Board of Directors on 13 January 2016 and is signed on its behalf by:

Non-Executive Director : Rob King Non-Executive Director: Iain Stokes

Date : 13 January 2016 Date : 13 January 2016

Commodity Exchange Affirmation Statement

Affirmation Required by the Commodity Exchange Act, Regulation §4.7(b)(3)(i)

I, Loic Fery, on behalf of the Managing Member of Chenavari Credit Partners LLP (Commodity Pool Operator of Chenavari Capital Solutions Limited) hereby affirm that, to the best of my knowledge and belief, the information contained in this annual report and audited financial statements is accurate and complete.

Loic Fery

13 January 2016

Independent Auditor's Report to the Members of Chenavari Capital Solutions Limited

David Becker (Senior statutory auditor)

for and on behalf of Deloitte LLP

Chartered Accountants and Recognised Auditor

St Peter Port, Guernsey

13 January 2016

Statement of Comprehensive Income

For the year ended 30 September 2015

Non-Executive Director : Rob King Non-Executive Director : Iain Stokes

Date : 13 January 2016 Date : 13 January 2016

All items in the above statement derive from continuing operations.

The notes to the financial statements are an integral part of the financial statements.

Statement of Financial Position

As at 30 September 2015

Non-Executive Director : Rob King Non-Executive Director: Iain Stokes

Date : 13 January 2016 Date : 13 January 2016

The notes to the financial statements are an integral part of the financial statements.

Statement of Changes in Equity

For the year ended 30 September 2015

For the period 12 July 2013 (date of incorporation) to 30 September 2014

The notes to the financial statements are an integral part of the financial statements.

Statement of Cash Flows For the year ended 30 September 2015

The notes to the financial statements are an integral part of the financial statements.

Condensed Schedule of Investments, at Fair Value

Chenavari Capital Solutions Limited

As at 30 September 2015

Condensed Schedule of Investments, at Fair Value (continued)

Chenavari Capital Solutions Limited

As at 30 September 2014