Chenavari Toro Income Fund : Interim Financial Statements

Chenavari Toro Income Fund Limited

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

Guernsey with registered number 59940)

Condensed Unaudited Interim Financial Statements

For the period from 1 October 2023 to 31 March 2024

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 Chenavari Toro Income Fund Limited ("the Company"), the Portfolio 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 Condensed Unaudited Financial Statements and Interim Report.

Chenavari Toro Income Fund Limited
a closed-ended investment company limited by shares incorporated under the laws of Guernsey
Contents
Commodity Exchange Affirmation Statement	3
Highlights for the period from 1 October 2023 to 31 March 2024	4
Corporate Summary	5
General Information	7
Chairman's Statement	8
Portfolio Manager's Report	9
Statement of Principal Risks and Uncertainties	13
Statement of Directors' Responsibilities	18
Independent Review Report to Chenavari Toro Income Fund Limited	19
Condensed Unaudited Statement of Comprehensive Income	20
Condensed Unaudited Statement of Financial Position	21
Condensed Unaudited Statement of Changes in Equity	22
Condensed Unaudited Statement of Cash Flows	23
Condensed Unaudited Schedule of Investments, at Fair Value	24
Notes to the Condensed Unaudited Financial Statements	28

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 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 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.

2

Chenavari Toro Income Fund Limited

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

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 Interim Financial Statements is accurate and complete.

Loic Fery

Chief Executive Officer and representative of the Managing Member of Chenavari Credit Partners LLP, Commodity Pool Operator of the Company.

27 June 2024

3

Chenavari Toro Income Fund Limited

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

Highlights for the period from 1 October 2023 to 31 March 2024

The metrics below use both IFRS performance measures and Alternative Performance Measures ("APMs"), chosen to best represent Chenavari Toro Income Fund Limited (the "Company") performance over the financial period from 1 October 2023 to

31 March 2024 (the "Period").

• The net asset value ("NAV") total return for the Period (with dividends reinvested) was 8.16%1 and the share price total return (with dividends reinvested) was 26.84%2 (1 October 2022 to 31 March 2023: 5.07% and -0.65% respectively).
• During the Period, the Company's NAV per Ordinary Share ("Share"), excluding dividends distributed, increased by 2.95%3 (1 October 2022 to 31 March 2023: 0.01% ) to close at 66.44 cents (31 March 2023: 64.06 cents).
• The Company declared two dividends in respect of the Period ended 31 March 2024: 1.62 cents per Share paid on 7 March 2024 for the quarter ended 31 December 2023 and 1.67 cents per Share paid on 7 June for the quarter ended 31 March 2024. The final dividend for the period ending 30 September 2023, of 1.61 cents per Share was paid on 8 December 2023.
• The Company's mid-market share price at 31 March 2024 was 52.50 cents (30 September 2023: 44.30 cents), representing
  a discount to NAV of 20.98%4 (30 September 2023: 31.36%).
• The profit for the Period was €15.8 million (31 March 2023: €9.8 million profit), or 5.13 cents profit per Share (31 March
  2023: 3.2 cents profit per Share), taking into account recognition of the following significant items:

1. total income of €20.2 million (31 March 2023: income of €11.2 million)

• 1. total operating expenses of €4.3 million (inclusive of €2.8 million performance fees. 31 March 2023: €1.4 million, €Nil performance fees)
• At 31 March 2024, the NAV was €205.0 million (30 September 2023: €198.9 million), and its available cash holdings were
  €10.7 million (30 September 2023: €6.9 million).

1. Bloomberg NAV Price total return (with dividends re invested daily at Ex-date).
2. Bloomberg Share Price total return (with dividends re invested daily at Ex-date).
3. 31 March 2024 NAV per Share of 66.44 cents versus 30 September 2023 NAV per Share of 64.54 cents (66.44-64.54)/64.54 = 2.95%
4. Listed mid-market share price per Bloomberg of 52.50 cents versus calculated NAV per share per the Statement of Financial position of 66.44 cents (52.50-66.44)/66.44=-20.98%

4

Chenavari Toro Income Fund Limited

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

Corporate Summary

For the Period from 1 October 2023 to 31 March 2024

The Company

Chenavari Toro Income Fund Limited (the "Company" or "Toro") 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 Channel Islands Security Exchange Authority Limited) ("TISE") on 8 May 2015.

Investment objective

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.

Investment policy

The Company seeks to invest in a diversified portfolio of exposures to predominantly European based obligors. The Company's investment strategies are:

The Opportunistic Credit Strategy - the Company invests or trades opportunistically in primary and secondary market Asset Backed Securities and other structured credit investments including private asset backed finance investments.

The Originated Transactions Strategy - the Company invests in transactions on a buy-to-hold basis, via a variety of means, including, without limitation, Warehouse Credit Facilities, which can originate credits that may be refinanced in structured credit markets as well as other financing opportunities.

Originated transactions

The Company invests in Originators which establish securitisation vehicles and retain the requisite Retention Securities in such vehicles pursuant to the EU Risk Retention Requirements and/or, in future, the U.S. Risk Retention Regulations. In exchange for its capital and participation facilitating retention compliant origination transactions, the Company expects to receive enhanced returns relative to direct investment in structured credit investments (such as CLOs). Such returns may take the form of additional returns from fees, fee rebates or other financial accommodations agreed by parties who may benefit from the Company's involvement depending upon the asset class of a securitisation vehicle. The CLO Retention strategy is operated through Taurus Corporate Finance LLP ("Taurus"), a fully owned subsidiary of the Company.

Eligible investments

Each investment shall, as of the date of acquisition by the Company, be a debt obligation (including, but not limited to, a bond or loan), a share or equity security, a hybrid instrument, derivative instrument or contract or an equitable or other interest. In addition, the Company may from time to time have surplus cash (for example, following the disposal of an acquired investment). Cash held by the Company pending investment or distribution will be held in either cash or cash equivalents, including but not limited to money market instruments or funds, bonds, commercial paper or other debt obligations with banks or other counterparties provided such bank or counterparty has an investment grade credit rating (as determined by any reputable rating agency selected by the Company on the advice of the Portfolio Manager).

Target returns and dividend policy

On the basis of market conditions, whilst not forming part of its investment objective or investment policy, the Company targets a NAV total return (including dividend payments) of 9 to 11 per cent per annum payable quarterly in March, June, September and December of each year. The Company dividend policy targets a quarterly dividend yield of 2.5 per cent (by reference to NAV) equating to a targeted annualised dividend yield of 10 per cent (by reference to NAV).

With effect from 1 January 2021, at the end of each calendar quarter, the Company maintained a maximum cash balance in its portfolio of 5 per cent. of NAV, unless the investment manager, at its discretion, decided to maintain such cap at a maximum of 10 per cent., should market opportunities in liquid and tradable European ABS/CLO arise. Per the dividend policy update announcement on 30 January 2024, the Company continues to rebalance its portfolio towards tradable securities and has been able to make attractive investments within the Public ABS and CLO sector as opportunities arise within the market. To that effect, the Company plans to remove the previously announced cap on maximum cash balance, so the portfolio manager can have more flexibility to continue to re-invest based on prevailing market conditions, with excess cash being reinvested. In line with the current dividend policy the Company re-confirms its target quarterly dividend yield of 2.5 per cent (by reference to NAV) equating to a targeted annualised dividend yield of 10 per cent. (by reference to NAV). The Company's net target return remains 9-11 per cent per annum.

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Chenavari Toro Income Fund Limited

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

Corporate Summary (continued)

For the Period from 1 October 2023 to 31 March 2024

Target returns and dividend policy (continued)

The Company's share price increased by 18.51% during the Period to close at 52.50 cents at 31 March 2024 (30 September 2023: 44.30 cents), representing a discount to the NAV per Share of 20.98% (30 September 2023: 31.36%).

The NAV total return for the Period was 8.16% (with dividends reinvested). Dividends totalling 3.29 cents per share were declared with respect to the Period. This represents a return of 5.10% on the NAV per share of 64.54 cents reported in the 30 September 2023 financial statements.

The dividend and net target return targets stated above are targets only and are not a profit forecast. There can be no assurance that these targets will be met, and they should not be taken as an indication of the Company's expected future results.

Net asset value ("NAV")

At 31 March 2024, the Company's NAV was €205.0 million (30 September 2023: €198.9 million) with the NAV per Share

amounting to 66.44 cents (30 September 2023: 64.54 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 ishttp://www.chenavaritoroincomefund.com/

Listing information

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

The International Securities Identification Number ("ISIN") of the Euro Shares is GG00BWBSDM98 and the SEDOL is BWBSDM9.

The mid-market closing price quoted on the SFS at 31 March 2024 was 52.50 cents per Share.

The average closing price of the Shares over the Period was 46.63 cents per Share.

