Toro : 02. Toro Limited Factsheet - January 2017

Investment Objective

The investment objective of Toro Limited (the "Company") is to generate attractive, risk-adjusted returns, through investing, and in some cases, trading opportunistically, in structured credit markets or asset backed transactions via three sub-strategies: Public Asset Backed Securities ("ABS"), Private Asset Backed Finance and Direct Origination.

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. Fund Performance1 23

15% NAV NAV w/ div. reinvest. Share Share w/ div. reinvest.

10.09%

10%

5%

0.93%

31 January 2017 Performance Summary (NAV with Dividend reinvested)1

Month-to-date 1.41%

Year-to-date 1.41%

Inception-to-date (annualised) 5.69%

Inception-to-date 10.09%

NAV1Share (mid)

NAV/Price €0.9892 €0.85122

Month-to-date 1.41% 0.29%†2

Year-to-date 1.41% 0.29%†2

Inception-to-date (annualised) 0.54% -2.70%†3

Inception-to-date 0.93% -4.64%†2Premium/Discount to NAV3-13.95%

Key Facts

Cumulative Distributions Since

Inception3€30.7m

Market Capitalisation^2€294.8m

Shares Outstanding^^2345.8m

Risk Limits3Current Level Limit

Leverage* 0.9x1.3x

Top 1 Position 8.2%30%

Top 5 Positions 30.7%50%

Key Terms

Net Target Return 12%-15% p.a.

Carne Global AIFM Solutions (C.I) Limited,

0% Investment Manager

regulated by the Jersey Financial Services Commission

-5%

-10%

-15%

-20%

-25%

Underlying Risk3

Corporate Residential Real Estate

Mixed ABS Consumer

SME

Trade Finance Commercial Real Estate Finance & Insurance Cash & Others

0.6%

5.8%

5.1%

3.3%

3.1%

8.0%

16.3%

23.7%

34.2%

-4.64%

-13.63%

Investment Adviser Chenavari Credit Partners LLP

Specialist Fund Segment of the London ListingStock Exchange and admitted to the Daily

Official List of the Channel Islands

Securities Exchange

Fund Type Closed-ended investment fund TIDM TORO

ISIN GG00BWBSDM98

Domicile Guernsey

Management Fees 1% p.a. of NAV

Performance Fees 15% of NAV total returns with a high

watermark

Inception Date 8 May 2015

Dividend Quarterly

ISA and SIPP Eligible Yes

Service Providers

Administrator Morgan Sharpe Administration Limited Sub-Administrator Quintillion Limited

Custodian J.P. Morgan Chase Bank N.A., Jersey

Branch

Registrar Capita Registrars (Guernsey) Ltd Corporate Broker Fidante Capital

Source: Quintillion (1), Bloomberg (2) and Chenavari (3), as of 31 January 2017. Total

Underlying Regional Exposure** 3~

Spain United Kingdom Rest of Europe Netherlands Germany United States

France Italy Portugal Ireland

Cash & Others

3.1%

2.4%

2.3%

4.1%

7.2%

8.9%

10.3%

13.0%

14.2%

18.3%

16.3%

returns are net of accrued liabilities, fees and expenses and include dividends reinvested. Past performance is no guarantee of future results. Figures provided by Chenavari are estimated and unaudited and should not be relied upon. Target returns are estimated only. They are based on long-term performance projections of the investment strategy and market conditions at the time of modelling and therefore, subject to change. There is no guarantee that any target return can be achieved. Investors should not place any reliance on such target returns in deciding whether to invest in the Fund. Please refer to the Prospectus for full risk factors. There is no guarantee that the Fund will continue to invest in these allocations at all or do so in the same manner as set forth in this factsheet. Allocations may change at any time without notification to shareholders. †With dividend reinvested.

^Calculated by multiplying the last price by the last recorded number of shares outstanding for the month. Excludes shares held in treasury.

^^As of 31 January 2017

*Long Leverage is defined as the maximum loss on long credit risk positions (assuming recovery is equal to 0): e.g. on a long bond position the long leverage is equal to market value.

**"Cash & Others" allocation may vary significantly with Regional Exposure due to the difficult nature of performing a look-through on certain ABS positions held by the Company.

~Excludes any financing facilities used for the ramp-up of loans in Taurus Note: Share buyback excluded from "Underlying Risk" exposure

31 January 2017

Monthly Comments Exposure Breakdown Market Commentary

Global financial markets started the year reasonably well as increased confidence surrounding the outlook on global growth, potential regulatory and tax reforms as well as fiscal stimulus, outweighed the negative rhetoric on protectionism. European equities underperformed their US peers with EURO STOXX 50 down 1.8% month-on-month ("MoM") versus S&P 500 which was up 1.8% MoM, whereas European credit synthetic indices were unchanged to a touch wider on the month (iTraxx Europe Main (S26) 5Y was up 1.7% while iTraxx XOVER (S26) 5Y closed the month 4.5% wider). European sovereign bond yields in general headed higher (10Y Italian BTP and French OAT widened by 44bps and 35bps MoM, respectively).

