Toro : 03 Toro Limited Factsheet - February 2017

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.

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

28 February 2017

10%

5%

May-15

Jun-15

Jul-15

0%

-5%

-10%

-15%

11.06%

Nov-16

Dec-16

Jan-17

Feb-17

0.55%

-3.13%

-13.50%

Aug-15

Sep-15

Oct-15

Nov-15

Dec-15

Jan-16

Feb-16

Mar-16

Apr-16

May-16

Jun-16

Jul-16

Aug-16

Sep-16

Oct-16

-20%

-25%

Corporate Residential Real Estate

Mixed ABS Consumer

SME

Trade Finance Commercial Real Estate Finance & Insurance Cash & Others

5.9%

5.3%

3.9%

2.5%

0.6%

7.0%

15.2%

25.3%

34.3%

Spain United Kingdom Rest of Europe Netherlands Germany United States

France Ireland Italy Portugal

4.7%

3.5%

3.2%

2.6%

8.7%

7.5%

10.3%

14.2%

19.4%

16.6%

Cash & Others

9.3%

28 February 2017

The decline in volatility across most risky assets continued in February, driving equities higher with the EURO STOXX 50 and S&P 500 up by 2.8% and 3.7%, respectively. iTraxx Europe (S26) 5Y was almost unchanged, tightening by just over 1% and underperformed iTraxx Crossover, which closed the month 3.2% tighter.

Confidence ignored political uncertainties in Europe as the latest round of Eurozone PMI data continued to paint a very positive picture. The flash composite PMI rose to 56.0 in February, up from 54.4 in January, as both the services and manufacturing indices recorded strong rises to levels not seen since 2011. This positive momentum was clear with a solid expansion in order books and job creation witnessed, while inflationary pressures continued to grow.

Activity within the primary European ABS market continued to remain relatively subdued with only €7.7bn worth of transactions priced during the first two months of the year, 33% below the volumes recorded over the same period last year - the same period that saw a temporary shut down amid the market sell- off. New CLO formation remained slow due to a scarcity of loans, as only two European CLOs priced in February (year-to-date issuance stands at €1.2bn), while a wave of new CLOs is waiting for the loan supply to pick up in order to ramp up new structures. Leveraged loan issuance was primarily driven by refinancing and repricing activity which continued at an accelerated pace. Secondary market levels caused new issue spreads to tighten to levels significantly below 400bps. It is an issuer and sponsor driven market as dividend recapitalisations and covenant light documentation are increasingly the norm. With no new loan defaults occurring in the last three months, the 12 month S&P European Leveraged Loan Index default rate fell to 2.04% in February - the lowest seen in the last nine months.

The Portfolio Manager traded seven positions within the Public ABS sub-book in February, partially taking profit on CMBS and CLO exposures, whilst reducing exposure on Spanish RMBS. Toro Limited's NAV was up 0.88% in February (-0.38% change in monthly NAV including c. 1.26% quarterly dividend

STRATEGYBREAKDOWN

SENIORITYBREAKDOWN

Public ABS 54.5%

Private Asset Backed Finance 17.1%

Direct Origination 21.7%

Cash & Others 6.8%

Mezzanine 32.2%

Subordinate 37.3%

Senior 23.4%

Cash & Others 7.0%

distribution), largely driven by the carry and price appreciation within the Public ABS Strategy. Indeed, European CLO 2.0 spreads tightened further across the capital structure with BB, B and equity tranches outperforming IG-rated tranches.

The Portfolio Manager continued to rotate the portfolio into the Private Asset Backed Finance and Direct Origination Strategies. Of note, Project Clove (portfolio of re-performing Irish mortgage loans - Private Asset Backed Finance) was closed and the Portfolio Manager has now entered into exclusive talks on another Irish mortgage loans portfolio. Further, investment in both the existing Project Shamrock (buy-to- let mortgage loans origination - Direct Origination) and SpRED (Spanish real estate development financing - Direct Origination) transactions were increased in February, highlighting the effective expansion of these new direct lending platforms through their respective local partners. Lastly, TORO CLO 3, where Toro Limited will retain through its Originator subsidiary a controlling stake in the equity (equivalent to the EU risk retention requirement), priced in the first week of March.

All information sourced from Bloomberg unless otherwise stated.

Source: Chenavari, as of 28 February 2017. 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 85.0%

USD 3.8%

GBP 11.2%

Source: Intex and Chenavari internal modelling, as of 28 February 2017. 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

28 February 2017

Source: Chenavari, as of 28 February 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.

Source: Chenavari, as of 28 February 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.

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

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.

