Interim Management Statement

BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT FOR THE PERIOD FROM 1 JULY 2014 TO 14 NOVEMBER 2014 YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT BH MACRO LIMITEDINTERIM MANAGEMENT STATEMENT T +44 (0)20 7022 6250 www.brevanhoward.com Overview and Objective BH Macro Limited ("BHM" or the "Company") is a closed-ended investment company, registered and incorporated in Guernsey on 17 January 2007 (Registration Number: 46235). BHM invests all of its assets (net of short-term working capital) in the ordinary shares of Brevan Howard Master Fund Limited (the "Fund"). BHM was admitted to the Official List of the UK Listing Authority and to trading on the Main Market of the London Stock Exchange on 14 March 2007. This Interim Management Statement covers the period from 1 July 2014 to the date of its publication. Company Size The total net assets of BHM are summarised as follows: Share 30 30 June 30 30 June Class September 2014 Change in September 2014 2014 Net 2014 Currency: Assets In Currency: USD (mm) In Currency USD (mm) 30 June Currency of Class 2014 to of Class (mm) 30 (mm) September 2014 Currency: USD (mm) USD 410.1 418.1 -8.0 410.1 418.1 Shares EUR 141.3 157.4 -16.2 111.8 115.0 Shares GBP 1,371.0 1,449.5 -78.5 845.7 847.7 Shares Total 1,922.4 2,025.1 -102.7 - - Source: Northern Trust International Fund Administration Services (Guernsey) Limited ("Northern Trust") Figures are rounded to one decimal place. Share Capital The number of shares in issue in each share class of BHM is summarised as follows: Share Class 13 November 30 30 June 2014 2014* September 2014 USD Shares 19,103,093 19,730,206 21,089,811 EUR Shares 5,291,823 5,348,758 5,766,145 GBP Shares 38,449,696 39,207,288 41,341,649 Source: Northern Trust * 13 November 2014 being the latest practicable date prior the date of this Interim Management Statement. Performance Review The closing share price* of each share class of BHM is summarised as follows: Share Class 13 November 30 30 June 2014 2014** September 2014 USD Shares 19.39 19.66 18.93 (US$) EUR Shares 19.63 19.83 19.225 (€) GBP Shares 20.22 20.42 19.61 (£) Source: Bloomberg The NAV per share* of each share class of BHM is summarised as follows: Share Class 7 November 30 30 June 2014 2014*** September 2014 USD Shares 20.49 20.79 19.82 (US$) EUR Shares 20.59 20.91 19.95 (€) GBP Shares 21.26 21.57 20.51 (£) * NAV performance is provided for information purposes only. Shares in BHM do not necessarily trade at a price equal to the prevailing NAV per Share. ** 13 November 2014 being the latest practicable date prior to the date of this Interim Management Statement. *** Estimated as at 7 November 2014, such date being the most recent date for which an estimated NAV for the Company has been published. The relevant final month-end NAVs may be materially different from these estimated weekly values, which should only be taken as indicative values provided for information only and no reliance should be placed on them. Estimated results, performance or achievements may differ materially from any actual results, performance or achievements. Source: BHM's Net Asset Value per Share data is provided by BHM's Administrator, Northern Trust, and is based on the Fund's Net Asset Value data provided by the Administrator of the Fund, International Fund Services (Ireland) Limited. BHM's Net Asset Value data in this report is unaudited and net of all investment management fees (2% annual management fee and 20% performance fee) and all other fees and expenses payable by BHM. In addition, the Fund is subject to an operational services fee of 50bps per annum. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS Further details of monthly performance information and the outlook of the Fund and BHM can be obtained from BHM's Shareholder Reports, copies of which can be found on BHM's website: www.bhmacro.com Investment Profile The change in the investment profile (by asset class) of the Fund is summarised as follows: Asset Class 30 September 30 June 2014 % of total VaR % of total VaR Fixed 18% 42% Income Vega 15% 20% Equity 18% 14% Credit 2% 5% FX 45% 15% Commodities 1% 5% Source: Brevan Howard Calculated using historical simulation based on a 1 day, 95% confidence interval. Figures are rounded to the nearest whole number. Therefore in some instances the total may not equal 100%.Material Events andTransactions Discount Management In the period between 1 July 2014 and 13 November 2014 being the latest practicable date prior to the date of this Interim Management Statement, BHM purchased the following numbers of shares on the market in accordance with its ongoing discount management policy: Share Class Shares purchased on market between 1 July 2014 and 13 November 2014 USD Shares 1,945,096 EUR Shares 447,839 GBP Shares 2,935,741 Source: Northern Trust In accordance with the terms of BHM's discount management policy these purchases have only been made on the market at prices below the estimated prevailing NAV per Share in circumstances that have resulted in an increase in the NAV per Share of the remaining Shares and after purchase the purchased Shares have either been held in treasury by BHM or cancelled. A circular including a notice of an extraordinary general meeting of the Company to be held at 1.00 p.m. on 3 December 2014 regarding renewal of the Company's own share purchase authority was sent to shareholders on 10 November 2014. Board Statement The board of directors of the Company is not aware of any other significant events or transactions that have occurred between 1 July 2014 and the publication date of this Interim Management Statement which would have a material impact on the financial position of the Company. Enquiries Northern Trust International Fund Administration Services (Guernsey) Limited Andrew Maiden +44 (0) 1481 745 368 Important Legal Information and Disclaimer BH Macro Limited ("BHM") is a feeder fund investing in BrevanHoward Master Fund Limited (the "Fund"). Brevan Howard Capital Management LP("BHCM") has supplied certain information herein regarding BHM's and theFund's performance and outlook. The material relating to BHM and the Fund included in this reportis provided for information purposes only, does not constitute an invitationor offer to subscribe for or purchase shares in BHM or the Fund and is notintended to constitute "marketing" of either BHM or the Fund as such term isunderstood for the purposes of the Alternative Investment Fund ManagersDirective as it has been implemented in states of the European Economic Area.This material is not intended to provide a sufficient basis on which to makean investment decision. Any estimates may be subject to error and significant fluctuation,especially during periods of high market volatility or disruption. Anyestimates should be taken as indicative values only and no reliance should beplaced on them. Estimated results, performance or achievements may materiallydiffer from any actual results, performance or achievements. Except asrequired by applicable law, BHM, the Fund and BHCM expressly disclaim anyobligations to update or revise such estimates to reflect any change inexpectations, new information, subsequent events or otherwise. Tax treatment depends on the individual circumstances of eachinvestor in BHM and may be subject to change in the future. Returns mayincrease or decrease as a result of currency fluctuations. You should note that, if you invest in BHM, your capital will be atrisk and you may therefore lose some or all of any amount that you choose toinvest. This material is not intended to constitute, and should not beconstrued as, investment advice. All investments are subject to risk. You areadvised to seek expert legal, financial, tax and other professional advicebefore making any investment decisions. THE VALUE OF INVESTMENTS CAN GO DOWN AS WELL AS UP. YOU MAY NOT GETBACK THE AMOUNT ORIGINALLY INVESTED AND YOU MAY LOSE ALL OF YOUR INVESTMENT.PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS