Chenavari Toro Regulatory News (TORO)

Toro Limited

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

Guernsey with registered number 59940)

Unaudited Interim Financial Statements

For the period from 1 October 2016 to 31 March 2017

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 "Portfolio 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 the Toro 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 2016 to 31 March 2017

Corporate Summary

General Information

Chairman's Statement

Portfolio Manager's Report

Statement of Principal Risks and Uncertainties

Statement of Directors' Responsibilities

Independent Review Report to the Members of Toro 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 Unaudited 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 annual report, including in the Chairman's Statement. They include statements regarding the intentions, beliefs or expectations of the Company or the Portfolio 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 Portfolio Manager and the Portfolio 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.

Commodity Exchange Affirmation Statement

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

I, Loic Fery, hereby affirm that, to the best of my knowledge and belief, the information contained in this interim report and unaudited interim financial statements is accurate and complete.

Loic Fery

Chief Executive Officer and representative of Chenavari Credit Partners LLP, Commodity Pool Operator of Toro Limited.

25 May 2017

Highlights for the period from 1 October 2016 to 31 March 2017

· During the period from 1 October 2016 to 31 March 2017 (the "Period"), the Company's net asset value ("NAV") per Ordinary Share ("Share) increased by 2.42% to close at 99.73 cents, net of dividends.

· The NAV performance, dividends reinvested, was 5.05% during the period. Dividends of 2.50 cents per Share were paid in respect of each period, with 1.25 cents per Share related to the quarter to 30 September 2016 and 1.25 cents per Share related to the quarter to 31 December 2016. On 24 April 2017 the Company announced a further dividend payment of 1.50 cents per Share for the quarter to 31 March 2017.

· The Company's mid-market share price at 31 March 2017 was 86.75 cents, representing a discount to NAV of 13.02%.

· The profit for the Period was €13.2 million, or 3.88 cents per Share, taking into account recognition of the following significant items:

o total net income of €18.4 million.

o total operating expenses of €5.08 million.

· At 31 March 2017 the Company was 96.2% invested and its free cash holdings were €2.3 million.

Corporate Summary

For the Period

The Company

Toro 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 Company's Ordinary Shares (the "Shares") were admitted to trading on the Specialist Fund Segment ("SFS") of the London Stock Exchange and the International Stock Exchange (formerly the Channel Islands Security Exchange Authority Limited) ("TISE") on 8 May 2015.

Investment objective and policy

The investment objective of the Company is to deliver an absolute return from investing and trading in Asset Backed Securities ("ABS") and other structured credit investments in liquid markets, and investing directly or indirectly in asset backed transactions including, without limitation, through the origination of credit portfolios.

Target returns and dividend policy

On the basis of market conditions as at the date of the prospectus (28 April 2015), and whilst not forming part of its investment objective or investment policy, the Company will target (i) a NAV total return (including dividend payments) of 12% to 15% per annum over three to five years once the Company is fully invested and (ii) a dividend of 5% per annum payable quarterly in March, June, September and December of each year.

Subsequent to period end the Company announced on 12 May 2017 its target dividend would be increased to 8 cents per ordinary share per annum, compared to the initial target of 5 cents (annualised) stated in the prospectus published in connection with the Company's May 2015 IPO.

Asset values

At 31 March 2017, the Company's NAV was €332,660,947, with the NAV per Share amounting to 99.73 cents. 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.

Website

The Company's website address is www.torolimited.gg 

Listing information

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

The ISIN number of the Euro Shares is GG00BWBSDM98 and the SEDOL is BWBSDM9.

The closing price of the Shares quoted on the SFS at 31 March 2017 was 86.75 cents per Share.

The average closing price of the Shares over the Period was 86.01 cents per Share.

General Information

Chairman's Statement

Introduction

On behalf of the Board, I am pleased to present my report on the Company's progress for the Period.

Financial performance

The Company's share price was 86.75 cents as of 31 March 2017, trading then at a discount to NAV of 13.02%.

During the period from 1 October 2016 to 31 March 2017, the Company's NAV total return was 5.05%.

Over the Period the Company generated a profit of €13.2 million or a profit of 3.88 cents per share.