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Chenavari Toro Income Fund Limited

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

General Information

Directors

Frederic Hervouet (Non-executive Chairman)

John Whittle (Non-executive Director)

Roberto Silvotti (Non-IndependentNon-executive Director)

Portfolio Manager

Chenavari Credit Partners LLP

80 Victoria Street

London

SW1E 5JL

Corporate Broker

J.P. Morgan Cazenove

25 Bank Street

Canary Wharf

London

E14 5JP

Solicitors to the Company (as to English law) Gowling WLG (UK) LLP

4 More London Riverside

London

SE1 2AU

Administrator and Company Secretary

Ocorian Administration (Guernsey) Limited

P.O. Box 286

Floor 2

Trafalgar Court

Les Banques

St. Peter Port

Guernsey

GY1 4LY

Sub-Administrator

U.S. Bank Global Fund Services (Ireland) Limited

24-26 City Quay

Dublin 2

Ireland

D02 NY19

Registered Office

P.O. Box 286

Floor 2

Trafalgar Court

Les Banques

St. Peter Port

Guernsey

GY1 4LY

AIFM

Carne Global AIFM Solutions (C.I.) Limited

Channel House

Green Street

St. Helier

Jersey

JE2 4UH

Registrar

Computershare Investor Services (Guernsey) Limited c/o 13 Castle Street

St. Helier Jersey JE1 1ES

Advocates to the Company (as to Guernsey law) Ferbrache & Farrell

Somers House

Rue Du Pre

St Peter Port

Guernsey

GY1 1LU

Custodian and Principal Bankers

J.P. Morgan Chase Bank N.A.

Jersey Branch

J.P. Morgan House

Grenville Street

St Helier

Jersey

JE4 8QH

Auditor

Deloitte LLP

P.O. Box 137

Regency Court

Glategny Esplanade

St. Peter Port

Guernsey

GY1 3HW

7

Chenavari Toro Income Fund Limited

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

Chairman's Statement

Dear Shareholders,

The independent Board of the Company is pleased to present Chenavari Toro Income Fund Limited's Mid-Year Report and Unaudited Financial Statements for the period ending 31 March 2024.

Financial Performance

The Company's NAV generated a total return (with dividend reinvested) of 8.16%5 between 1 October 2023 and 31 March 2024,

equivalent to 17.14% annualised. This was above our annualised NAV Return Target of 10%.

The share price's total return was 18.51%6 (26.84%7 with dividend reinvested).

Discount

The Company's shares closed at mid-price of 52.50 cents per Share as of 31 March 2024, representing a discount to NAV of 20.98%, compared to 31.36% on 30 September 2023.

Cashflows and Dividends

During the period, the Company announced and paid dividends per ordinary share of 3.23 cents, corresponding to a 5.00% dividend return on the prior year-end NAV.

The final dividend for the period ending 30 September 2023, of 1.61 cents per Share, was paid on 8 December 2023 and 1.62 cents per Share was paid on 7 March 2024 for the quarter ended 31 December 2023, corresponding to quarterly dividends of 3.68% based on the average share price for the respective quarters.

Investment Portfolio Overview

Over the period both the direct origination and the public ABS/CLOs strategies contributed to the positive gross performance with respective gains of 5.34% and 2.74%. The direct origination strategy represented an allocation of c. 60%, while the public ABS strategy was slightly decreased to 30% by the end of Q1 2024 as cash was increased to c. 10%.

During the period the annualized payments on Taurus horizontal and vertical risk positions remained robust, reflecting attractive risk adjusted returns provided by CLO retention. The manager also entered new mandates to provide 3rd party CLO risk retention financing as it expects this business to be an increasing part of Toro's investment focus going forward. While generic CLO spreads were tighter during the Q4, the equity arbitrage has been improving over the past months.

If Q4 was overall a benign quarter in terms of default and downgrades, Q1 2024 saw 3 defaults with 3 names focusing the European leveraged loan market attention: Intrum, Ardagh and Altice.

While the portfolio managers expect the credit quality of the European leveraged loan market to deteriorate in the next 12 to 24 months, with stabilisation of default rate around 3.5% witnessed at the end of 2023, they are very much focused on the credit quality of the underlying loan portfolio.

Regarding SpRED (Spanish Real Estate Development) the sale activity in Spanish residential real estate remained sluggish influenced by the enduring challenges related to the affordability of Spanish households and restricted access to credit. The aim is to finalise the sale process within 12 to 24 months with a gross projected IRR of 5% assuming an exit of the remaining units in the next 12M, at a level 10% below our current target sales price.

Frederic Hervouet

Non-executive Chairman

Date: 27 June 2024

1. Bloomberg NAV Price total return (with dividends re invested daily at Ex-date).
2. Bloomberg Share Price total return.
3. Bloomberg Share Price total return (with dividends re invested daily at Ex-date).

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Chenavari Toro Income Fund Limited

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

Portfolio Manager's Report

Performance

During the Period, the Company NAV performance was 8.16%8 (dividends reinvested).

