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)

Unaudited Interim Financial Statements

For the period from 1 October 2017 to 31 March 2018

Potential investors are "qualified eligible persons" and "Non-United States Persons" within the meaning of the US Commodity Futures Trading Commission Regulation 4.7.

Chenavari Credit Partners LLP (the "Investment Manager") is registered as a commodity pool operator ("CPO") with the Commodity Futures Trading Commission (the "CFTC") and is a member of the National Futures Association ("NFA") in such capacity under the U.S. Commodity Exchange Act, as amended ("CEA"). With respect to Chenavari Capital Solutions Limited, the Investment Manager has claimed an exemption pursuant to CFTC Rule 4.7 for relief from certain disclosure, reporting and recordkeeping requirements applicable to a registered CPO. Such exemption provides that certain disclosures specified in section 4.22 (c) and (d) of the regulation are not in its interim report.

Contents

Commodity Exchange Affirmation Statement

Highlights for the period from 1 October 2017 to 31 March 2018

Corporate Summary

General Information

Chairman's Statement

Investment Manager's Report

Statement of Principal Risks and Uncertainties

Statement of Directors' Responsibilities

Independent Review Report to the Members of Chenavari Capital Solutions Limited

Condensed Unaudited Statement of Comprehensive Income

Condensed Unaudited Statement of Financial Position

Condensed Unaudited Statement of Changes in Equity

Condensed Unaudited Statement of Cash Flows

Condensed Schedule of Investments, at Fair Value

Notes to the Condensed Unaudited Financial Statements

FORWARD-LOOKING STATEMENTS

This interim 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 interim 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 interim 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.

Commodity Exchange Affirmation Statement

Commodity Exchange Affirmation Statement Required by the Commodity Exchange Act, Regulation §4.22(h)

I, Loic Fery, hereby affirm that, to the best of my knowledge and belief, the information contained in this Interim Report and Unaudited Financial Statements of Chenavari Capital Solutions Limited is accurate and complete.

Loic Fery

Chief Executive Officer and representative of the Managing Member of Chenavari Credit Partners LLP, Commodity Pool Operator of Chenavari Capital Solutions Limited

24 May 2018

Highlights for the period from 1 October 2017 to 31 March 2018 

· During the period from 1 October 2017 to 31 March 2018 (the "Period"), the Company produced a net asset value ("NAV") total return of (1.12)% (dividends reinvested).

· The NAV per Ordinary Share ("Share") declined from 92.91 pence at 31September 2017 to 88.89 pence at 31 March 2018 net of distributions.

· The Company declared two dividends in respect of the period ended 31 March 2018: 1.25 pence per Share paid on 28 February 2018 for the period ended 31 December 2017 and 1.25 pence per Share to be paid on 31 May 2018 for the period ended 31 March 2018. On 30 November 2017 a dividend of 1.75 pence per Share was paid for the period ended 30 September 2017.

· The Company's mid-market share price at 31 March 2018 was 81.25 pence (31 March 2017: 90.375 pence), representing a discount to NAV of 8.60 %.

· The loss of the Company for the Period was £0.8 million (31 March 2017: profit £2.7 million), or (0.76) pence per Share (31 March 2017: 2.20 pence per Share), taking into account recognition of the following significant items:

o total net loss of £0.03 million (31 March 2017: income £3.6 million).

o total operating expenses of £0.8 million (31 March 2017: £0.9 million).

· From 1 January 2017, the Company entered into a Realisation Period and started to return unencumbered cash balances to Shareholders. During the period, a further return of capital was made in December 2017 in the form of a compulsory redemption of Shares equivalent to 9.9% of the Company's share capital as at the IPO. Subsequent to period end, there was a further return of capital in the form of a compulsory redemption of Shares equivalent to 17.3% of the share capital as at the IPO. Subject to market conditions and the performance of individual assets, it is the Board's current expectation that the portfolio will be substantially realised and over 90% of the projected cash proceeds will be returned to investors by mid 2021.

· During the Period, the Company repurchased and cancelled 12,908,729 Shares via one Share repurchase and at 31 March 2018 the Company had 104,345,215 Shares in issue.

Corporate Summary

For the Period from 1 October 2017 to 31 March 2018

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 Segment of the London Stock Exchange ("SFS") on 7 October 2013.

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.

Investment Period and Realisation Period

Following the extension of the investment period to 31 December 2016 approved by Shareholders at an EGM on 18 December 2015 (the "Investment Period"), the Company continued its ability to invest its cash balances in accordance with its investment policy, to the extent that such cash was not required for working capital purposes 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.

On 13 December 2016 the Company announced its intention to cease making any further investments with immediate effect and that, from 1 January 2017, it would commence a realisation period which would involve the return of unencumbered cash balances to Shareholders (the "Realisation Period"). Three returns of capital were made in April, September and December 2017 in the form of compulsory redemptions of shares equivalent to a total distribution of 19.8% of the share capital as at the IPO. Although subject to change owing to market conditions and the performance of individual assets, it is the Board's current expectation that the portfolio will be substantially realised as a result of investments maturing in accordance with their terms and over 90% of the projected cash proceeds returned to investors by mid 2021. Assets may also be sold or otherwise disposed of as part of the realisation programme.

Target returns and dividend policy

Subject to compliance with the Companies (Guernsey) Law, 2008 (as amended) and the satisfaction of the solvency test, the Company intends to distribute all its income received from investments, net of expenses, by way of dividends on a quarterly basis with dividends declared in October, January, April and July each year and paid in November, February, May and August.

The Company's target NAV total net return to investors is 8-10 % per annum over the life of the Company. From 1 January 2017, returns to Shareholders have been predominantly from the return of unencumbered cash balances described above and as dividend income.

The Investment Manager and Investment Adviser

The Company's Investment Manager is Chenavari Investment Managers (Luxembourg) S.àRL, 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 Financial Conduct Authority under registration number 484392, the US Commodities and Futures Trading Commissions (no. 0426351) and registered with the US Securities and Exchange Commission under Investment Adviser registration number 801/72662.

Asset values

At 31 March 2018, the Company's NAV was £92.8 million (31 March 2017: £115.9 million), with the NAV per Share amounting to 88.89 pence (31 March 2017: 92.97 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 ("IFRS").

Duration

The Company has an indefinite life.

Corporate Summary (continued)

For the Period (continued)

Website

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

Listing Information

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

The ISIN number of the Shares is GG00BF4J9110 and the SEDOL is BF4J911.

The closing price of the Shares quoted on the SFS at 31 March 2018 was 81.25 pence per Share.

The average closing price of the Shares over the Period to 31 March 2018 was 88.30 pence per Share.

General Information

Chairman's Statement

Introduction

I am pleased to present the Company's interim report and financial statements for the period ended 31 March 2018.

Since I last wrote to you there has been a significant change in the shape of the Company and as at the date of this report, I am pleased to confirm that via capital repayments and dividends the Company has returned £36.6m to Shareholders. On a less encouraging note, the Company's NAV declined from 90.5 pence per Share as at 30 September to 88.89 pence per Share as at 31 March 2018, although our focus remains to provide positive returns on each disposed asset as part of the capital return process.

Realisation of Investment Portfolio

During the Period £12 million was returned to Shareholders on 13 December 2017 and an additional £20m was returned to Shareholders on 15 May 2018. The total amount of capital and dividends returned to Shareholders since 30 September 2017 to the date of this report is £36.6m. The total amount returned since the initiation of the realisation programme via capital and dividend payments is £54.8m.The table below sets out the payments announced and paid since the initiation of the realisation programme.

*Figures for Q2 2018 were paid after the end of the accounting period.

The Board anticipates that further payments of approximately £18m will be announced during the second half of 2018 although this may be subject to change owing to variable market conditions and performance of the individual assets. We may therefore not meet these estimated targets.

Performance

The Company's NAV as at the end of 31 March 2018, was 88.89 pence per Share. More details of the portfolio and performance are set out in the Investment Managers Report on page 10 of these interim financial statements.

During the Period, the Company's NAV total return was (1.12)% (dividends reinvested) and was 22% since inception (net of issue costs and with dividends reinvested). The NAV per Share declined from 90.5 pence per Share at 30 September 2017 to 88.89 pence per Share at 31 March 2018, net of distributions.

During the Period, the Share Price decreased from 90.50 pence at the close of business on 30 September 2017 to 81.25 pence at the close of business 31 March 2018.  Accordingly, the discount to NAV widened from 2.59% on 30 September 2017 to 8.60% at the end of the Period.

The share price total return for the Period was -7.13%, dividends reinvested. Since launch, the share price total return to 31 March 2018 was 9.71% dividends reinvested.

Chairman's Statement (continued)

Total Expense Ratio

As the size of the Company's total net assets declines there will be a direct impact on the total expense ratio (the "TER"). With this in mind, the Board is focused on controlling the TER, although recognising that it will naturally increase gradually as some fixed costs are required to maintain the current levels of governance and operational administration, despite reducing net assets. Accordingly, the fixed cost base will be kept under review to ensure that the level of infrastructure required continues to be appropriate for the size of the Company.

Dividends

Dividends declared for the Period came to 2.5 pence per Share, with two dividends being declared and paid during the Period: 1.75 pence per Share was paid on 30 November 2017 for the period ended 30 September 2017 and 1.25 pence per Share was paid on 28 February 2018. Following the period end a further dividend of 1.25p was declared and paid on 31 May 2018.

Annual General Meeting

The AGM of the Company was held on 28 March 2018 and I am pleased to report that each of the resolutions were duly passed and would thank you for your continued support.

Outlook

I have been encouraged by the levels of capital returns we have been able to make thus far and we will continue to be proactive with the Investment Advisor to ensure that continued disposals provide the same positive returns to Shareholders. As the Company becomes smaller, the frequency and levels of payments will vary and it is expected that the levels of income available for the payment of dividends will decline as the portfolio becomes more concentrated. The Board has commenced a review of the Company's viability and future operating model and, as noted above, is mindful of the increasing TER. We will keep Shareholders updated accordingly, although it is unlikely that there will be any significant changes prior to the financial year end of the Company.

Rob King

Non-executive Chairman

24 May 2018

Investment Manager's Report

Performance

During the period from 1 October 2017 to 31 March 2018, the Company's NAV performance (dividends reinvested) was (1.12)%.

