1. Pamplona Credit Opportunities Fund
PRIVATE & CONFIDENTIAL
Pamplona Credit Opportunities Fund
Monthly Investor Risk Report
CS01 June 2016
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2. Contents

3. Firm AUM and Fund Summary
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Monthly returns since inception
Note 1: Risk free rate is the average of one month Euribor rate inception to date

4. Comparison Performance Statistics
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5. MTD Asset Class Exposure Reported as % of Gross Portfolio CS01 / PV012
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Note 2: Gross Portfolio CS01 MTD is €163,167 which is the absolute value in Euros of the impact of a 1bp increase in credit spreads across the entire portfolio

6. MTD Asset Class Exposure Reported as % of Gross Portfolio CS01 / PV01 cont.
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7. Asset Class Gross Exposure in Detail as % of Gross Portfolio CS01 / PV01
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*As from August 2015, figures based on CS01. PV01 for Direct Lending.

8. Top 10 Positions Ranked by CS01 / PV01 Exposure
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9. Cash Balances3 and Custodian Positions4
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Note 3: Cash is bank balances less unsettled trades less management fee plus initial ISDA and GMRA margin plus variation margin less corporate actions
Note 4: Other custody positions are leveraged loans registered with various independent title registries

10. Ratings5 Breakdown of Single Name Issuers as % of Gross Portfolio CS01 Exposure. Excludes Direct Lending
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Note 5: Default rating is Moody’s. If no Moody’s then take S&P, if no Moody’s or S&P, take Fitch. NR is no rating from any ratings agency. All ratings have been consolidated into the neutral branch of the ratings nomenclature.

11. Portfolio Positions & Turnover
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Note 6: Includes notional value (delta adjusted for options) of CDS contracts in turnover figures
Note 7: Includes individual draw downs under Direct Lending Facility

12. NOT FOR DISTRIBUTION Gross8 Performance Attribution
Note 8: Performance results are gross of management fee, performance fee and fund expenses including custody fees and administration fees but net of all
transaction costs. Figures are presented as % of beginning of period AUM

13. NOT FOR DISTRIBUTION Disclaimer
This document has been prepared by Pamplona Capital Management LLP on a confidential basis solely for the information of the person to whom it has been delivered. The information contained herein is strictly confidential and is only for the use of the person to whom it is sent. The information contained herein may not be reproduced, distributed or published by any recipient for any purpose without the prior written consent of Pamplona Capital Management LLP. No reliance should be placed on this communication by any other recipients. No liability whatsoever is accepted for any direct or consequential loss arising from using this information. Hedge funds are speculative and involve significant risks including the risk of total loss. The value of investments and the income from them can go down as well as up. Past performance is no guarantee of future results.
Pamplona Capital Management LLP is authorised and regulated by the Financial Conduct Authority ("FCA") to carry on regulated activities in the United Kingdom. This document is being communicated by Pamplona Capital Management LLP only to persons to whom it may lawfully be issued under The Financial Services and Markets Act 2000 (Promotion of Collective Investment Schemes) (Exemptions) Order 2001 or Annex 5 to Chapter 3 of the FCA's Conduct of Business Sourcebook. This document is exempt from the scheme promotion restriction on the communication of invitations or inducements to participate in unregulated collective investment schemes on the grounds that it is being issued by Pamplona Capital Management LLP only to such persons.
This document is not intended as an offer or solicitation with respect to the purchase or sale of any security. This document is not intended for distribution to, or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. In particular this document is not intended for distribution in the United States or for the account of U.S. persons (as defined in Regulation S under the United States Securities Act of 1933, as amended (the "Securities Act")) except to persons who are "qualified purchasers" (as defined in the United States Investment Company Act of 1940, as amended) and "accredited investors" (as defined in Rule 501(a) under the Securities Act).
No reliance may be placed for any purpose on the information and opinions contained in this document or their accuracy or completeness. No representation, warranty or undertaking, express or implied, is given as to the accuracy or completeness of the information or opinions contained in this document by any of Pamplona Capital Management LLP, its members, employees or affiliates and no liability is accepted by such persons for the accuracy or completeness of any such information or opinions, and nothing contained herein shall be relied upon as a promise or representation whether as to past or future performance.