Chenavari Toro Income Fund Limited

Name
Chenavari Toro Income Fund Limited
Manager
Chenavari Credit Partners LLP
Type
Closed Ended Investment Company
ISIN
GG00BWBSDM98
Sector
Debt - Structured Finance
Launched
08/05/2015
OCF
1.39 %
3 Year Sharpe
-0.11
Yield
9.3 %
Fund Size
£ 166.66 million
NAV
1
Gearing
93
Discount Premium
-31
Operating within the parameters of the Company's existing investment policy, the Company's investment strategy will be rebalanced with a focus on investment in liquid and tradable European ABS/CLO, through the Company's existing "opportunistic credit strategy" (provided that a significant market opportunity arises). Consequently, the Company will cease to make new investments in illiquid assets through its current "originated transactions" and "private asset backed" strategies, but will continue to support existing illiquid assets, where required, with a view to maximising shareholder value. The Company will seek to realise its illiquid assets and redeploy the proceeds into liquid and tradable European ABS/CLO if the opportunity arises. In addition to this rebalancing of the investment strategy, the Company will continue to consider share buy-backs, where appropriate, to assist in narrowing the discount to NAV, and will continue to invest in hedging instruments.
Holding %
EQUITY FUND 36.41 %
Arbitrage Clo 35.75 %
Preferred Equity 7.70 %
Residential Mortgage-Backed Security 4.74 %
Non-Performing Loan 4.66 %
Balance Sheet Clo 2.17 %
Commercial Mortgage-Backed Security 0.78 %
Senior Loan 0.75 %
Consumer Abs 0.25 %
Whole Loan 0.03 %
Region %
United States 98.53 %
Sector %
Technology 26.25 %
Industrials 17.52 %
Healthcare 15.01 %
Consumer Cyclical 14.85 %
Financial Services 12.05 %
Name
Chenavari Credit Partners LLP
Address
GY4 6RT, St. Martin, Guernsey
Legal Structure
Closed Ended Investment Company

Managers

Stéphane Parlebas
Joined 05/07/2015
Benoit Pellegrini
Joined 05/07/2015

Benoit Pellegrini Senior Portfolio Manager, European ABS Prior to joining Chenavari Investment Managers to manage European asset-backed strategies (Toro), Benoît worked at Natixis in several positions. As a high frequency flow ABS/CDO Trader for the last six years, he was in charge of managing a multi billion Euros portfolios which implied analysing, modelling, pricing and monitoring a wide range of European structured credit products. He received a Magistere of Sciences in International Economics & Finance (BA) and a post graduate degree in Corporate Finance from the University of Bordeaux IV as well as a graduate degree specialised in Econometrics from Tilburg University (NL).

Demian Brasil
Joined 05/07/2015

Demian Brasil, who has 13 years of experience including Portfolio Management and Research, is a founding Partner of Chenavari and a Portfolio Manager of corporate credit funds. Prior to joining Chenavari, Demian was a Senior Credit Portfolio manager at Washington Square IM, responsible for running a relative value credit opportunity fund, investing in leveraged loans, HY bonds, CDS, LCDS and credit indices tranches. He was also running a EM dedicated fund with exposure to corporate and Sovereign credits and was a co-portfolio manager for the global corporate synthetic CDOs portfolio. Demian was also involved in setting up credit portfolio risk management models for various portfolios including Correlation VAR, spread VAR, DV01, jump to default exposure as well as extreme scenario stress tests. From 1999 to 2004 he was a portfolio manager and strategist at HSBC Asset Management in London and Brazil, responsible for South Korea, China, Taiwan, Malaysia, Thailand, India, Turkey, Russia, South Africa, Brazil and Mexico. Between 1997 and 1999, Demian worked for Unibanco Asset Management in Brazil as an Analyst.

Malek Meslemani
Joined 05/07/2015

Prior to joining Chenavari IM, Malek Meslemani was Director, in charge of Credit Correlation Proprietary Trading at CALYON in London. He started his career in the Option and Credit Derivatives Arbitrage Desk at BNP Paribas working on daily risk management of the credit exotic trading book. He then joined Calyon as Credit Correlation Trader. He was appointed to the Proprietary Credit Trading group, and subsequently put in charge of Correlation Prop Book in 2005. He has a strong quantitative background: he graduated from both Ecole Centrale Paris (Master Degree in Applied Mathematics to Finance) and University Paris Dauphine (First Year PhD, Master Degree in Applied Mathematics to Economy).

Hubert de Mallerais
Joined 05/07/2015
Andrew Haines
Joined 05/07/2015
Laurent Quelin
Joined 05/07/2015
Cyril Noel
Joined 05/07/2015
Mick Vasilache
Joined 05/07/2015

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