The month-on-month total return since inception, dividends reinvested, was as follows:

Since inception, the Company recorded the following dividends:

From 1 January 2017, the Company entered into a Realisation Period and started to return unencumbered cash balances to Shareholders in the form of shares cancellation.

(1) There were 130,000,000 shares in issue at IPO.

It is expected that the portfolio will be substantially realised and 90% of the projected cash proceeds returned to investors by mid 2021.

Investment Manager's Report (continued)

Investment Review

As of 31 March 2018, the Company was 72.97% invested.

The sector allocation as at 31 March 2018 reflected a significant representation of corporate and SME loans.

Geographically the portfolio diversification changed as the consequence of amortizing positions.

As at 31 March 2018, the top five holdings were the following

Investment Manager's Report (continued)

The Company's activity continues to centre on portfolio management and management of currency and counterparty risks since it commenced its Realisation Period from 1 January 2017. During the period, two corporate loans risk-sharing transactions issued by the same issuer were called with one realising IRRs (Internal rate of return) at circa 10.3% and the second realising an overall IRR at 9.65% as of April 2018.

Investment Portfolio Outlook

During the Realisation Period, the Company will continue to manage the portfolio and to assess the opportunistic early sale of the more liquid assets to maximise the return of capital to shareholders.

As a significant part of the Company's assets are denominated in Euros or US Dollars, it will also continue to manage the foreign exchange exposure of the portfolio.

The Investment Adviser maintains a Base Case for each investment in the portfolio, depending on its characteristics and underlying collateral. The Base 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 March 2018, the Investment Adviser's indicative estimates of the internal rates of portfolio return, calculated on the invested capital of the Company, is 9.65% if all investments perform in line with the "Base Case".

Shareholders should note that, due to the diversification of the portfolio's holdings, it is unlikely that all investments would perform in line with the Base case.

Under the Base Case, it is estimated that investment cash flows during 2018 and 2019 will be as detailed below, but there can be no assurances to this effect.

· Q2 2018 - £11.4m

· Q3 2018 - £3.6m

· Q4 2018 - £3.7m

· Q1 2019 - £3.1m

Based on the cash flows used to calculate the Base Case internal rate of return above, it is expected that the current portfolio will be substantially realised (assuming no assets are sold or otherwise disposed of) and over 90% of the projected cash proceeds returned to investors before mid 2021.

Investment Manager's Report (continued)

Investment Portfolio Outlook (continued)

Indicative internal rates of portfolio return are dependent on the underlying Base 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. Sensitivity 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 dated 23 September 2013 for risk factors (a copy of which is on the website of the Company at www.chenavaricapitalsolutions.com). Hypothetical performance results have many inherent limitations and 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.

Chenavari Investment Managers (Luxembourg) S.àRL.

Investment Manager

24 May 2018

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 assessment 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.

Statement of Principal Risks and Uncertainties (continued)

Statement of Principal Risks and Uncertainties (continued)

Statement of Directors' Responsibilities 

We confirm to the best of our knowledge that:

· these Condensed Unaudited Interim Financial Statements have been prepared in accordance with International Accounting Standard 34.

· the interim management report (comprising the Chairman's Statement and Investment Manager's Report) meets the requirements of an interim management report, and includes a fair review of the information required by:

(a) DTR 4.2.7R of the Disclosure and Transparency Rules, being an indication of important events that have occurred during the period from 1 October 2017 to 31 March 2018 and their impact on the Unaudited Interim Financial Statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and

(b) DTR 4.2.8R of the Disclosure and Transparency Rules, being related party transactions that have taken place during the period from 1 October 2017 to 31 March 2018 and that have materially affected the financial position or performance of the entity during that period.

This responsibility statement was approved by the Board of Directors on 24 May 2018 and is signed on its behalf by:

Non-Executive Director: Non-Executive Director:

Date: 24 May 2018 Date: 24 May 2018

Independent Review Report to the Members of Chenavari Capital Solutions Limited

We have been engaged by the company to review the condensed set of financial statements in the interim financial report for the six months ended 31 March 2018 which comprises the Condensed Statement of Comprehensive Income, the Condensed Statement of Financial Position, the Condensed Statement of Changes in Equity, the Condensed Statement of Cash Flows and related notes 1 to 21. We have read the other information contained in the interim financial report and considered whether it contains any apparent misstatements or material inconsistencies with the information in the condensed set of financial statements.

This report is made solely to the company in accordance with International Standard on Review Engagements (UK and Ireland) 2410 "Review of Interim Financial Information Performed by the Independent Auditor of the Entity" issued by the Auditing Practices Board. Our work has been undertaken so that we might state to the company those matters we are required to state to it in an independent review report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the company, for our review work, for this report, or for the conclusions we have formed.

Directors' responsibilities

The interim financial report is the responsibility of, and has been approved by, the directors. The directors are responsible for preparing the interim financial report in accordance with the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority.

As disclosed in note 2, the annual financial statements of the Company are prepared in accordance with IFRSs as adopted by the European Union. The condensed set of financial statements included in this interim financial report has been prepared in accordance with International Accounting Standard 34 "Interim Financial Reporting" as adopted by the European Union.