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

This material is not for distribution to retail clients and is directed exclusively to Chenavari Investment Managers' professional clients and eligible counterparties, as defined in the Markets in Financial Instruments Directive (2004/39/EC) Article 4(1) (12). Chenavari Investment Managers is the legal trading name of Chenavari Credit Partners LLP ("CCP"). The information contained herein is confidential information supplied at the sole request of the recipient. By accepting this information, the recipient agrees that it will not divulge any such information to any other party. Any reproduction of this information, in whole or in part, is prohibited. The distribution of this document in certain jurisdictions may be restricted by law; therefore, people into whose possession this document comes should inform themselves about and observe any such restrictions. It does not take into account the particular investment objectives, financial situation, risk adversity, tax status or needs of individual clients. CCP disclaims any and all liability relating to a decision based on or for reliance on this document.

This document has been prepared for general information purposes only and has not been delivered for registration in any jurisdiction nor has its content been reviewed by any regulatory authority in any jurisdiction. The information contained herein does not constitute: (i) a binding legal agreement (ii) legal, regulatory, tax, accounting or other advice, (iii) an offer, recommendation or solicitation to buy or sell shares in any fund or any security, commodity, financial instrument or derivative linked to, or otherwise included in, a portfolio managed or advised by CCP, (iv) an offer to enter into any other transaction whatsoever, (each a "Transaction"). This document does not constitute due diligence reporting and CCP bears no responsibility for your investment research and/or investment decisions, nor will CCP be liable of any decision made or actions taken by you or others based on the contents of this document and neither CCP nor any of its directors, officers, employees or representatives accept any liability whatsoever for any loss or damage of any kind and howsoever arising.

The information, estimates, forecasts or opinions supplied by CCP in this document are supplied for your private use and information, and for discussion purposes only and do not constitute and may not be used for the purposes of, an offer to sell or the solicitation of an offer to buy nor shall there be any sale of units or shares issued by a fund managed or promoted by CCP or its affiliates in any jurisdiction in which such offer, solicitation or sale would be unlawful. The units or shares issued by a fund managed or promoted by CCP are offered or otherwise made available only in accordance with available, applicable private placement or offering rules. The information supplied by CCP or its affiliates and contained herein shall not be deemed to constitute investment advice and should not be relied upon as the basis for a decision to enter into a transaction or as the basis for an investment in units or shares issued by a fund managed or promoted by CCP or its affiliates as an investment in funds units of these funds may not be suitable or lawful for all investors.

Prospective investors should (i) consult their financial, accounting, tax and legal advisors prior to any investment in units or shares issued by a fund managed or promoted by CCP; and (ii) inform themselves as to (a) the appropriateness of said investment in units or shares (b) the legal requirements within their own jurisdictions for the purchase or holding of said investment, (c) any foreign exchange restrictions which may affect them, and (d) the income and other tax consequences which may apply in their own jurisdictions relevant to the purchase, holding or disposal of units or shares of the relevant fund or investment vehicle.

CCP makes no representation or warranty, express or implied, as to, or assumes any liability responsibility for, the accuracy, reliability or completeness of any information, so obtained and supplied, or any information, estimates, forecasts or opinions prepared on the basis of such information. Furthermore, CCP shall not be under any obligation or assume any liability towards any person to update or correct any inaccuracy or incompleteness of the information, estimates, forecasts or opinions prepared on the basis of such information. CCP shall not be in any way responsible or assume any liability for any act or omission made by any person in reliance on this document or any information contained herein. This document shall not in any event be deemed to be complete and exhaustive information on the subjects covered. CCP makes no representations and/or warrants that contained in this document is either up to date and/or accurate and expressly disclaims all liability for errors and/or omissions. The information contained in the document is not related to any particular investment objective, financial position or specific interest of any recipient and is not intended to be relied upon or used by any counterparty, investor or other party.

Where indicated, the information sourced relating to CCP or its affiliates has been provided for information or illustration purpose only, and CCP nor its affiliates shall not be held responsible for the content of such information. Although some information has been provided by CCP, the information is based on information furnished by third parties- the accuracy and completeness of which has not been verified by CCP or any other person.

These materials may also contain historical market data; however, historical market trends are not reliable indicators of future market behaviour. Any historical investment results of any person or entity described in this material are not indicative of the future investment results. Such results are intended only to give potential investors information concerning the general experience of the relevant person or entity is not intended as a representation or warranty by CCP, or any other person or entity as to the actual composition of or performance of any future investments.

This document contains information about CCP, certain of its respective personnel and affiliates and the historical performance information of investment vehicles whose portfolios are managed by CCP. Such information has been included to provide prospective investors with information as to CCP' general portfolio management experience. Prospective investors should not view the past performance of CCP as indicative of the future results. CCP makes no representation or warranty, express or implied, as to the fairness, accuracy or completeness of the information contained herein and nothing contained herein shall be relied upon as a promise or representation as to past or future performance of any structure, managed by CCP from time to time.