The NAV per share was 99.73 cents at 31 March 2017.

The Company's NAV increased during the period by 2.42% (net of dividend).

The Board initiated the buy-back policy published in the Prospectus in October 2016 as per the shareholder circular dated 22 July 2016 and further renewed in the shareholder circular dated 17 February 2017.

Dividends

Since inception, the Company has declared seven dividends. The total dividend for the six months period is 2.5 cents, to be compared with an annual target of 5 per cent of the Issue Price per Share as set out in the IPO prospectus.

Subsequent to period end the Company announced on 12 May 2017 its target dividend would be increased to at least 8 cents per ordinary share per annum, compared to the initial target of 5 cents (annualised) stated in the prospectus published in connection with the Company's May 2015 IPO.

Investment portfolio and outlook

Please refer to the Investment Outlook section of the Portfolio Manager's Report on page 11.

Frederic Hervouet

Non-executive Chairman

25 May 2017

Portfolio Manager's Report

Performance

During the Period, the Company NAV performance was 5.05% (dividend reinvested).

The month-on-month performance (dividend reinvested) since inception was the following:

Since inception, the Company has paid the following dividends:

In relation to the Period, the Company has declared dividends totalling 2.5 cents.

Portfolio breakdown

As at 31 March 2017, the Company was 96.2% invested.

The NAV allocation per asset class was as follows:

Portfolio Manager's Report (continued)

Portfolio breakdown (continued)

The geographical breakdown of the underlying assets was as follows:

Investment Strategy

Public ABS Strategy: The Company will opportunistically invest or trade in primary and secondary ABS markets to seek out opportunities that aim to unlock significant value from ABS investments that the Portfolio Manager considers to be mispriced by the market relative to their intrinsic value.

Private Asset Backed Finance Strategy: Through the Portfolio Manager, the Company will leverage on the extensive relationships it has with European Banks and retail credit firms in order to gain access and invest in private asset backed finance transactions that are otherwise unlisted and difficult to source.

Direct Origination Strategy: The Company will primarily invest, on a buy-to-hold basis, in Originators of securitisation vehicles by retaining the requisite Retention Securities in such vehicles, pursuant to the relevant risk retention requirements in the EU or the US. This strategy benefits from a liquidity premium and 'alpha' by participating in the origination, as well as enhanced economics on the retained interests, with further added value derived from the team's sourcing and structuring capabilities. Additional investment opportunities may also include providing warehouse credit facilities.

Gearing

The Company may use borrowings from time to time for the purpose of short term bridging, financing Share buy backs, repurchase agreements with market counterparties or managing working capital requirements, including hedging facilities. Cash borrowings can contribute alongside other forms of leverage to increase the level of gearing of the Company. The Company may also use gearing to increase potential returns to Shareholders. In the past, the Portfolio Manager has employed leverage against senior tranches of ABS to enhance their returns, and expects it will continue to do so, where the economic terms offered by counterparties can increase potential returns to Shareholders.

Activity of the Period

Market Overview

European ABS entered Q4 2016 continuing their streak of healthy performance overall as spreads remained firm, despite tapering fears and heightened volatility in the lead up to the US presidential election and Italian constitutional referendum. Nonetheless, performance became increasingly uneven and diverged across sectors. Spreads on UK Buy-to-Let and non-conforming RMBS initially softened on the back of heavy supply and fears over Brexit, while spreads on CLO 2.0 IG-rated tranches broke new record lows with AAA tranche pricing at EURIBOR 3M+96bps (vs. +150bps in January).

Portfolio Manager's Report (continued)

Market Overview (continued)

European ABS trading volumes were relatively muted towards the end of the year and European securitised products underperformed the broader credit markets, lagging the overall year-end rally. Spreads across the board were practically unchanged in December, while the iTraxx XOVER (S26) 5Y index rallied over 50bps (15%) in December. European Structured Finance new issuance was also virtually non-existent in December, with the only exception being three new CLOs, bringing year-to-date European CLO issuance to €16.8bn, up 24% year-on-year.