Our responsibility

Our responsibility is to express to the Company a conclusion on the condensed set of financial statements in the interim financial report based on our review.

Scope of review

We conducted our review in accordance with International Standard on Review Engagements (UK and Ireland) 2410 "Review of Interim Financial Information Performed by the Independent Auditor of the Entity" issued by the Auditing Practices Board for use in the United Kingdom. A review of interim financial information consists of making inquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing (UK) and consequently does not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion.

Conclusion

Based on our review, nothing has come to our attention that causes us to believe that the condensed set of financial statements in the interim financial report for the six months ended 31 March 2018 is not prepared, in all material respects, in accordance with International Accounting Standard 34 as adopted by the European Union and the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority.

Deloitte LLP

Statutory Auditor

St Peter Port, Guernsey

24 May 2018 

Condensed Unaudited Statement of Comprehensive Income

For the period ended 31 March 2018

All amounts relate to continuing operations. There were no items recognised as other comprehensive income that have not already been recognised in loss/ profit for the period. As such, this represents total comprehensive income for the period.

All items in the above statement derive from continuing operations.

The condensed schedule of investments and the notes to the financial statements are an integral part of the financial statements.

Condensed Unaudited Statement of Financial Position

As at 31 March 2018

The financial statements on pages 19 to 22 were approved by the Board of Directors and authorised for issue on 24 May 2018.

Non-Executive Director: Non-Executive Director:

Date: 24 May 2018 Date: 24 May 2018

The condensed schedule of investments and the notes to the financial statements are an integral part of the financial statements. 

Condensed Unaudited Statement of Changes in Equity

For the period ended 31 March 2018

For the period ended 31 March 2017

The condensed schedule of investments and the notes to the financial statements are an integral part of the financial statements. 

Condensed Unaudited Statement of Cash Flows

For the period ended 31 March 2018

 Notes to the Condensed Unaudited Financial Statements

1. General information

Background information on the Company's activities can be found in the Company's prospectus dated 23 September 2013 and please also refer to the year end 2017 Financial Statements, both of which are available on our website address www.chenavaricapitalsolutions.com.

2. Summary of significant accounting policies

The principal accounting policies applied in the preparation of these financial statements are set out below.

2.1 Basis of preparation

The Annual Financial Statements of the Company are prepared in accordance with IFRS as adopted by the European Union, the Disclosure and Transparency Rules of the Financial Conduct Authority and applicable legal and regulatory requirements of the Law. The condensed set of financial statements have been prepared in accordance with International Accounting Standard 34 "Interim Financial Reporting as adopted by the European Union".

The same accounting policies, presentation and methods of computation are followed in the condensed set of financial statements as applied in the Company's latest set of audited financial statements, a copy of which can be found on our website at www.chenavaricapitalsolutions.com.

2.2 Going concern

The Directors believe that it is appropriate to adopt the going concern basis in preparing the Financial Statements. In reaching their view and, as explained in the Corporate Summary on page 5, following the commencement of the Company's Realisation Period on 1 January 2017, it is the Board's current expectation that the portfolio will be substantially realised by mid 2021. The Directors have further 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.

3. Critical accounting judgements and key sources of estimation uncertainty

The preparation of the Company's Financial Statements requires management to make judgements, estimates and assumptions that affect the reported amounts of revenues, expenses, assets and liabilities and the accompanying disclosures. Uncertainty about these assumptions and estimates could result in outcomes that require a material adjustment to the carrying amount of assets or liabilities affected in future periods.

3.1 Key sources of estimation uncertainty

Fair value of financial instruments

The assets held by the Company are mostly valued through a combination of dedicated price feeds from recognised valuation vendors and the application of relevant broker quotations where the broker is a recognised market maker in the respective position and where there are not readily available, internal valuations are used.

A documented valuation policy determines the hierarchy of prices to be applied to the fair value. Prices are sourced from third party broker or dealer quotes for the relevant security. Where no third party price is available, or where the Investment Manager determines that the third party quote is not an accurate representation of the fair value, the Investment Manager will determine the valuation based on the valuation policy. This may include the use of a comparable arm's length transaction, reference to other securities that are substantially the same, discounted cash flow analysis and other valuation techniques commonly used by market participants making the maximum use of market inputs and relying as little as possible on entity-specific inputs.

Note 7 outlines the Level 3 classifications and the analysis of the impacts of Level 3 investments on the performance of the Company.

Notes to the Condensed Unaudited Financial Statements (continued)

3. Critical accounting judgements and key sources of estimation uncertainty (continued)

3.2 Critical judgements in applying accounting policies

Functional currency

The Company transacts and holds investments and cash balances in multiple currencies. The Board of Directors considers GBP (£) as the currency that most fairly represents the economic effect of the underlying transactions, events and conditions. The performance of the Company is measured and reported to the investors in GBP.

Valuation and classification of investments

The Board of Directors consider the valuation of investments and the classification of these investments in the fair value hierarchy as the critical judgements. The fair value of investments is described in 3.1 above and the judgements associated with the disclosures in the fair value hierarchy are described in note 7.