The eurozone's final January composite PMI came out at 54.4, unchanged from December's multi-year high. Such positive data suggests that euro area economic activity is poised for a favourable start in 2017 as confidence remained relatively immune to the political uncertainties in the Netherlands, France, Italy and Germany.

European ABS new issuance was subdued in January with only €2.8bn gross issuance vs. €16.6bn redemptions. As technicals remained supportive, European ABS spreads tightened throughout the month, eliminating the lag initiated at the end of last year vs. 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 by 50bps and 100bps during the month. There was a significant spread compression across the capital structure with an unsatisfied demand on non-IG bonds as secondary inventory was light and new deals were yet to be announced. Indeed, due to a scarcity of loans (leveraged loans volume was almost 60% below January 2016 levels), new CLO issuance has yet to materialise and only one new European CLO transaction priced in January, while reset and refinancing CLO activity remains vibrant.

STRATEGYBREAKDOWN

SENIORITYBREAKDOWN

Public ABS 57.0%

Private Asset Backed Finance 15.0%

Direct Origination 20.3%

Cash & Others 7.8%

Mezzanine 32.7%

Subordinate 35.5%

Senior 23.8%

Cash & Others 8.0%

Monthly Activity & Outlook

The Portfolio Manager traded seven positions within the Public ABS sub-book in January, opportunistically taking profit on CLO, UK RMBS and Italian lease ABS exposure. Toro Limited's NAV was up 1.41% in January, largely driven by trading gains and price appreciation within the Public ABS Strategy.

The Portfolio Manager is looking to reduce exposure to periphery ABS, taking advantage of the recent outperformance of Spanish and Italian ABS vs. government bonds. Despite the rally in CLO 2.0 BB and B-rated tranches, the Portfolio Manager remains constructive on CLO and anticipates further tightening as the demand remains underpinned by slow CLO formation due to negative net supply in loans, attractive relative value and a benign default outlook.

The cash position has been reduced to circa 5% and the rotation out of the Public ABS Strategy into the Private Asset Backed Finance and Direct Origination Strategies is ongoing. Indeed, both Project Clove (portfolio of re-performing Irish mortgage loans - Private Asset Backed Finance) and TORO CLO 3 (Direct Origination) are anticipated to close in the coming weeks. Toro Limited will retain, through its Originator subsidiary, a controlling stake in the equity of TORO CLO 3 (equivalent to the risk retention requirement) which will entitle it to a 100% rebate of the pro-rata CLO management fees. Under the Portfolio Manager's 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.

Source: Chenavari, as of 31 January 2016. Past performance is not indicative of future results.

There is no guarantee that the Fund will continue to invest in these allocations at all or do so in the same manner as set forth in this factsheet. Allocations may change at any time without notification to shareholders. Pie charts include all investments, cash and hedges and excludes share buyback.

Note: "Cash & Others" allocations may vary between exposure breakdowns due to hedges on indices. Note: "Subordinate" refers to the most junior level of debt

*All currency risk is hedged - please refer to the FX sensitivity on the following page

Please refer to the Hypothetical Performance disclaimer on page 3

UNDERLYINGCURRENCYEXPOSURE*

EUR 85.2%

USD 3.8%

GBP 11.1%

Strategy Returns3	Yield to maturity**
Public ABS	11.7%
Private Asset Backed Finance	13.2%
Direct Origination	17.8%
Total Weighted Average	12.3%

Source: Intex and Chenavari internal modelling, as of 31 January 2016. The unaudited yield is based on long-term performance projections of the investment strategy and market conditions at the time of modelling and therefore, subject to change. There is no guarantee that this yield to maturity can be achieved. Investors should not place any reliance on such yield in deciding whether to invest in the Company.

**These are indicative forward-looking returns

31 January 2017

Portfolio Data

Top 5 Positions	% NAV	Strategy	Underlying Risk	Seniority
HOEF III	8.2%	Public ABS	Mixed ABS	Senior
Project Wind	7.0%	Private Asset Backed Finance	Residential Real Estate	Subordinate
Toro CLO 2	5.6%	Direct Origination	Corporate	Subordinate
SpRED Gracia Cardener	5.5%	Direct Origination	Residential Real Estate	Senior
FAB 2005-1	4.5%	Public ABS	Mixed ABS	Senior

Source: Chenavari, as of 31 January 2017. There is no guarantee that the Fund will continue to invest in these allocations at all or do so in the same manner as set forth in this factsheet. Allocations may change at any time without notification to shareholders. Figures provided by Chenavari are estimated and unaudited and should not be relied upon. Positions excludes cash, collateral, hedges and repos.

