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Chenavari Capital Solutions

Extension of investment period

The Company today announces its intention to seek shareholder approval for the extension of its investment period for up to 12 months to 31 December 2016 (the "Extension Proposal"), during which the Company may continue to reinvest unencumbered cash and the proceeds of any future share issuance.

The Extension Proposal requires the approval of Shareholders at an Extraordinary General Meeting of the Company which has been convened for 3.00 p.m. on 18 December 2015. A circular to Shareholders will be published today, setting out notice of the Extraordinary General Meeting (the "Circular").

Background to the Extension Proposal

In the Company's prospectus, published on 23 September 2013 in connection with its initial public offering (the "Prospectus"), the Company stated that, following 31 December 2015, 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.

The Board and the Investment Adviser believe that the outlook for the Company's existing portfolio and investment strategy provides for an attractive risk-adjusted return and that the pipeline of investments under review by the Investment Manager is indicative of opportunities to deploy capital in accordance with the investment policy. The Board has therefore evaluated the Extension Proposal as an attractive alternative to the cessation of investment as provided for in the Prospectus. This is described further under "Reasons for the Extension Proposal" below.

The Extension Proposal

If approved by Shareholders, the Extension Proposal will permit the Company, during the period from 1 January 2016 to no later than 31 December 2016 (the "Extended Investment Period"), to 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 purposes or the payment of dividends in accordance with the Company's dividend policy.

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.

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 Ordinary 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 Ordinary 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 Ordinary Shares being less than 75% invested.

Reasons for the Extension Proposal

The Directors note that the portfolio is cash generative and effectively fully invested, and there remain good opportunities for investment in accordance with the Company's investment policy. European banks continue to seek efficient means by which to optimise or improve the capital required to be held against their exposures or reduce risk-weighted assets by way of portfolio disposals, and the bank capital solutions transactions that the Company can offer remain attractive to banks as a method of achieving this goal.

The rates of return available from such investments remain strong and are consistent with the Company's current target return of net asset value total return of 8-10% per annum. New investments have been underwritten at higher target returns and the Directors believe that the proposed extension will be accretive to the Company's lifetime total return.

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. These cash flows, after meeting the Company's ongoing expenses and dividend obligations and allowing for working capital requirements, would be available for reinvestment if the Extension Proposal is approved.

The Directors have concluded, therefore, that the Extension Proposal represents an opportunity to continue to provide Shareholders with an attractive return and the potential to increase the size of the Company.

Update on the existing portfolio

The Investment Adviser maintains a Base Case, an Upside Case and a Stress Case for each investment in the portfolio, depending on its characteristics and underlying collateral. The cases are derived from a combination of: initial cases derived at the time of investment from analysis of the transaction's structure and the underlying portfolio data, regular tracking of the performance of the transaction's underlying collateral pool and market implied factors such as credit spreads or the performance of other similar deals.

As of 31 October 2015, the Investment Adviser's indicative estimates of the internal rates of portfolio return, calculated on the invested capital of the Company, are:

· 11.1% if all investments perform in line with the "Base Case";

· 13.3% if all investments perform in line with the "Upside Case"; and

· 2.5% if all investments perform in line with the "Stress Case".

Investors should note that, due to the diversification of the portfolio's holdings, it is unlikely that all investments would perform in line with either the Upside or Stress case.

Based on the cash flows used to calculate the above internal rates of return, it is expected that the current portfolio will be substantially realised (assuming no assets are sold or otherwise disposed of) by the end of 2021.

Each of the investments in the portfolio continues to perform satisfactorily compared to expectations at the time of initial investment with many of the investments significantly outperforming the underwriting scenarios to date.

Indicative internal rates of portfolio return are dependent on the underlying Base Case, Upside Case and Stress Case asset assumptions that are made by the Investment Adviser. These include, but are not limited to, predictions of default, prepayment, recovery, amortisation, interest rates, asset spread, portfolio replenishment and issuer optional redemptions. The figures are calculated on invested capital of the Company and do not reflect indications of NAV total return. The figures are based on long-term performance projections of the investment strategy and market conditions at the time of modelling and are therefore subject to change. There is no guarantee that any indicative rates of returns can be achieved. Investors should not place any reliance on such target return in deciding whether to invest in the Company or to vote in favour of the Extension Proposal. Stress Tests present a set of hypothetical scenarios that assume changes for one or more market variable in order to assess the effect on the portfolio. The results shown represent estimated gross performance of the portfolio under the market conditions stated and do not reflect any management or performance fees or other expenses. The Investment Adviser has made assumptions that it deems reasonable and used the best information available to calculate the rate of return case estimates. If a different set of assumptions were used in these calculations, there could be a material difference in the calculated estimates. Please refer to the Prospectus for risk factors. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular investment programme.

Definitions

Capitalised terms used in this announcement bear the terms ascribed to them in the Circular. A copy of the Circular will be available today at http://www.chenavaricapitalsolutions.com/news/

Expected timetable of events

The dates set out in this expected timetable of principal events may be adjusted by the Company, in which event details of the new dates will be notified to the market through the publication of a notice through an RIS. All references to time are to London time.

Important information

The distribution of this announcement in certain jurisdictions may be restricted and accordingly persons into whose possession this announcement comes are required to inform themselves about and to observe such restrictions.

General

Investors should not treat the contents of this announcement as advice relating to legal, taxation, investment or any other matters. Statements made in this announcement are based on the law and practice currently in force in Guernsey and in England and Wales and are subject to changes therein.

The Circular should be read in its entirety before making any decision to vote on the Extension Proposal. All Shareholders are entitled to the benefit of, and are bound by and are deemed to have notice of, the provisions of the memorandum and Articles of the Company.

Forward looking statements

This announcement contains forward looking statements, including, without limitation, statements containing the words "target", "believes", "estimates", "anticipates", "expects", "intends", "may", "will", or "should" or, in each case, their negative or other variations or similar expressions. Such forward looking statements involve unknown risk, uncertainties and other factors which may cause the actual results, financial condition, performance or achievement of the Company, or industry results, to be materially different from any future results, performance or achievements expressed or implied by such forward looking statements. Factors that might cause such a difference include, but are not limited to:

· the Company's ability to achieve its investment objective;

· the ability of the Investment Adviser successfully to execute the investment strategy of the Company;

· the historic investment returns of the Company not being indicative of the Company's future performance;

· unrealised values of investments held by the Company being materially higher than the values ultimately realised upon a disposal of the investments;

· the Company's financial condition and liquidity;

· changes in the values of or returns on investments that the Company makes;

· the Company's ability to realise its investments;

· changes in financial markets, interest rates or industry, general economic or political conditions; and

· the general volatility of the markets in which the Company invests and in the market price of the Shares.

Additional factors that could affect the Company's ability to achieve its investment objective and could cause actual results to differ materially from those in forward-looking statements include, but are not limited to, those discussed in "Risk factors" in Part I of the Circular.

Given these uncertainties, Shareholders are cautioned not to place any undue reliance on such forward looking statements. These forward looking statements speak only as at the date of this announcement. Subject to its legal and regulatory obligations, the Company expressly disclaims any obligations to update or revise any forward looking statement contained in this announcement to reflect any change in expectations with regard to any of them or any change in events, conditions or circumstances on which any statement is based.

Enquiries

Kirstie McLaren

Chenavari Investment Managers

Email: Investor-relations@chenavari.com

Telephone: +44 20 7259 3600

Robert Peel

Dexion Capital plc

Telephone: +44 20 7832 0983