During Q1 2017, total gross European ABS issuance reached €11bn, while net issuance remained negative at €14bn due to sizeable redemption activity. Not only has the significant targeted longer-term refinancing operations takeout in March indicated a continuous contraction of ABS issuance from Eurozone banks, but the supply from private equity houses, finance companies and CLO managers has also remained limited as underlying assets such as secured leveraged loans are becoming scarcer and more expensive. Concurrently, a large number of transactions have been redeemed, or are scheduled to be called imminently, accounting for circa €2.5bn across the ABS spectrum. Such positive technical dynamics supported the market and spreads continued to rally across the board, eliminating the lag initiated at the end of last year compared to other liquid credit instruments.

High beta sectors including low mezzanine tranches were the clear outperformers, with generic CLO 2.0 BB and B spreads respectively tightening over the quarter by 120bps and 200bps, outperforming IG-rated tranches. There was a significant spread compression across the capital structure with an unsatisfied demand on non-IG bonds as secondary inventory was light. New CLO issuance started the year off slow, although finished the quarter slightly ahead of the same point last year, with c. €2.8bn issued from seven CLOs, five of which priced in March.

Trading Activity and drivers of performance

Trading activity declined from €100m in Q3 2016 to just over €22m in Q4 2016, as liquidity progressively waned going into the year-end while political headlines took a front seat. We selectively reduced Toro's exposure to Spanish and Greek ABS following a significant tightening of Greek Government Bonds ("GGB") (GGB 10yr tightened by over 100bps in the quarter). We also rebalanced the CLO exposure, switching out of some CLO BB and B rated tranches into primary CLO 2.0 with similar risks but higher returns. We also added three vintage Iberian mezzanine RMBS positions, offering an attractive risk/reward through a high cash-on-cash yield and potential upside in case of early redemption. We continued to rotate the portfolio into the Private Asset Backed Finance and Direct Origination strategies, completing the execution of two deals in November: a UK auto loan receivables transaction (Project Sacramento) and an Irish buy-to-let mortgage loans origination (Project Shamrock). Anticipated gross returns at closing stood at 13% and 15%, respectively, which should allow for an increase of the overall portfolio yield.

Q1 2017 was reasonably active as we traded 15 positions within the Public ABS sub-book and we continued to rebalance the portfolio out of Public ABS and into the Private Asset Backed Finance and Direct Origination Strategies, respectively increasing to 17.4% and 24.3% of Toro Limited's NAV, from 17.1% and 21.7% at the end of December. The substantial increase in the Direct Origination Strategy from the end of last quarter was the result of the pricing of Toro CLO 3 in early March where Toro Limited acquired in April, through its Originator subsidiary, a controlling stake in the equity (equivalent to the EU risk retention requirement), entitling it to a 100% rebate of the pro-rata CLO management fees. The transaction closed in mid-April at which time the ramp-up level was 70%. Under the base case, the forecasted gross return on the bundled investment stands at c. 20% p.a. This new CLO follows the pricing of TORO CLO 2 last summer that established Toro Limited's Originator credentials.

During the period from 1 October 2016 to 31 March 2017, the Company's NAV total return was 5.05%.

During Q4, Toro's net NAV was up 1.46%, dividend reinvested. The Public ABS Strategy contributed to over 2% of NAV appreciation and notably benefited from the sale of an illiquid mezzanine tranche of a CDO of ABS in November, realising a significant gain over the mark. Positive contributions also came from the early redemption of an Irish RMBS mezzanine position, the appreciation of the Punch Tavern positions following Heineken's takeover of the pubs operator, and a significant,

Portfolio Manager's Report (continued)

Trading Activity and drivers of performance (continued)

but expected principal payment on the Company's largest position, HOEF III A. The contribution from the Direct Origination Strategy was positive at +0.34%, while hedging costs contributed negatively by 0.28% and the Private Asset Back Finance Strategy was down 0.7% during the quarter. All positions within the Private Asset Back Finance Strategy posted positive numbers apart from WIND, the Spanish non-performing loans transaction, which was marked down by €3.2m (equivalent to -0.9% NAV) during the period. Following the updated business plans provided by the servicers in December, the price on WIND was revised lower on the back of more conservative recovery assumptions and longer time to liquidation. Although the position has been successively marked down since inception, we would expect to recover these mark-to-model losses ultimately and now see a 15% projected gross return based on a more certain resolution strategy.

The performance of the second quarter 2017 was 3.55% dividend reinvested. This strong performance was largely driven by trading gains, carry and price appreciation within the Public ABS Strategy, contributing to over 88% of the overall performance. Following a decent rally during the period, we took profit on CLO and UK RMBS and benefited from large payments on subordinated tranches of a CLO 2.0, two Portuguese SME CLOs, a UK non-conforming RMBS as well as a partial principal payment of a senior tranche of a CDO of ABS (HOEF III A, the largest position in Toro Limited).

Investment Outlook

As political risk in Europe recedes and economic data accelerates, we believe the European ABS market should continue to perform well, benefiting from negative net issuance and increasing demand for floating rate credit instruments. Such a positive backdrop should allow us to rebalance the portfolio further into the Direct Origination and Private Asset Backed Finance strategies which are anticipated to reach 50% of Toro Limited's NAV by the end of the year.

In addition to the anticipated closing of Project TCLO 1 Reset (refinancing of an existing CLO with partial retention of the equity tranche by Toro's originator subsidiary) and Project Clove 2 (purchase of a performing Irish residential mortgage portfolio) in June/ July, the expansion of the existing Irish mortgage loans origination strategy (project Shamrock) and Spanish real estate development financing platform (Project SpRED) should further increase the exposure to the Direct Origination strategy. Indeed, the pipeline on Project Shamrock has grown in excess of €50m since the official launch in January 2017 and loans completions are beginning to pick up pace. As these strategies further mature, we would anticipate their contribution to the overall performance of Toro to increase substantially in the months to come.

Post Balance Sheet Events

Following the period end, the Company announced a dividend of 1.5 cents per Ordinary share for the quarter ending 31 March 2017 which is due to be paid on 2 June 2017.

Chenavari Credit Partners LLP

Portfolio Manager

25 May 2017

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 Directors have undertaken a robust assessment of the principal risks facing the Company and have undertaken a detailed review of the effectiveness of the risk management and internal control systems. The Directors are comfortable that the risks are being appropriately monitored.

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 Portfolio 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 2016 to 31 March 2017 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 2016 to 31 March 2017 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 25 May 2017 and is signed on its behalf by:

Frederic Hervouet

Non-executive Chairman

Date: 25 May 2017

Independent Review Report to the Members of Toro Limited

We have been engaged by the Company to review the financial statements in the interim financial report for the period from 1 October 2016 to 31 March 2017 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 23. 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 IFRS 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 issued by the IASB.

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 Ireland) 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 period from 1 October 2016 to 31 March 2017 is not prepared, in all material respects, in accordance with International Accounting Standard 34 as issued by the IASB and the Disclosure and Transparency Rules of the United Kingdom's Financial Conduct Authority.

Deloitte LLP

Chartered Accountants

Guernsey

25 May 2017

Condensed Unaudited Statement of Comprehensive Income

For the period ended 31 March 2017

All items in the above statement derive from continuing operations.

The Condensed Unaudited Schedule of Investments and notes to the financial statements are an integral part of the financial statements.

Condensed Unaudited Statement of Financial Position

As at 31 March 2017

__________________________ __________________________

Director: Director:

Date: 25 May 2017 Date: 25 May 2017

The Condensed Unaudited Schedule of Investments and 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 2017

For the period ended 31 March 2016

The Condensed Unaudited Schedule of Investments and 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 2017

The Condensed Unaudited Schedule of Investments and notes to the financial statements are an integral part of the financial statements.

Condensed Unaudited Schedule of Investments, at Fair Value

As at 31 March 2017

\* This consists of all issued bonds where the fair value is less than 1% of the NAV of the Fund at 31 March 2017.

Condensed Unaudited Schedule of Investments, at Fair Value (continued)

As at 31 March 2017

Condensed Unaudited Schedule of Investments, at Fair Value

As at 30 September 2016

\* This consists of all issued bonds where the fair value is less than 1% of the NAV of the Fund at 30 September 2016.

Condensed Unaudited Schedule of Investments, at Fair Value (continued)

As at 30 September 2016