4. Related Parties

(a) Directors' Remuneration & Expenses

The Directors of the Company are remunerated for their services at such a rate as the Directors determine. The fee for Mr. Mouchotte is £37,500. The fee for Mr. Stokes as Chairman of the Audit Committee is £40,000 per annum. The fee for Mr. King as Chairman is £40,000 per annum.

During the period ended 31 March 2018, Directors fees of £57,500 (for the period ended 31 March 2017: £57,500) were charged to the Company, of which £nil (30 September 2017: £nil) remained payable at the end of the period.

(b) Shares held by related parties

At 31 March 2018, the Directors held the following Shares in the Company: Mr King 27,022, Mr Stokes 36,029 and Mr Mouchotte 4,505.

As at 31 March 2018 neither the Investment Manager nor partners and employees of the Investment Manager or the Investment Advisor held any of the Issued Share Capital. Chenavari Investment Managers Holdings, which is the holding Company of the Investment Manager and the Investment Advisor held 1,050,032 shares of the Company.

In addition, as of 31 March 2018, a fund managed by the Investment Manager held 20,968,570 shares of the Company.

(c) Investment Manager and AIFM

The Company receives investment management services from the Investment Manager, a limited company (Société à Responsabilité Limitée de Droit Luxembourgeois) incorporated in Luxembourg. Under the terms of the investment management agreement dated 23 September 2013 as novated on 22 July 2014 the Investment Manager receives in return a fee of one-twelfth of 1% on the NAV, payable monthly in arrears. The Investment Manager has appointed the Investment Adviser, to provide investment advisory services to the Investment Manager. The Investment Manager is responsible for paying the Investment Adviser. The Investment Management Agreement is terminable by either the Investment Manager or the Company giving to the other not less than 12 months' written notice, such notice not to be served before the fourth anniversary of Admission.

Total management fees for the period amounted to £496,718 for Chenavari Investment Managers (Luxembourg) S.àRL (for the period ended 31 March 2017: £603,454) with £77,125 (30 September 2017: £188,612) in outstanding accrued fees at the period 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 31 March 2018, no performance fee was accrued according to those principles.

Notes to the Condensed Unaudited Financial Statements (continued)

4. Related Parties (continued)

(c) Investment Manager and AIFM (continued)

The Company has funded investments with a value of £37,861,152 via Convertible Preferred Equity Certificates and/or occasionally beneficiary shares issued by legally segregated compartments of AREO S.àRL ("Areo"), a company incorporated in Luxembourg under the Securitization Law of 2004. Areo is owned by the Chenavari group and Chenavari funds and is managed by a Board of Directors composed of a majority of independent directors that consider investment opportunities sourced by the Investment Adviser. The Company is currently invested in six compartments of Areo, which it fair values in accordance with IFRS 13 as set out in the Company's accounting policies. The Investment Manager and Investment Adviser receive no fees from Areo in relation to these transactions.

5. Material Agreements

(a) Corporate broker

Fidante Partners Europe Limited, trading as Fidante Capital, receives a retainer for their corporate broking services of £75,000 per annum, payable semi-annually in arrears.

(b) Administration fee

Estera Administration (Guernsey) Limited (formerly Morgan Sharpe Administration Limited) (the "Administrator") serves as the Company's administrator and secretary. The Administrator is entitled to a fee of £52,000 per annum. All fees are payable quarterly in advance. Administration fees for the period amounted to £26,000 (period ended 31 March 2017: £26,000).

(c) Sub-administration fee

The Administrator has appointed Quintillion Limited (the "Sub-Administrator") as the Company's sub-administrator.

The Sub-Administrator is entitled to receive an annual asset-based fee from the Company of up to 0.085% per annum of NAV, excluding certain expenses. Sub-administration fees for the period amounted to £31,724 (period ended 31 March 2017: £40,761) of which £9,734 (30 September 2017: £5,946) remained payable at the end of the period.

(d) Custodian fee

JPMorgan Chase Bank N.A has been appointed to act as custodian to the Company and to provide custodial, settlement and other associated services to the Company. Under the provisions of the custodian agreement dated 5 September 2013 the Custodian is entitled to a safekeeping and administration fee on each transaction calculated using a basis point fee charge based on the country of settlement and the value of the assets together with various other payment/wire charges on outgoing payments, subject to an aggregate minimum fee of £31,500 per annum.

(e) Depository fee

Elavon Financial Services Limited has been appointed to act as depository to the Company. The Depository is entitled to 0.05% per annum of NAV. Depository fees for the period amounted to £2,484 (period ended 31 March 2017: £3,017) of which £779 (30 September 2017: £453) remained payable at the end of the period.

(f) Investment Manager

Contractual arrangements relating to the Investment Manager are detailed in note 4.

6. Financial risk management

The responsibility for financial risk management lies with the Board of the Company but it has delegated the day to day monitoring of this to the Investment Manager.

The Investment Adviser will be responsible for sourcing potential investments. Recommended investments will be presented to the Investment Manager for its approval. The Investment Manager will not be required to, and generally will not, submit decisions concerning the discretionary or ongoing management of the Company's assets for the approval of the Board, except where such approval relates to an application of the investment guidelines or a conflict of interest. Any investment recommended by the Investment Adviser which the Investment Manager rejects will however, be promptly notified to the Board.