FX Risk - Sensitivity	FX Risk USD 10%	FX Risk USD Limit	FX Risk GBP 10%	FX Risk GBP Limit	FX Risk EUR 10%	FX Risk EUR Limit
Fund Currency - EUR	-0.02%	-0.50%	-0.00%	-0.50%	0%	-0.50%

Source: Chenavari, as of 31 January 2017. This table shows % change in NAV assuming a 10% spread widening in the respective FX relative to EUR, assuming other risk factors are constant (i.e. unchanged).

Please refer to the Hypothetical Performance disclaimer at the bottom of this page.

Recent Announcements and Last Five Dividend Declarations

Announcements

The Company was pleased to announce the payment of a dividend of €0.0125 per ordinary share for the period 1 October 2016 to 31 December 2016, payable on 1 March 2017. In addition, a total of 4,283,181 shares were acquired during the month for an average price of €0.86 per share.

Dividend Declaration	Ex Date	Record Date	Payable Date	Amount*	Type
20 January 2017	02/02/2017	03/02/2017	01/03/2017	0.0125	Regular Cash
20 October 2016	27/10/2016	28/10/2016	01/12/2016	0.0125	Regular Cash
27 July 2016	04/08/2016	05/08/2016	02/09/2016	0.0125	Regular Cash
25 April 2016	05/05/2016	06/05/2016	03/06/2016	0.02	Regular Cash
22 January 2016	04/02/2016	05/02/2016	04/03/2016	0.02	Regular Cash

Source: Bloomberg.*Per ordinary share. For further information regarding these announcements, please visit www.torolimited.gg

Monthly Performance (Toro Limited performance since IPO marked in blue)

YTD	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2009	80.12%	8.95%	6.74%	18.60%	9.26%	8.01%	5.03%	5.36%
2010	90.56%	8.45%	7.06%	10.47%	13.52%	4.26%	2.16%	2.48%	1.89%	4.46%	5.15%	3.45%	3.56%
2011	24.71%	7.19%	7.12%	3.00%	3.90%	3.02%	0.98%	1.01%	-3.80%	0.12%	-1.48%	0.83%	0.95%
2012	32.42%	2.58%	3.04%	2.20%	1.22%	1.11%	1.15%	1.95%	2.12%	2.87%	3.76%	4.33%	2.14%
2013	32.92%	3.22%	3.21%	1.82%	1.74%	3.47%	1.08%	1.70%	1.07%	2.28%	4.20%	2.44%	2.62%
2014	24.85%	3.82%	2.48%	2.46%	3.98%	2.26%	2.02%	0.83%	0.99%	2.17%	0.76%	0.25%	0.46%
20151	4.53%	1.28%	1.68%	5.93%	1.03%	2.06%	0.14%	0.45%	0.63%	0.28%	0.02%	0.52%	0.34%
2016	3.85%	-0.34%	-2.44%	0.69%	0.92%	0.95%	-0.04%	0.29%	1.13%	1.23%	0.54%	0.67%	0.24%
2017	1.41%	1.41%

Source: Quintillion, as of 31 January 2017. Monthly performance prior to May 2015 is representative of Toro Capital IA Limited. Past performance is not guarantee of future results. Returns are net of fees, accrued liabilities and expenses and include dividend reinvested. Investors' attention is drawn to the fact that performance realised in 2009 and 2010 took advantage of the dislocation in the European ABS Market, in particular deeply discounted prices at that time. ¹2015 YTD performance only reflects Toro Limited.

Performance Overview

Dividend Analysis	Current Month	Last Month	% Change
12 Month Yield1	6.69%	NAV	€0.9892	€0.9754	1.41%
Indicated Yield2	5.81%	Source: Quintillion. Pursuant to CFTC rule 4.22(h)(ii), the change in the net asset value per outstanding unit of participation as of the end of the reporting period is above.
1The sum of dividend per share amounts that have gone ex-dividend over the last 12 months, based on the dividend frequency divided by the last price 2The latest announced dividend amount annualised, based on the dividend frequency divided by the last price

Source Bloomberg. As of date of last paid dividend. Past performance is no guarantee of future results.

Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that the Company 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 trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

To the best of our knowledge and belief, the information contained in this document is accurate and complete. Kate Haswell - Chief Compliance Officer | Chenavari Credit Partners LLP | Commodity Pool Operator

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