CCP and/or its affiliates may receive or pay fees or rebates, in compliance with the Markets in Financial Instruments Directive, as implemented in each state of the European Economic Area. The offer, purchase or sale of units in any fund managed by CCP or its affiliates is accepted only from eligible investors on the basis of the current prospectus and subscription document for the relevant fund. None of the securities referred to above have been or will be registered under the US Securities Act of 1933 or the securities laws of any other jurisdiction and may be offered and sold in the United States and elsewhere only in accordance with an applicable exemption from the registration requirements thereof. The Interests have not been, nor will they be, registered or qualified under the U.S. Securities Act of 1933, as amended (the "U.S. Securities Act") or any applicable securities laws of any state or other political sub divisions of the United States, and may not be offered, sold, transferred or delivered, directly or indirectly, in the United States or to, or for the account or benefit of, any U.S. Person, except pursuant to an exemption from, or in a transaction not subject to the requirements of, the U.S. Securities Act and any applicable U.S. state securities laws. The Fund has not registered and does not intend to register under the U.S. Investment Company Act of 1940, as amended (the "Investment Company Act") in reliance on the exemption from such registration pursuant to Section 3(c)(7) thereunder and certain interpretations of Section 7(d) of the Investment Company Act by the staff of the U.S. Securities and Exchange Commission. Accordingly, the Interests are being offered and sold only: (i) outside the United States to persons other than U.S. Persons in offshore transactions that meet the requirements of Regulation S under the U.S. Securities Act; or (ii) to U.S. Persons who are (a) "accredited investors" as defined in Rule 501 of Regulation D promulgated under the U.S. Securities Act and (b) "qualified purchasers" within the meaning of Section 2(a)(51) of the Investment Company Act.

In Switzerland, the Fund is considered foreign investment schemes pursuant to Art. 119 of the Swiss Federal Collective Investment Schemes Act (CISA). No application has been submitted to the Federal Financial Market Supervisory Authority (FINMA) to obtain approval within the meaning of Art. 120 CISA to offer or distribute the investment in or from Switzerland to "Non-Qualified Investors", and no other steps have been taken in this direction. Consequently, investors do not benefit from the specific investor protection and/or FINMA supervision pursuant to the CISA and its implementing ordinances.

Any offer or sale must therefore be in strict compliance with Swiss law, and in particular with the provisions of the Collective Investment Schemes Act and its implementing ordinances, and FINMA circular 2013/9 on distribution of collective investment schemes. No person or entity is authorized to offer or sell the Shares or distribute any Fund Documentation, including the Prospectus, the Articles of Incorporation and annual reports issued by the Fund from time to time or promotional material pertaining to the Fund in or from Switzerland other than to "Qualified Investors", as defined in Article 10 of the CISA and Articles 6 and 6a of the CISO and any circulars issued by FINMA.

The investment vehicles have appointed as Swiss Representative Oligo Swiss Fund Services SA, Av. Villamont 17, 1005 Lausanne, Switzerland, Tel: +41 21 311 17 77, email: info@oligofunds.ch. The Fund's paying agent is Banque Cantonale de Genève. Any Fund Documentation may be obtained free of charge from the Swiss Representative in Lausanne. In respect of the shares or units distributed in or from Switzerland, the place of performance and jurisdiction is at the registered office of the Swiss Representative.

This document has been prepared, issued and approved by CCP, registered in England and Wales Companies House No. OC337434, with its principal place of business is at 1 Grosvenor Place, London, SW1X 7JH. CCP is authorised and regulated by the Financial Conduct Authority under the number 484392, the Commodities and Futures Trading Commission (No. 0426351), and registered with the Securities Exchange Commission (No. 801-72662).

CCP affiliates are authorized and regulated the Hong Kong Securities and Futures Commission under registration number ASU171 and the Luxembourg Commission de Surveillance du Secteur Financier. For the avoidance of doubt and for the purposes of this disclaimer, all references to 'Chenavari' mean CCP and all of its associated entities. Copyright in this document belongs to CCP and all other intellectual property rights are reserved. iTraxx® is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex or iTraxx® Europe 5-year Index Futures, iTraxx® Europe HiVol 5-year Index Futures and iTraxx® Europe Crossover 5-year Index Futures. The STOXX® indices, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited, Zurich, Switzerland and/or its licensors which is used by Eurex Frankfurt AG under license. Eurex' derivatives based on the STOXX® indices are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto.

Standard & Poor's S&P 500® Index is a registered trademark of Standard & Poor's, a division of the McGraw-Hill Companies Inc. The Markit CDX.NA.IG 5-year SHORT TOTAL RETURN INDEX and the trademarks used in the Index name referenced herein are the intellectual property of Markit North America Inc. ("Markit"). The Index is used under license from Markit.