The month-on-month NAV performance since inception was the following (with dividends reinvested at NAV):

Year	YTD	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2015	4.53%	-	-	-	-	2.06%	0.15%	0.45%	0.64%	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	9.29%	1.41%	0.88%	1.21%	0.56%	0.30%	1.49%	0.28%	0.50%	0.51%	0.98%	0.33%	0.48%
2018	6.66%	1.37%	0.38%	0.09%	0.39%	0.38%	(0.81%)	1.14%	0.45%	0.76%	2.31%	(0.07%)	0.10%
2019	10.65%	1.15%	0.66%	1.06%	1.90%	0.68%	0.74%	1.62%	0.41%	0.53%	(0.12%)	0.43%	1.11%
2020	(7.60%)	1.22%	(0.54%)	(22.72%)	(0.37%)	6.28%	2.39%	4.06%	0.53%	1.50%	2.38%	(0.15%)	0.91%
2021	16.99%	1.63%	1.77%	1.24%	0.14%	0.24%	(0.2%)	8.02%	0.12%	0.28%	1.72%	0.64%	0.46%
2022	(6.05%)	0.92%	(0.79%)	0.35%	0.90%	(3.24)%	(4.06)%	0.67%	2.52%	(4.94)%	1.51%	0.22%	0.03%
2023	12.30%	3.46%	0.59%	(0.79%)	1.26%	0.53%	0.19%	2.41%	0.86%	0.49%	0.22%	1.25%	1.25%
2024	5.25%	4.64%	0.26%	0.32%

Since inception, the Company has paid the following dividends in respect of the following Periods:

Period ending	Dividend (cents per Share)
30	September 2015 (1 dividend)	2.00
30	September 2016 (4 dividends)	6.50
30	September 2017 (4 dividends)	6.75
30	September 2018 (4 dividends)	8.00
30	September 2019 (4 dividends)	8.00
30	September 2020 (4 dividends)	7.33
30	September 2020 (2 special distributions)	13.97
30	September 2021 (4 dividends)	7.18
30	September 2022 (4 dividends)	6.97
30	September 2023 (4 dividends)	6.39
31	March 2024 (2 dividends)	3.29

In relation to the Period, the Company declared dividends totalling 3.29 cents per Share. Dividend payments in the Period totalled

3.23 cents per Share as the dividend for the 3 month period ending 30 September 2023 (relating to the previous financial period) was paid in the Period and the dividend for the 3 month period ending 31 March 2024 was declared and paid after the end of the Period.

The Company had no share repurchase transactions during the period nor any during the same comparable period of the previous year. At 31 March 2024 the Company had 308,552,938 Shares in issue with 52,897,062 held in treasury (30 September 2023: 308,271,965 Shares in issue with 53,178,035 held in treasury).

8 Bloomberg NAV Price total return (with dividends re invested daily at Ex-date).

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Chenavari Toro Income Fund Limited

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

Portfolio Manager's Report (continued)

Portfolio breakdown as of 31 March 2024

As of 31 March 2024, the Company's investment, gross of leverage, represented 108.27% of the NAV. The NAV allocation as of 31 March 2024 was as follows:

		31 March 2024			30 September 2023
Asset class breakdown	% NAV			% NAV
Equity (including Taurus Originator)	57.37%	53.42%
Secured loan	53.65%	7.30%
Arbitrage CLO	28.65%	25.22%
Reverse repurchase agreement	13.79%	13.33%
Preferred equity	8.22%	10.43%
Cash and cash equivalents	5.20%	3.48%
Bond	1.33%	-
Derivative financial assets	0.55%	1.83%
Arbitrage CDO	0.11%	0.10%
Derivative financial liabilities	(0.07%)	(0.43%)
Consumer ABS	(8.22%)	0.15%
Residential mortgage-backed security	(9.56%)	0.49%
Due to/from broker, accruals, other receivables and prepayments	(13.48%)	(3.13%)
Equity securities	(17.37%)	(0.79%)
Repurchase agreement	(20.17%)		(11.40%)
Total		100.00%		100.00%
The geographical breakdown of the underlying assets is as follows:
Geographic breakdown	31 March 2024			30 September 2023
France	17.01%	16.10%
Great Britain	14.27%	13.24%
Ireland	12.86%	2.15%
Italy	12.15%	2.62%
Netherlands	12.04%	13.73%
Spain	11.08%	13.38%
Luxembourg	9.18%	13.20%
Germany	7.63%	9.88%
USA	1.99%	7.59%
Other	10.07%	7.76%
Cash and cash equivalents	5.20%	3.48%
Due to/from broker, accruals, other receivables and prepayments	(13.48%)		(3.13%)
Total		100.00%		100.00%

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