Notes to the Condensed Unaudited Financial Statements (continued)

6. Financial risk management (continued)

6.1 Credit risk

The main concentration of credit risk to which the Company is exposed arises from the Company's investments in Regulatory Capital Transactions.

The Company mitigates its credit risk on Regulatory Capital transactions through extensive due diligence before investment.

To the extent that the Portfolio is exposed to underlying concentrations in any one geographical region, borrower sector or credit or asset type, an economic downturn relating generally to such geographical region, borrower type or credit or asset type may result in an increase in underlying defaults or prepayments within a short time period. This could reduce the Company's income (and thus the ability to pay dividends to Shareholders), the NAV and the value of the Shares. The Portfolio is expected to carry leveraged exposure and an increase in credit losses with respect to any or all Collateral could reduce the Company's income (and thus the ability to pay dividends to Shareholders), the NAV and the value of the Shares.

No more than 20% of the NAV, calculated at the time of investment, will be exposed to any one Bank Counterparty. Such exposure will be calculated on a net basis, taking into account effective credit hedging arrangements entered into by the Company in relation to the relevant Bank Counterparty. This limit shall increase 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.

Where credit hedging arrangements are used in order to comply with these limits, the hedges will be maintained such that the net exposure to the Bank Counterparty is no more than 20% of the NAV as at the date that any relevant credit hedging contract matures or is adjusted or rolled over.

For the avoidance of doubt, cash pending investment or held on deposit under the terms of an Investment Instrument may be held without limit with a financial institution with short term credit ratings of A-2 (Standard & Poor's) or P-2 (Moody's) or better.

The Company manages the portfolio with appropriate diversification in terms of sectors and geographical breakdowns.

As at 31 March 2018 and 30 September 2017, the breakdown of the NAV per asset class and geography was as follows:

Notes to the Condensed Unaudited Financial Statements (continued)

6. Financial risk management (continued)

6.1 Credit risk (continued)

The Company is also exposed to counterparty credit risk on forwards, cash and cash equivalents, amounts due from brokers and other receivable balances, as shown in the following table:

* JP Morgan cash and cash equivalents represents cash held in a custodian account.

Offsetting Financial Assets and Financial Liabilities

The Company enters into transactions with a number of counterparties whereby the resulting financial instrument is subject to an enforceable master netting arrangement or similar agreement, such as an International Swaps and Derivatives Association ("ISDA") Master Agreement (a "Master Netting Agreement"). Such Master Netting Agreements may allow for net settlement of certain open contracts where the Company and the respective counterparty both elect to settle on a net basis. In the absence of such an election, contracts will be settled on a gross basis. All Master Netting Agreements allow for net settlement at the option of the non-defaulting party in an event of default, such as failure to make payment when due or bankruptcy.

Notes to the Condensed Unaudited Financial Statements (continued)

6. Financial risk management (continued)

6.1 Credit risk (continued)

Offsetting Financial Assets and Financial Liabilities (continued)

The Company receives and provides cash collateral in respect of derivative transactions subject to the standard industry terms of ISDA's Credit Support Annex.

None of the financial assets and financial liabilities are offset in the Statement of Financial Position, as the Master Netting Agreements create a right of set-off of recognized amounts that is enforceable only following an event of default, insolvency or bankruptcy of the Company or counterparties. In addition, the Company and its counterparties do not intend to settle on a net basis or to realise the assets and settle the liabilities simultaneously.

6.2 Foreign currency risk

Foreign currency risk is the risk of gain or loss resulting from exposure to movements on exchange rates on investments priced in currencies other than the base currency of the Company. The Company does not actively take risk in foreign currency, but incurs it as a normal course of business and employs a series of economic hedges to minimise these risks.

The currency exposure as at 31 March 2018 is as follows:

The currency exposure as at 30 September 2017 is as follows:

6.3 Interest rate risk

Interest rate risk is the risk of gain or loss resulting from exposure to movements on interest rates. The Company only holds floating rate financial instruments which have little exposure to fair value interest rate risk as, when the short term interest rates increase, the interest on a floating rate note will increase. The value of asset backed securities may be affected by interest rate movements, i.e. if interest rates increased/ decreased this would have a positive/ negative impact on NAV. Interest receivable on bank deposits or payable on bank overdraft positions will be affected by fluctuations on interest rates; however the underlying cash positions will not be affected.

The Company's continuing position in relation to interest rate risk is monitored by the Investment Manager.

Notes to the Condensed Unaudited Financial Statements (continued)

6. Financial risk management (continued)

6.3 Interest rate risk (continued)

6.4 Liquidity risk

A proportion of the Company's statement of financial position is made up of assets and liabilities which may not be realisable as cash on demand. As a result an exposure to liquidity risk exists. This risk is mitigated by the closed-ended nature of the Company and the reinvestment Period and distribution features.

The table below analyses the Company's liabilities into relevant maturity groups based on the remaining period at the statement of financial position date to the contractual maturity date.

The Company is all equity funded and has been established as a Registered Closed-ended Collective Investment Scheme. Other than in the circumstances and subject to the conditions set out in Part I of the prospectus, Shareholders will have no right to have their Shares redeemed or repurchased by the Company at any time. Shareholders wishing to realise their investment in the Company will normally therefore be required to dispose of their Shares through the secondary market.

6.5 Price risk

Market price risk arises mainly from uncertainty about future prices of financial instruments and credit ratings of debt issuers in which the Company invests. Market price risk represents the potential loss the Company may suffer through price movements on its investments.

The Company is exposed to market price risk arising from the investments in equity securities, debt and derivatives.

The Investment Manager manages the Company's price risk and monitors its overall market positions on a daily basis in accordance with the Company's investment objective and policies. The Company's overall market positions are monitored on a quarterly basis by the Board of Directors.

As at 31 March 2018, a 5% movement in prices (with all other variables held constant) would have resulted in a change to the total net assets of £3,384,485 (30 September 2017: £4,560,477).

Notes to the Condensed Unaudited Financial Statements (continued)

7. Fair value of financial instruments

The fair values of financial assets and liabilities traded in active markets (such as publicly traded derivatives and trading securities) are based on quoted market prices at the close of trading on the period end date. The Company has adopted IFRS 13, 'Fair value measurement' and this standard requires the Company to price its financial assets and liabilities using the price in the bid-ask spread that is most representative of fair value for both financial assets and financial liabilities. If a significant movement in fair value occurs subsequent to the close of trading up to midnight on the period end date, valuation techniques will be applied to determine the fair value. No such event occurred. An active market is a market in which transactions for the asset or liability take place with sufficient frequency and volume to provide pricing information on an ongoing basis.

For financial assets and liabilities not traded in active markets the fair value is determined by using various methods including internal models, alternative price sources including a combination of dedicated price feeds from recognised valuation vendors and the application of relevant broker quotations where the broker is a recognised dealer in the respective position. Where broker quotes are not available, investment valuations are based on the Investment Adviser's internal models.

The hierarchy is broken down into three levels based on the observability of inputs as follows:

Level 1: Quoted price (unadjusted) in an active market for an identical instrument.

Level 2: Valuation techniques based on observable inputs, either directly (i.e. as prices) or indirectly (i.e. derived from prices). This category includes instruments valued using: quoted prices in active markets for similar instruments; quoted prices for identical or similar instruments in markets that are considered less than active; or other valuation techniques for which all significant inputs are directly or indirectly observable from market data.

Level 3: Valuation techniques using significant unobservable inputs. This category includes all instruments for which the valuation technique includes inputs not based on observable data and the unobservable inputs have a significant effect on the instrument's valuation. This category includes instruments that are valued based on quoted prices for similar instruments for which significant unobservable adjustments or assumptions are required to reflect differences between the instruments.

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability.

The determination of what constitutes 'observable' requires significant judgement by the Company. The Company considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

Notes to the Condensed Unaudited Financial Statements (continued)

7. Fair value of financial instruments (continued)

The following tables show the Company's assets and liabilities based on the hierarchy set out in IFRS 13:

As at 31 March 2018

As at 30 September 2017

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include corporate bonds, asset backed bonds, certain non-sovereign obligations and over-the-counter derivatives. As Level 3 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently.

Notes to the Condensed Unaudited Financial Statements (continued)

7. Fair value of financial instruments (continued)

There has been no transfer from Level 3 to Level 2 (30 September 2017: no transfer from Level 3 to Level 2) during the period. Ten Level 3 investments (30 September 2017: Eleven) were held at period end. There has been no transfer from Level 2 to Level 3 (30 September 2017: one transfer from Level 2 to Level 3).

As of 31 March 2018, ten (30 September 2017: eleven) investments were categorised within Level 3 of the fair value hierarchy, representing 73.40% (30 September 2017: 82.02%) of the NAV.

In order to measure Level 3 assets sensitivities, the Company is using the sensitivity scenario prepared by the Investment Adviser. Those scenario are testing all main parameters simultaneously and do not represent levels at which a transaction who occur on those investments in normal conditions. Typical parameters tested are default rates, recovery rates and prepayment rates. An increase in default rates would result in a decrease to the NAV. An increase in recovery rates and prepayments would result in an increase to the NAV. 

Notes to the Condensed Unaudited Financial Statements (continued)

7. Fair value of financial instruments (continued)

The intensity of test varies across the portfolio and differ according to asset class, sector, vintage and country.

Transaction 4

The main sensitivity of the transaction is to the occurrence of defaults and recovery rates in the underlying reference pool.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (0.74)% (30 September 2017: 3.09%).

Transaction 8

The main sensitivity of the transaction is to the collection level on the pool of loans.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (1.97)% (30 September 2017: 0.90 %).

Transaction 9

The main sensitivity of the transaction is to the collection level on the pool of loans.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (0.42)% (30 September 2017: 0.18%).

Transaction 11

The main sensitivity of the transaction is to the occurrence of defaults and recovery rates in the underlying reference pool.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (0.20)% (30 September 2017: 0.12%).

Transaction 12

The main sensitivity of the transaction is to the occurrence of defaults and recovery rates in the underlying reference pool.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (0.13)% (30 September 2017: 0.09%).

Transaction 15

The main sensitivity of the transaction is to the occurrence of defaults in the underlying reference pool and extension risk.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (0.11)% (30 September 2017: 0.08%).

Transaction 16

The main sensitivity of the transaction is to the occurrence of defaults and recovery rates in the underlying reference pool.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (1.29)% (30 September 2017: 0.60%).

Transaction 17

The main sensitivity of the transaction is to the occurrence of defaults and recovery rates in the underlying reference pool.

In the Investment Adviser's sensitivity scenario the impact to the Company's NAV is (0.41)% (30 September 2017: 0.20%).

Notes to the Condensed Unaudited Financial Statements (continued)

8. Earnings per Share - Basic & Diluted

The earnings per Share - Basic and Diluted of (0.76)p (six months to 31 March 2017: 2.20p) has been calculated based on the weighted average number of Shares of 108,695,671 (2017: 130,242,000) and a net loss of £828,248 (six months to 31 March 2017: net gain of £2,741,177).

There were no dilutive elements to Shares issued or repurchased during the Period.

9. NAV per Share

The NAV per Share of 88.89p (30 September 2017: 92.91p) is determined by dividing the net assets of the Company attributed to the Shares of £ 92,757,524 (30 September 2017: £108,941,985) by the number of Shares in issue at 31 March 2018 of 104,345,215 (30 September 2017: 117,253,944).

10. Financial assets and financial liabilities at fair value through profit or loss

11. Net (loss)/gain on financial assets and financial liabilities at fair value through profit or loss, foreign exchange and forward contracts

Notes to the Condensed Unaudited Financial Statements (continued)

12. Due from and to brokers

Collateral and funding cash is held in respect of the credit default contracts as detailed in note 6.1

13. Other receivables and prepayments

14. Accrued expenses

15. Share capital

The authorised share capital of the Company consists of an unlimited number of unclassified shares of no par value. The unclassified shares may be issued as, (a) Shares in such currencies as the Directors may determine; (b) C Shares in such currencies as the Directors may determine; and (c) such other classes of shares in such currencies as the Directors may determine in accordance with the Articles and the Law. Shares will be redeemable at the option of the Company and not Shareholders.

The rights attaching to the Shares are the same as those presented in the Company's latest audited annual financial statements, a copy of which can be found on our website at www.chenavaricapitalsolutions.com

During the period, the Company announced two compulsory partial redemption payments in November 2017 and April 2018. The amount of the redemption payments totalled £32m. For more information please refer to Notes 19 and 20.

Capital Management

The Company's objectives when managing capital are to safeguard the Company's ability to continue as a going concern to provide returns to Shareholders and benefits for other stakeholders and to maintain an optimal capital structure to reduce the cost of capital. To maintain or adjust the capital structure, the Company may adjust the amount of dividends paid to Shareholders, return capital to shareholders, issue new shares or sell assets.

Notes to the Condensed Unaudited Financial Statements (continued)

16. Segmental reporting

The Board is responsible for reviewing the Company's entire portfolio and considers the business to have a single operating segment. The Board's asset allocation decisions are based on a single, integrated investment strategy being investments in bank capital solutions transactions and the Company's performance is evaluated on an overall basis.

The Company invests in a diversified portfolio of bank capital solutions transactions. The fair value of the major financial instruments held by the Company and the equivalent percentages of the total value of the Company, are reported in the Schedule of Investments.

Revenue earned is reported separately on the face of the Statement of Comprehensive Income as investment income being interest income received from bank capital solutions transactions.

17. Dividend policy

Subject to compliance with the Companies (Guernsey) Law, 2008 (as amended) and the satisfaction of the solvency test, the Company intends to distribute all its income received from investments, net of expenses, by way of dividends on a quarterly basis with dividends declared in October, January, April and July each year and paid in November, February, May and August.

The Company declared two dividends in respect of the period ended 31 March 2018: 1.25 pence per Share paid on 28 February 2018 for the period ended 31 December 2017 and 1.25 pence per Share to be paid on 31 May 2018 for the period ended 31 March 2018. On 30 November 2017, a dividend of 1.75 pence per Share was paid for the period ended 30 September 2017.

Under the Companies (Guernsey) Law, 2008 (as amended), companies can pay dividends in excess of accounting profit provided they satisfy the solvency test prescribed by the Companies Law. The solvency test considers whether a company is able to pay its debts when they fall due, and whether the value of a company's assets is greater than its liabilities.

18. Derivative financial instruments

The Company holds the following derivative instruments:

CDS

These are derivative contracts referencing an underlying credit exposure, which can either be a single credit issuer or a portfolio of credit issuers. The Company pays or receives an interest flow in return for the counterparty accepting or selling all or part of the risk of default or failure to pay of a reference entity on which the swap is written. Where the Company has bought protection the maximum potential payout is the value of the interest flows the Company is contracted to pay until the maturity of the contract.

Forward foreign currency contracts

Forward foreign currency contracts entered into by the Company represent a firm commitment to buy or sell an underlying currency at a specified value and point in time based upon an agreed or contracted quantity. The realised/unrealised gain or loss is equal to the difference between the value of the contract at trade date and the value of the contract at settlement date/year-end date, and is included in the Statement of Comprehensive Income.

Notes to the Condensed Unaudited Financial Statements (continued)

18. Derivative financial instruments (continued)

Forward foreign currency contracts (continued)

The following table shows the Company's derivative position as at 31 March 2018: