REG-BH Macro Limited: Annual Report and Audited Financial Statements 2020
31/03/2021 07:05
BH Macro Limited
Annual Report and Audited Financial Statements 2020
LEI: 549300ZOFF0Z2CM87C29
(Classified Regulated Information, under DTR 6 Annex 1 section 1.1)
The Company has today, in accordance with DTR 6.3.5, released its Annual
Report and Audited financial statements for the year ended 31 December 2020.
The Report will shortly be available from the Company’s website:
www.bhmacro.com.
Chairman’s Statement
I am pleased to present to Shareholders this report on another year of strong
performance by BH Macro Limited (the “Company”). As you will find in
greater detail elsewhere in this report, the operating procedures and
contingency plans of the Company and its key service providers have proved
robust in the face of the challenges arising from the COVID-19 pandemic,
whilst the turbulent conditions of financial markets have again presented
opportunities for Brevan Howard Capital Management LP’s (the
“Manager’s”) trading strategies. As the pandemic unfolded with its
dreadful cost in terms of human misery your Company in common with most
financial companies was largely unaffected from an operational point of view .
Your Company’s Board and its service providers were able to switch to remote
working with no disruption to services and without any apparent increase in
risk to its operations.
I must begin, however, with the concern which the Board and I share for the
well-being of all the Company’s stakeholders in these disconcerting and
unpredictable times. That the environment has favoured our investment approach
does not in any way diminish our consciousness of the distress which the
pandemic has caused to many millions, including inevitably amongst our
shareholders, service providers and those who work with and for them. We wish
you well.
I would also like to take this opportunity on behalf of the Board to thank
Colin Maltby for his years of service as both a director and latterly as
Chairman. Colin retired from the Board on 15 February 2021 and was Chairman of
the Company for the entirety of the financial period covered by this Annual
Report.
During the year ended 31 December 2020, the Net Asset Value (“NAV”) per
Sterling share in the Company increased by 28.09% and the NAV per US Dollar
share increased by 28.86%. The share price total return on a Sterling share
was 34.87% over the year and on a US Dollar share was 31.39%.
The Company’s performance is directly related to the performance of Brevan
Howard Master Fund Limited (the “Master Fund”) into which the Company
invests substantially all its assets. In 2020, the Master Fund maintained the
strong performance seen since 2018, against a background in which market
conditions have offered favourable opportunities for its macro-directional
trading focus.
The past performance of the Master Fund and the Company has shown positive
correlation with market volatility. In particular, volatility or unstable
expectations in foreign exchange and interest rate markets can provide fertile
environments for the Manager’s trading strategies. Such was the case again
in 2020. Evolving perceptions of the pandemic, its economic consequences and
the reactions of the monetary and fiscal authorities, gave unusual force to
market instability. Fluctuating expectations for US Dollar interest rates,
both short and long-term, uncertainty in Sterling markets over the
consequences of Brexit, political and economic stresses in the United States,
the Eurozone and in several important emerging economies have all contributed
to this environment of greater opportunity for the Master Fund and the
Company. As the market environment has changed, the Company has offered
Shareholders the opportunity to benefit from the Master Fund’s long-term
track record of preserving capital and achieving positive returns.
As part of the Tender Offer which completed in May 2017, the Board agreed that
the Company would not engage in market purchases of its own shares before 1
April 2019, but committed to hold a discontinuation vote for either class of
share if that class traded at an average discount of 8% or more to the monthly
NAV over the whole of 2018 or any subsequent calendar year. In the event, the
average monthly premium at which the Company’s shares traded in relation to
monthly NAV during 2019 was 0.44% for the Sterling class and 1.15% for the US
Dollar class and, consequently, no discontinuation votes were to be held in
2020. The average monthly premium at which the Company’s shares traded in
relation to monthly NAV during 2020 was 4.80% for the Sterling class and 5.21%
for the US Dollar class. Consequently, no discontinuation vote is required to
be held in 2021.
Prior to the Tender Offer, the Company used share buy-backs as one mechanism
to reduce the discount at which the shares traded to NAV. For much of 2020,
the Company’s shares traded at a premium or minimal discount to NAV.
However, if the Company’s shares were again to trade at wide or volatile
discounts to NAV in the future, it would be the Board’s intention to
consider resuming this process. During the year, the Company re-issued 438,449
Sterling shares and 81,000 US Dollar shares held in Treasury following
previous buy-backs and tender offers.
In recent years, the Manager has implemented several significant changes to
its internal structure. On the trading side, the Manager has launched a number
of separate funds, supporting individual traders or groups of traders who had
been managing money for the Master Fund. Through its investment into these new
funds, the Master Fund continues to access the expertise of these traders.
This new approach has increased the ability of the Manager to retain its key
traders at a time when the market for such individuals is very competitive.
The Manager also restructured its middle and back office operations into a
separately constituted and regulated entity which is now offering its services
to select third party clients as well as in respect of the Master Fund and the
other funds managed by the Manager.
Against this background, the Board has continued its regular dialogue with the
Manager, reviewing the Master Fund’s trading strategies and risk exposures
and satisfying itself that the Manager’s analytical, trading and risk
management capabilities continue to be maintained at a high standard. We have
remained reassured that these continuing developments in the Manager’s
operations have no negative implications for the Manager’s core activities
or the services which the Manager provides to your Company.
The Company and its Manager have continued to pursue an active programme of
public communication and investor relations. Up-to-date performance
information is provided through NAV data published monthly on a definitive
basis and weekly on an estimated basis, as well as through monthly risk
reports and shareholder reports. All these reports and further information
about the Company are available on its website (www.bhmacro.com).
The Board is wholly independent of the Brevan Howard group. The Directors are
very closely focused on safeguarding the interests of Shareholders and believe
that the Company observes high standards of corporate governance. In 2018, the
Board commissioned an external evaluation of its performance which confirmed
that the Board works in a collegiate, harmonious and effective manner. We
expect to commission a further review during 2021. The Board instigated, in
early 2019, a recruitment process to continue its renewal, engaging a
professional consulting firm for assistance. I am delighted that Bronwyn
Curtis was able to join us in January 2020 and was elected as a non-executive
Director at the 2020 AGM. Following the retirement of Colin Maltby in February
2021 and my subsequent appointment as Chairman, the Board will maintain its
periodic review of the ongoing balance and composition of the Board as a whole
to ensure that it continues to meet the needs of the Company and its
shareholders.
Shareholders will be aware that the United Kingdom left the European Union on
31 January 2020 and that there is no agreement in place governing the future
relationship between the UK and the EU in financial services. Since your
Company does not operate directly within the EU and invests substantially all
of its assets into a Cayman master fund, it may be that the impact of Brexit
will be felt principally through the consequences for the London financial
markets, in which the Master Fund is a participant and where the Company’s
shares are traded on the London Stock Exchange.
Subsequent to the year end and following discussions between the Board, the
Manager and the Company's shareholders, a circular proposing changes to the
terms of the Management Agreement was issued to shareholders on 12 March 2021.
Following the EGM that ensued on 29 March 2021, a substantial majority of
shareholders voted in favour of the arrangements proposed in the Circular, as
a result of which the Management Agreement will be amended and restated with
effect from 1 July 2021 to reflect the changes outlined in the circular. A
further circular will be issued to shareholders in due course containing
proposals for a tender offer for up to 40% of the Company's share capital by
share class, which is expected to complete before 1 July 2021 when the changes
to the Management Agreement would become effective.
I look forward to a year in which we can reasonably hope that the pandemic
recedes and I wish all our shareholders the very best for 2021.
Richard Horlick
Chairman
30 March 2021
Board Members
The Directors of the Company, as at the date of signing, all of whom are
non-executive, are listed below:
Richard Horlick (appointed Chairman on 15 February 2021), age 62
Richard Horlick is UK resident. He is currently the non-executive chairman of
CCLA Investment Management which manages £11.5bn of assets for over 38,000
charities and church and local authority funds. He has served on a number of
closed end fund boards most recently Pacific Assets Trusts Plc from December
2005 until June 2014 and Tau Capital Plc from May 2007 to January 2014. He was
a partner and non-executive chairman of Pensato Capital LLP until its
successful sale to RWC Partners in 2017. He has had a long and distinguished
career in investment management graduating from Cambridge University in 1980
with an MA in Modern History. After 3 years in the corporate finance
department of Samuel Montagu he joined Newton Investment Management in January
1984, where he became a Director and portfolio manager. In 1994, he joined
Fidelity International as President of their institutional business outside
the US and in 2001 became President and CEO of Fidelity Management Trust
Company in Boston which was the Trust Bank for the US Fidelity Mutual fund
range and responsible for their defined benefit pension business. In 2003, he
joined Schroders Plc as a main board Director and head of investment
worldwide. In January 2006, he established Spencer House Capital Management
with Lord Jacob Rothschild. In addition, he has been a business angel
investing in a wide range of private companies. He became a limited partner in
CBE Capital Limited, a property development group.
Bronwyn Curtis, age 72 (appointed 1 January 2020)
Bronwyn Curtis is a UK resident and Senior Executive with 30 years leadership
in finance, commodities, consulting and the media. She is currently chairman
of JPMorgan Asia Growth and Income Plc and a non-executive Director of
Pershing Square Holdings Plc, the Scottish American Investment Company Plc and
the UK Office of Budget Responsibility. Her executive roles included Head of
Global Research at HSBC Plc, Managing Editor and Head of European Broadcast at
Bloomberg LP, Chief Economist of Nomura International, and Global Head of
Foreign Exchange and Fixed Income Strategy at Deutsche Bank. She has also
worked as a consultant for the World Bank and UNCTAD. Her other current
appointments include the Advisory Board at Imperial College Business School,
trustee of the Centre for Economic and Policy Research, the Australia-UK
Chamber of Commerce and The Times shadow MPC. She is a graduate of the London
School of Economics and La Trobe University in Australia where she received a
Doctor of Letters in 2017. Bronwyn was awarded an OBE in 2008 for her services
to business economics.
John Le Poidevin, age 50
John Le Poidevin is Guernsey resident and has over 25 years’ business
experience. Mr Le Poidevin is a graduate of Exeter University and Harvard
Business School, a Fellow of the Institute of Chartered Accountants in England
and Wales and a former partner of BDO LLP in London where, as Head of Consumer
Markets, he developed an extensive breadth of experience and knowledge of
listed businesses in the UK and overseas. He is an experienced non-executive
who sits on several Plc boards and chairs a number of Audit Committees. He
therefore brings a wealth of relevant experience in terms of corporate
governance, audit, risk management and financial reporting. Mr Le Poidevin was
appointed to the Board in June 2016.
Claire Whittet, age 65
Claire Whittet is Guernsey resident and has over 40 years’ experience in the
financial services industry. After obtaining a MA (Hons) in Geography from the
University of Edinburgh, Mrs Whittet joined the Bank of Scotland for 19 years
and undertook a wide variety of roles. She moved to Guernsey in 1996 and was
Global Head of Private Client Credit for Bank of Bermuda before joining
Rothschild & Co Bank International Limited in 2003, initially as Director of
Lending and latterly as Managing Director and Co-Head until May 2016 when she
became a non-executive Director. She is an ACIB member of the Chartered
Institute of Bankers in Scotland, a Chartered Banker, a member of the
Chartered Insurance Institute and holds an IoD Director’s Diploma in Company
Direction. She is an experienced non-executive director of a number of listed
investment and private equity funds one of which she chairs and a number of
which she is Senior Independent Director. Mrs Whittet was appointed to the
Board in June 2014.
Disclosure of Directorships in Public Companies Listed on Recognised Stock
Exchanges
The following summarises the Directors’ directorships in other public
companies:
Exchange
Richard Horlick
VH Global Sustainable Energy Opportunities Plc London
Bronwyn Curtis
JPMorgan Asia Growth and Income Plc Pershing Square Holdings Limited Scottish American Investment Company Plc London London and Euronext Amsterdam London
John Le Poidevin
Episode Inc. International Public Partnerships Limited Euronext Dublin London
Claire Whittet
Eurocastle Investment Limited Euronext Amsterdam
International Public Partnerships Limited London
Riverstone Energy Limited Third Point Offshore Investors Limited London London
TwentyFour Select Monthly Income Fund Limited London
Strategic Report
For the year ended 31 December 2020
The Directors submit to the shareholders their Strategic Report of the Company
for the year ended 31 December 2020.
The Strategic Report provides a review of the business for the financial year
and describes how risks are managed. In addition, the report outlines key
developments and financial performance of the Company during the financial
year and the position at the end of the year, and discusses the main factors
that could affect the future performance, and financial position of the
Company.
BUSINESS MODEL AND STRATEGY
Investment Objective and Company Structure
The Company is organised as a feeder fund that invests solely in the ordinary
US Dollar and Sterling denominated B shares issued by Brevan Howard Master
Fund Limited (the “Master Fund”) – a Cayman Islands open-ended
investment company, which has as its investment objective, the generation of
consistent long-term appreciation through active leveraged trading and
investment on a global basis. Further details on the Investment Objective and
Policy can be found in the Directors’ Report.
Sources of Cash and Liquidity Requirements
As the Master Fund is not expected to pay dividends, the Company expects that
the primary source of its future liquidity will depend on borrowings in
accordance with its leverage policies and the periodic redemption of shares
from the Master Fund.
BUSINESS ENVIRONMENT
The Board is responsible for the Company’s system of internal controls and
for reviewing its effectiveness. The Board is satisfied that by using the
Company’s risk matrix in establishing the Company’s system of internal
controls, while monitoring the Company’s investment objective and policy,
the Board has carried out a robust assessment of the principal and emerging
risks and uncertainties facing the Company. The principal and emerging risks
and uncertainties which have been identified and the steps which are taken by
the Board to mitigate them are as follows:
* Investment Risks: The Company is exposed to the risk that its portfolio
fails to perform in line with the Company’s objectives if it is
inappropriately invested or markets move adversely. The Board reviews reports
from the Manager, which has total discretion over portfolio allocation, at
each quarterly Board meeting, paying particular attention to this allocation
and to the performance and volatility of underlying investments;
* Operational Risks: The Company is exposed to the risks arising from any
failure of systems and controls in the operations of the Manager or the
Administrator, or from the unavailability of either the Administrator or
Manager for whatever reason. The Board receives reports annually from the
Manager and Administrator on their internal controls. The risks associated
with a termination of the Management Agreement are outlined in more detail in
the Viability Statement;
* Accounting, Legal and Regulatory Risks: The Company is exposed to risk if it
fails to comply with the regulations of the UK Listing Authority or if it
fails to maintain accurate accounting records. The Administrator provides the
Board with regular reports on changes in regulations and accounting
requirements;
* Financial Risks: The financial risks faced by the Company include market,
credit and liquidity risk. These risks and the controls in place to mitigate
them are reviewed at each quarterly Board meeting;
* Brexit Risk: Whilst noting that the Company is based in Guernsey and that it
invests substantially all of its assets into a Caymanian master fund, the
Company may nevertheless be exposed to risks arising from the UK’s departure
from the European Union and subsequent agreement reached between the UK and
the European Union at the end of the Brexit transition period, which did not
cover financial services. In conjunction with the Manager, the Board will
monitor the potential impact on the Company and on the Company’s
performance; and
* Coronavirus Risk: Despite the reported increased impact of Coronavirus
(COVID-19) on businesses, the Board continues to believe that this is not a
major business risk for the Company. The Company uses a number of service
providers for its day to day operations. These providers have established and
regularly tested Business Resiliency Policies in place, to cover various
possible scenarios whereby staff cannot turn up for work at the designated
office and conduct business as usual (such as work from home facilities and/or
different regions covering work for other regions).
Future Prospects
The Board’s main focus is the achievement of long-term appreciation. The
future of the Company is dependent upon the success on the investment strategy
of the Master Fund. The investment outlook and future developments are
discussed in both the Chairman’s Statement and the Manager’s Report.
Board Diversity
When appointing new directors and reviewing the board composition, the Board
considers, amongst other factors, diversity, balance of skills, knowledge,
gender and experience. The Board however does not consider it appropriate to
establish targets or quotas in this regard. As at the date of this report, the
Board comprised two female and two male non-executive Directors. The Company
has no employees.
Environmental, Social and Governance Factors
The Company does not have employees, it does not own physical assets and its
Board is formed exclusively of non-executive Directors. As such, the Company
does not undertake activity which would directly affect the environment.
On a regular basis, the Manager assesses the trading activity of the
investment funds it manages, including the Master Fund, to ascertain whether
environmental, social and governance (“ESG”) factors are appropriate or
applicable to such funds. Most ESG principles have been envisaged in the
context of equity or corporate fixed income investment and therefore are not
readily applicable to most types of instruments traded by the majority of
funds managed by the Manager.
The Manager continues to monitor developments in this area and will seek to
implement industry best practice where applicable. The Manager is a
signatory to the UN Principles for Responsible Investment and will apply the
principles where appropriate considering the structure of relevant Brevan
Howard managed funds and the applicable trading universe.
The Administrator is a wholly owned indirect subsidiary of Northern Trust
Corporation, which has adopted the UN Global Compact principles, specifically:
implementing a precautionary approach to addressing environmental issues
through effective programs, undertaking initiatives that demonstrate the
acknowledgement of environmental responsibility, promoting and using
environmentally sustainable technologies, and UN Sustainable Development
Goals, specifically: using only energy efficient appliances and light bulbs,
avoiding unnecessary use and waste of water, implementing responsible
consumption and production, and taking action to reduce climate change.
POSITION AND PERFORMANCE
Packaged Retail and Insurance Based Investment Products (“PRIIPs”)
As at 31 December 2020, the Company remained subject to European Union
Regulation (2017/653) (the “Regulation”) which deems it to be a PRIIP. In
accordance with the requirements of the Regulation, the Manager published the
latest standardised three-page Key Information Document (“KID”) on the
Company on 30 April 2020. The KID is available on the Company’s website
https://www.bhmacro.com/regulatory-disclosures/ and will be updated at least
every 12 months. Since the end of the Brexit transition period, the Regulation
has been succeeded by the UK’s own regulations.
The Company is not responsible for the information contained in the KID. The
process for calculating the risks, cost and potential returns are prescribed
by regulation. The figures in the KID may not reflect the expected returns for
the Company and anticipated returns cannot be guaranteed.
Performance
Key Performance Indicators (“KPIs”)
At each Board meeting, the Directors consider a number of performance measures
to assess the Company’s success in achieving its objectives. Below are the
main KPIs which have been identified by the Board for determining the progress
of the Company:
1. Net Asset Value
The Company’s net asset value has appreciated from £10.00 and US$10.00 per
share at launch to £33.38 and US$34.78 at the year end. This increase in NAV
is largely attributable to the long term growth strategy and returns. The
Directors and Manager are confident that the current strategy will continue to
return positive levels of growth in future.
2. Share Prices, Discount/Premium
The Company has traded at an average premium of 4.80% and 5.21% to NAV for its
Sterling Class and US Dollar Class shares respectively for the year ended 31
December 2020.
3. Ongoing Charges
The Company's ongoing charges ratio has increased from 3.13% to 6.81% on the
Sterling class and increased from 3.40% to 7.13% on the USD class, primarily
due to an increase in the performance fee as a result of improved performance.
The Company reports an aggregated view of the charges for both the Sterling
and US Dollar share classes. Further details are in the Directors’ Report.
Return per Share
Total return per share is based on the net total gain on ordinary activities
after tax of £105,767,059 for the Sterling Class and US$18,804,559 for the US
Dollar Class (2019: £27,463,793 and US$5,791,771 respectively).
These calculations are based on the weighted average number of shares in issue
for the year ended 31 December 2020. Sterling shares: 14,702,553 and US Dollar
shares: 2,397,572 (2019: Sterling shares: 14,234,399 and US Dollar shares:
2,539,270).
Year ended Year ended
31.12.20 31.12.19
Per share '000 Per share '000
Net total gain for Sterling Shares 719.37p 105,767 192.94p 27,464
Net total gain for US Dollar Shares 784.32c 18,805 228.10c 5,792
Net Asset Value
The net asset value per Sterling share, as at 31 December 2020 was £33.38
based on net assets of £501,001,573, divided by number of Sterling shares in
issue of 15,009,868 (2019: £26.06).
The net asset value per US Dollar share, as at 31 December 2020 was US$34.78
based on net assets of US$76,225,992 divided by number of US$ shares in issue
of 2,191,379 (2019: US$26.99).
Dividends
No dividends were paid during the year (2019: US$Nil).
Viability Statement
The investment objective of the Company is to seek to generate consistent
long-term capital appreciation through an investment policy of investing all
of its assets (net of funds required for its short-term working capital) in
the Master Fund.
The Directors have assessed the viability of the Company over the period to 31
December 2023. The viability statement covers a period of three years, which
the Directors consider sufficient given the inherent uncertainty of the
investment world and the specific risks to which the Company is exposed.
The continuation of the Company in its present form is dependent on the
Management Agreement remaining in place. Throughout the period under review,
the Company has sought to maintain a constructive and informed relationship
with the Manager, by the Directors meeting regularly with the Manager to
review the Master Fund’s performance, and through the Management Engagement
Committee, where they review the Company’s relationship with the Manager and
the Manager’s performance and effectiveness. Following discussions between
the Company, the Manager and shareholders, various changes to the Management
Agreement as set out in note 11 to these financial statements were approved by
shareholders at an EGM on 29 March 2021. These changes, which come into effect
from 1 July 2021, include an increase in the notice period for termination by
either party from 3 months to 12 months, were designed to secure the long term
future of the Company on a basis which was acceptable to both the Manager and
to shareholders.
The changes also include a requirement that in the event that the Company’s
aggregate NAV at the end of any calendar quarter for all share classes
combined is lower than US$300 million the Board will propose a vote to
shareholders for the liquidation of the Company. Whilst there would be no
obligation to shareholders to vote in favour of the liquidation in these
circumstances, if the vote were to be passed by shareholders, the Company
would be placed into liquidation, the Management Agreement would be terminated
and certain fees would be payable to the Manager under the terms of the
revised Management Agreement. These arrangements effectively replicate the
existing position under the Management Agreement prior to 1 July 2021 as if
the Management Agreement were to be terminated without notice having been
served as a result of shareholders voting to wind up the Company.
As a result of the shareholder vote in favour of the changes proposed at the
EGM on 29 March 2021, the Company will issue a further circular to
shareholders in due course containing proposals for a tender offer in up to
40% of the Company's share capital by share class, which is expected to
complete before 1 July 2021 when the changes to the Management Agreement
become effective. The Board does not anticipate this proposed tender offer
reducing the aggregate NAV for all share classes combined to below US$300
million.
The Directors have carried out a robust assessment of the risks and, on the
assumption that the risks are managed or mitigated in the ways noted above and
a revised Management Agreement is agreed between the Manager, the Company and
its shareholders, the Directors have a reasonable expectation that the Company
will be able to continue in operation and meet its liabilities as they fall
due over the three-year period of their assessment.
Although the Company is domiciled in Guernsey, the Board has considered the
guidance set out in the AIC Code in relation to Section 172 of the Companies
Act 2006 in the UK. Section 172 of the Companies Act requires that the
Directors of the Company act in the way they consider, in good faith, is most
likely to promote the success of the Company for the benefit of all
stakeholders, including suppliers, customers and shareholders.
Key Service Providers
The Company does not have any employees and as such the Board delegates
responsibility for its day to day operations to a number of key service
providers. The activities of each service provider are closely monitored by
the Board and they are required to report to the Board at set intervals.
In addition, a formal review of the performance of each service provider is
carried out once a year by the Management Engagement Committee.
The Manager
The Manager is a leading and well established hedge fund manager. In exchange
for its services a fee is payable as detailed in note 4 to the financial
statements.
The Board considers that, under the Company’s current investment objective,
the interests of Shareholders, as a whole, are best served by the ongoing
appointment of the Manager.
Administrator and Corporate Secretary
Northern Trust International Fund Administration Services (Guernsey) Limited
is the Administrator and Corporate Secretary. Further details on fee structure
are included in note 4 to the financial statements.
Signed on behalf of the Board by:
Richard Horlick
Chairman
John Le Poidevin
Director
30 March 2021
Directors’ Report
31 December 2020
The Directors submit their Report together with the BH Macro Limited (the
“Company”) Audited Statement of Assets and Liabilities, Audited Statement
of Operations, Audited Statement of Changes in Net Assets, Audited Statement
of Cash Flows and the related notes for the year ended 31 December 2020. The
Directors’ Report together with the Audited Financial Statements and their
related notes (the “Financial Statements”) give a true and fair view of
the financial position of the Company. They have been prepared properly, in
conformity with United States Generally Accepted Accounting Principles (“US
GAAP”) and are in agreement with the accounting records.
The Company
BH Macro Limited is a limited liability closed-ended investment company which
was incorporated in Guernsey on 17 January 2007 and then admitted to the
Official List of the London Stock Exchange ("LSE") later that year.
Currently, ordinary shares are issued in Sterling and US Dollars.
Investment Objective and Policy
The Company is organised as a feeder fund that invests all of its assets (net
of short-term working capital requirements) directly in Brevan Howard Master
Fund Limited (the “Master Fund”), a hedge fund in the form of a Cayman
Islands open-ended investment company, which has as its investment objective
the generation of consistent long-term appreciation through active leveraged
trading and investment on a global basis. The Master Fund is managed by Brevan
Howard Capital Management LP, the Company’s Manager.
The Master Fund has flexibility to invest in a wide range of instruments
including, but not limited to, debt securities and obligations (which may be
below investment grade), bank loans, listed and unlisted equities, other
collective investment schemes, currencies, commodities, futures, options,
warrants, swaps and other derivative instruments. The underlying philosophy is
to construct strategies, often contingent in nature, with superior risk/return
profiles, whose outcome will often be crystallised by an expected event
occurring within a pre- determined period of time.
The Master Fund employs a combination of investment strategies that focus
primarily on economic change and monetary policy and market inefficiencies.
The Company may employ leverage for the purposes of financing share purchases
or buy backs, satisfying working capital requirements or financing further
investment into the Master Fund, subject to an aggregate borrowing limit of
20% of the Company’s NAV, calculated as at the time of borrowing. Borrowing
by the Company is in addition to leverage at the Master Fund level, which has
no limit on its own leverage.
Results and Dividends
The results for the year are set out in the Audited Statement of Operations.
The Directors do not recommend the payment of a dividend.
Share Capital
The number of shares in issue at the period end is disclosed in note 5 of the
Notes to the Audited Financial Statements.
Going Concern
The Directors, having considered the Principal and Emerging Risks and
Uncertainties to which the Company is exposed which are listed in the
Strategic Report and on the assumption that these are managed or mitigated as
noted, are not aware of any material uncertainties which may cast significant
doubt upon the Company’s ability to continue as a going concern and,
accordingly, consider that it is appropriate that the Company continues to
adopt the going concern basis of accounting for these Audited Financial
Statements.
As part of the going concern assessment, the Directors have also considered
the effect on the Company of the proposed tender offer for up to 40% of each
class of the Company's issued Shares at a price equal to 98% of the prevailing
NAV per Share of the applicable class at the time of the tender offer less an
amount per share in respect of the costs of the offer.
The Board continues to monitor the ongoing impacts of the COVID-19 pandemic
and has concluded that the biggest threat to the Company with regards to this
pandemic is the failure for a key service provider to maintain business
continuity and resiliency while maintaining work from home and social
distancing practices. The Board has assessed the measures in place by key
service providers to produce business continuity and so far has not identified
any significant issues that affect the Company. The financial position of the
Company has not been negatively impacted by the pandemic either. For these
reasons, the Board is confident that the outbreak of COVID-19 has not impacted
the going concern assessment of the Company.
The Board
The Board of Directors has overall responsibility for safeguarding the
Company’s assets, for the determination of the investment policy of the
Company, for reviewing the performance of the service providers and for the
Company’s activities. The Directors, all of whom are non-executive, are
listed in Board Members.
The Articles provide that, unless otherwise determined by ordinary resolution,
the number of Directors shall not be less than two. The Company’s policy on
Directors’ Remuneration, together with details of the remuneration of each
Director who served during the year, is detailed in the Directors’
Remuneration Report.
The Board meets at least four times a year and between these formal meetings
there is regular contact with the Manager and the Administrator. The Directors
are kept fully informed of investment and financial controls, and other
matters that are relevant to the business of the Company are brought to the
attention of the Directors. The Directors also have access to the
Administrator and, where necessary in the furtherance of their duties, to
independent professional advice at the expense of the Company.
For each Director, the tables below set out the number of Board and Audit
Committee meetings they were entitled to attend during the year ended 31
December 2020 and the number of such meetings attended by each Director.
Scheduled Board Meetings Held Attended
Colin Maltby 5 5
Bronwyn Curtis 5 5
Richard Horlick 5 5
John Le Poidevin 5 5
Claire Whittet 5 5
Audit Committee Meetings Held Attended
John Le Poidevin 4 4
Bronwyn Curtis 4 4
Richard Horlick 4 4
Claire Whittet 4 4
Management Engagement Committee Meetings Held Attended
Claire Whittet 1 1
Bronwyn Curtis 1 1
Richard Horlick 1 1
John Le Poidevin 1 1
Colin Maltby 1 1
In addition to these scheduled meetings, ten ad hoc committee meetings were
held during the year ended 31 December 2020, which were attended by those
Directors available at the time.
The Board has reviewed the composition, structure and diversity of the Board,
succession planning, the independence of the Directors and whether each of the
Directors has sufficient time available to discharge their duties effectively.
The Board confirms that it believes that it has an appropriate mix of skills
and backgrounds, that all of the Directors are considered to be independent in
accordance with the provisions of the AIC Code and that all Directors have the
time available to discharge their duties effectively.
The Chairman’s and Directors’ tenures are limited to nine years, which is
consistent with the principles listed in the UK Corporate Governance Code.
Notwithstanding that some of the Directors sit on the boards of a number of
other listed investment companies, the Board notes that each appointment is
non-executive and that listed investment companies generally have a lower
level of complexity and time commitment than trading companies. Furthermore,
the Board notes that attendance of all Board and Committee meetings during the
year is high and that each Director has always shown the time commitment
necessary to discharge fully and effectively their duties as a Director.
Directors’ Interests
The Directors had the following interests in the Company, held either directly
or beneficially:
Sterling Shares
31.12.20 31.12.19
Colin Maltby 3,500 3,000
Bronwyn Curtis Nil N/A
Richard Horlick Nil Nil
John Le Poidevin 3,222 3,222
Claire Whittet Nil Nil
US Dollar Shares
31.12.20 31.12.19
Colin Maltby 1,000 500
Bronwyn Curtis Nil N/A
Richard Horlick Nil Nil
John Le Poidevin Nil Nil
Claire Whittet Nil Nil
Directors’ Indemnity
Directors’ and Officers’ liability insurance cover is in place in respect
of the Directors.
The Directors entered into indemnity agreements with the Company which provide
for, subject to the provisions of the Companies (Guernsey) Law, 2008, an
indemnity for Directors in respect of costs which they may incur relating to
the defence of proceedings brought against them arising out of their positions
as Directors, in which they are acquitted or judgement is given in their
favour by the Court. The agreement does not provide for any indemnification
for liability which attaches to the Directors in connection with any
negligence, unfavourable judgements and breach of duty or trust in relation to
the Company.
Corporate Governance
To comply with the UK Listing Regime, the Company must comply with the
requirements of the UK Corporate Governance Code. The Company is also required
to comply with the Code of Corporate Governance issued by the Guernsey
Financial Services Commission.
The Company is a member of the Association of Investment Companies (the
“AIC”) and by complying with the AIC Code is deemed to comply with both
the UK Corporate Governance Code and the Guernsey Code of Corporate
Governance.
To ensure ongoing compliance with the principles and the recommendations of
the AIC Code, the Board receives and reviews a report from the Secretary, at
each quarterly meeting, identifying whether the Company is in compliance and
recommending any changes that are necessary.
The Company has complied with the requirements of the AIC Code and the
relevant provisions of the UK Corporate Governance Code, except as set out
below.
The UK Corporate Governance Code includes provisions relating to:
* the role of the chief executive;
* executive directors’ remuneration;
* the need for an internal audit function; and
* whistle-blowing policy.
For the reasons explained in the UK Corporate Governance Code, the Board
considers these provisions are not relevant to the position of the Company as
it is an externally managed investment company with a Board formed exclusively
of non-executive Directors. The Company has therefore not reported further in
respect of these provisions. The Company does not have employees, hence no
whistle- blowing policy is necessary. However, the Directors have satisfied
themselves that the Company’s service providers have appropriate
whistle-blowing policies and procedures and seek regular confirmation from the
service providers that nothing has arisen under those policies and procedures
which should be brought to the attention of the Board.
The Company has adopted a policy that the composition of the Board of
Directors is at all times such that (i) a majority of the Directors are
independent of the Manager and any company in the same group as the Manager
(the “Manager’s Group”); (ii) the Chairman of the Board of Directors is
free from any conflicts of interest and is independent of the Manager’s
Group; and (iii) no more than one director, partner, employee or professional
adviser to the Manager’s Group may be a Director of the Company at any one
time.
The Company has adopted a Code of Directors’ dealings in securities.
The Company’s risk exposure and the effectiveness of its risk management and
internal control systems are reviewed by the Audit Committee and by the Board
at their meetings. The Board believes that the Company has adequate and
effective systems in place to identify, mitigate and manage the risks to which
it is exposed.
In view of its non-executive and independent nature, the Board considers that
it is not necessary for there to be a Nomination Committee or a Remuneration
Committee as anticipated by the AIC Code. The Board as a whole fulfils the
functions of the Nomination and Remuneration Committees, although the Board
has included a separate Directors’ Remuneration Report of these Audited
Financial Statements. The Board has adopted a Nomination Policy covering
procedures for nominations to the Board and to Board committees.
For new appointments to the Board, nominations are sought from the Directors
and from other relevant parties and candidates are then interviewed by the
Directors. The Board utilised the services of an independent, specialist
company, Cornforth Consulting Ltd prior to appointing Bronwyn Curtis. The
current Board has a breadth of experience relevant to the Company, and the
Directors believe that any changes to the Board’s composition can be managed
without undue disruption. An induction programme is provided for
newly-appointed Directors.
In line with the AIC Code, Section 21.3 of the Company’s Articles requires
all Directors to retire at each Annual General Meeting. At the Annual General
Meeting of the Company on 25 June 2020, Shareholders re-elected all the
Directors of the Company.
The Board regularly reviews its composition and believes that the current
appointments provide an appropriate range of skill, experience and diversity.
The Board, Audit Committee and Management Engagement Committee undertake an
evaluation of their own performance and that of individual Directors on an
annual basis. In order to review their effectiveness, the Board and its
Committees carry out a process of formal self-appraisal. The Board and
Committees consider how they function as a whole and also review the
individual performance of their members. This process is conducted by the
respective Chairman reviewing the Directors’ performance, contribution and
commitment to the Company.
Claire Whittet has been Senior Independent Director since 20 June 2019 and
takes the lead in evaluating the performance of the Chairman.
Board Performance
The performance of the Board and that of each individual Director is
externally evaluated every three years.
The most recent external evaluation of the Board’s performance was completed
in February 2018 and is scheduled to take place every three years. The last
evaluation confirmed that the Board works in a collegiate, harmonious and
effective manner and made a number of recommendations for the medium term
structure of the Board which have been adopted.
The Board carries out an annual internal evaluation of its performance in
years when an external evaluation is not taking place. There were no matters
of note in the 2020 evaluation.
The Board needs to ensure that the Financial Statements, taken as a whole, are
fair, balanced and understandable and provide the information necessary for
Shareholders to assess the Company’s performance, business model and
strategy. In seeking to achieve this, the Directors have set out the
Company’s investment objective and policy and have explained how the Board
and its delegated Committees operate and how the Directors review the risk
environment within which the Company operates and set appropriate risk
controls. Furthermore, throughout the Annual Report, the Board has sought to
provide further information to enable Shareholders to better understand the
Company’s business and financial performance.
Policy to Combat Fraud, Bribery and Corruption
The Board has adopted a formal policy to combat fraud, bribery and corruption.
The policy applies to the Company and to each of its Directors. Further, the
policy is shared with each of the Company’s service providers.
In respect of the UK Criminal Finances Act 2017 which introduced a new
Corporate Criminal Offence of ‘failing to take reasonable steps to prevent
the facilitation of tax evasion’, the Board confirms that it is committed to
preventing the facilitation of tax evasion and takes all reasonable steps to
do so.
Social and Environmental Issues
The Board also keeps under review developments involving other social and
environmental issues, such as Modern Slavery, and will report on those to the
extent they are considered relevant to the Company’s operations.
Ongoing Charges
The ongoing charges represent the Company’s management fee and all other
operating expenses, excluding finance costs, performance fees, share issue or
buyback costs and non-recurring legal and professional fees, expressed as a
percentage of the average of the daily net assets during the year.
Ongoing charges for years ended 31 December 2020 and 31 December 2019 have
been prepared in accordance with the AIC’s recommended methodology.
The following table presents the Ongoing Charges for each share class:
31.12.20
Sterling US Dollar
Shares Shares
Company – Ongoing Charges 0.50% 0.49%
Master Fund – Ongoing Charges 0.63% 0.63%
Performance fees 5.68% 6.01%
Ongoing Charges plus performance fees 6.81% 7.13%
31.12.19
Sterling US Dollar
Shares Shares
Company – Ongoing Charges 0.59% 0.61%
Master Fund – Ongoing Charges 0.65% 0.61%
Performance fees 1.89% 2.18%
Ongoing Charges plus performance fees 3.13% 3.40%
The Master Fund’s Ongoing Charges represent the portion of the Master
Fund’s operating expenses which have been allocated to the Company. The
Company invests substantially all of its investable assets in ordinary
Sterling and US Dollar denominated Class B shares issued by the Master Fund.
These shares are not subject to management fees and performance fees within
the Master Fund. The Master Fund’s operating expenses include an operational
services fee payable to the Manager of 1/12 of 0.5% per month of the NAV.
Audit Committee
The Company’s Audit Committee conducts formal meetings at least three times
a year for the purpose, amongst others, of considering the appointment,
independence, effectiveness of the audit and remuneration of the auditors and
to review and recommend the annual statutory accounts and interim report to
the Board of Directors. It is chaired by John Le Poidevin and comprises
Bronwyn Curtis, who was appointed on 1 January 2020 and Claire Whittet.
Richard Horlick was a member of the Audit Committee until his appointment as
Chairman on 15 February 2021. The Terms of Reference of the Audit Committee
are available from the Administrator.
Management Engagement Committee
The Board has established a Management Engagement Committee with formal duties
and responsibilities. The Management Engagement Committee meets formally at
least once a year, is chaired by Claire Whittet and comprises all members of
the Board.
The function of the Management Engagement Committee is to ensure that the
Company’s Management Agreement is competitive and reasonable for the
Shareholders, along with the Company’s agreements with all other third party
service providers (other than the Independent Auditors). The Management
Engagement Committee also monitors the performance of all service providers on
an annual basis and at the onset of COVID-19 and August 2020 before the
Management Engagement Committee meeting, wrote to each service provider
regarding their Business Continuity Plans and the effect of the pandemic on
their working practices. To date, all services have proved to be robust and
there has been no disruption to the Company. The Terms of Reference of the
Management Engagement Committee are available from the Administrator.
The details of the Manager’s fees and notice period are set out in note 4 to
the Audited Financial Statements.
The Board continuously monitors the performance of the Manager and a review of
the Manager is conducted by the Management Engagement Committee annually.
The Manager has wide experience in managing and administering investment
companies and has access to extensive investment management resources.
At its meeting on 3 September 2020, the Management Engagement Committee
concluded that the continued appointment of the Manager, Administrator, UK and
Guernsey Legal Advisers, Registrar and Corporate Broker on the terms agreed
was in the interests of the Company’s Shareholders as a whole. At the date
of this report, the Board continues to be of the same opinion.
Internal Controls
Responsibility for the establishment and maintenance of an appropriate system
of internal control rests with the Board and to achieve this, a process has
been established which seeks to:
* Review the risks faced by the Company and the controls in place to address
those risks;
* Identify and report changes in the risk environment;
* Identify and report changes in the operational controls;
* Identify and report on the effectiveness of controls and errors arising; and
* Ensure no override of controls by its service providers, the Manager and
Administrator.
A report is tabled and discussed at each Audit Committee meeting, and reviewed
once a year by the Board, setting out the Company’s risk exposure and the
effectiveness of its risk management and internal control systems. The Board
believes that the Company has adequate and effective systems in place to
identify, mitigate and manage the risks to which it is exposed.
In order to recognise any new risks that could impact the Company and ensure
that appropriate controls are in place to manage those risks, the Audit
Committee undertakes a regular review of the Company’s Risk Matrix. This
review took place on two occasions during the year.
The Board has delegated the management of the Company, the administration,
corporate secretarial and registrar functions including the independent
calculation of the Company’s NAV and the production of the Annual Report and
Financial Statements, which are independently audited. Whilst the Board
delegates these functions, it remains responsible for the functions it
delegates and for the systems of internal control. Formal contractual
agreements have been put in place between the Company and the providers of
these services. On an ongoing basis, Board reports are provided at each
quarterly Board meeting from the Manager, Administrator and Company Secretary
and Registrar. A representative from the Manager is asked to attend these
meetings.
In common with most investment companies, the Company does not have an
internal audit function. All of the Company’s management functions are
delegated to the Manager, Administrator and Company Secretary and Registrar
which have their own internal audit and risk assessment functions.
Further reports are received from the Administrator in respect of compliance,
London Stock Exchange continuing obligations and other matters. The reports
were reviewed by the Board. No material adverse findings were identified in
these reports.
International Tax Reporting
For purposes of the US Foreign Account Tax Compliance Act, the Company
registered with the US Internal Revenue Services (“IRS”) as a Guernsey
reporting Foreign Financial Institution (“FFI”), received a Global
Intermediary Identification Number (5QHZVI.99999.SL.831), and can be found on
the IRS FFI list.
The Common Reporting Standard (“CRS”) is a global standard for the
automatic exchange of financial account information developed by the
Organisation for Economic Co-operation and Development (“OECD”), which was
adopted by Guernsey and came into effect on 1 January 2016. The CRS replaced
the intergovernmental agreement between the UK and Guernsey to improve
international tax compliance that had previously applied in respect of 2014
and 2015. The Company made its latest report for CRS to the Director of Income
Tax on 25 June 2020.
Relations with Shareholders
The Board welcomes Shareholders’ views and places great importance on
communication with the Company’s Shareholders. The Board receives regular
reports on the views of Shareholders and the Chairman and other Directors are
available to meet Shareholders, with a number of such meetings taking place
during the year. Due to travel restrictions as a result of COVID-19,
Shareholders were not able to attend the Annual General Meeting in 2020. The
Company provides weekly unaudited estimates of NAV, month end unaudited
estimates and unaudited final NAVs. The Company also provides a monthly
newsletter. These are published via RNS and are also available on the
Company’s website. Risk reports of the Master Fund are also available on the
Company’s website.
The Manager maintains regular dialogue with institutional Shareholders, the
feedback from which is reported to the Board. Shareholders who wish to
communicate with the Board should contact the Administrator in the first
instance.
Having reviewed the Financial Conduct Authority’s restrictions on the retail
distribution of non-mainstream pooled investments, the Company, after taking
legal advice, announced on 15 January 2014 that it is outside the scope of
those restrictions, so that its shares can continue to be recommended by UK
authorised persons to ordinary retail investors.
Following the publication of the updated AIC Code in February 2019, when 20
per-cent or more of Shareholder votes have been cast against a Board
recommendation for a resolution, the Company should explain, when announcing
voting results, what actions it intends to take to consult Shareholders in
order to understand the reasons behind the result. An update on the views
received from shareholders and actions taken should be published no later than
six months after the shareholder meeting. The Board should then provide a
final summary in the Annual Report and, if applicable, in the explanatory
notes to resolutions at the next shareholder meeting, on what impact the
feedback has had on the decisions the Board has taken and any actions or
resolutions now proposed. During the year, no resolution recommended by the
Board received more than 20% of votes against it.
Significant Shareholders
As at 31 December 2020, the following Shareholders had significant
shareholdings in the Company:
% holding
Total Shares Held in class
Significant Shareholders
Sterling Shares
Ferlim Nominees Limited 2,884,047 19.21%
Rathbone Nominees Limited 1,800,817 12.00%
HSBC Global Custody Nominee (UK) Limited 1,151,725 7.67%
Pershing Nominees Limited 896,772 5.97%
Lion Nominees Limited 759,887 5.06%
Smith & Williamson Nominees Limited 686,437 4.57%
Vidacos Nominees Limited 633,998 4.22%
Roy Nominees Limited 520,868 3.47%
Nortrust Nominees Limited 510,483 3.40%
Harewood Nominees Limited 471,992 3.14%
% holding
Total Shares Held in class
Significant Shareholders
US Dollar Shares
Vidacos Nominees Limited 660,368 30.13%
Hero Nominees Limited 482,150 22.00%
Luna Nominees Limited 143,660 6.56%
Computershare Investor Services plc 97,996 4.47%
Seurities Services Nominees 91,762 4.19%
Vestra Nominees Limited 91,536 4.18%
Signed on behalf of the Board by:
Richard Horlick
Chairman
John Le Poidevin
Director
30 March 2021
Statement of Directors’ Responsibility in Respect of the Annual Report and
Audited Financial Statements
The Directors are responsible for preparing the Annual Report and Audited
Financial Statements in accordance with applicable law and regulations.
Company law requires the Directors to prepare financial statements for each
financial year. Under that law, they elected to prepare the financial
statements in accordance with accounting principles generally accepted in the
United States of America and applicable law.
Under Company law, the Directors must not approve the financial statements
unless they are satisfied that they give a true and fair view of the state of
affairs of the Company and of its profit or loss for that year. In preparing
these financial statements, the Directors are required to:
• select suitable accounting policies and then apply them consistently;
• make judgements and estimates that are reasonable, relevant and reliable;
• state whether applicable accounting standards have been followed, subject
to any material departures disclosed and explained in the financial
statements;
• assess the Company’s ability to continue as a going concern, disclosing,
as applicable, matters related to going concern; and
• use the going concern basis of accounting unless liquidation is imminent.
The Directors are responsible for keeping proper accounting records that are
sufficient to show and explain the Company’s transactions and disclose with
reasonable accuracy at any time the financial position of the Company and
enable them to ensure that its financial statements comply with the Companies
(Guernsey) Law, 2008. They are responsible for such internal control as they
determine is necessary to enable the preparation of financial statements that
are free from material misstatement, whether due to fraud or error, and have
general responsibility for taking such steps as are reasonably open to them to
safeguard the assets of the Company and to prevent and detect fraud and other
irregularities.
The Directors are responsible for the maintenance and integrity of the
corporate and financial information included on the Company’s website.
Legislation in Guernsey governing the preparation and dissemination of
financial statements may differ from legislation in other jurisdictions.
Responsibility statement of the Directors in respect of the annual financial
report
We confirm that to the best of our knowledge:
• so far as each of the Directors is aware, there is no relevant audit
information of which the Company’s Independent Auditor is unaware, and each
has taken all the steps they ought to have taken as a Director to make
themselves aware of any relevant information and to establish that the
Company’s Independent Auditor is aware of that information;
• the financial statements, prepared in accordance with the applicable set
of accounting standards, give a true and fair view of the assets, liabilities,
financial position and profit or loss of the Company; and
• the Chairman’s Statement, Strategic Report, Directors’ Report and
Manager’s Report includes a fair review of the development and performance
of the business and the position of the Company, together with a description
of the principal risks and uncertainties that it faces.
We consider the Annual Report and Audited Financial Statements, taken as a
whole, is fair, balanced and understandable and provides the information
necessary for shareholders to assess the Company’s position and performance,
business model and strategy.
Signed on behalf of the Board by:
Richard Horlick
Chairman
John Le Poidevin
Director
30 March 2021
Directors’ Remuneration Report
31 December 2020
Introduction
An ordinary resolution for the approval of the Directors’ Remuneration
Report was passed by the Shareholders at the Annual General Meeting held on 25
June 2020.
Remuneration policy
All Directors are non-executive and a Remuneration Committee has not been
established. The Board as a whole considers matters relating to the
Directors’ remuneration. No advice or services were provided by any external
person in respect of its consideration of the Directors’ remuneration.
The Company’s policy is that the fees payable to the Directors should
reflect the time spent by the Directors on the Company’s affairs and the
responsibilities borne by the Directors and be sufficient to attract, retain
and motivate Directors of a quality required to run the Company successfully.
The Chairman of the Board is paid a higher fee in recognition of his
additional responsibilities, as are the Chairs of the Audit Committee, the
Management Engagement Committee and the Senior Independent Director. The
policy is to review fee rates periodically, although such a review will not
necessarily result in any changes to the rates, and account is taken of fees
paid to Directors of comparable companies.
There are no long term incentive schemes provided by the Company and no
performance fees are paid to Directors.
No Director has a service contract with the Company but each of the Directors
is appointed by a letter of appointment which sets out the main terms of their
appointment. The Directors were appointed to the Board for an initial term of
three years and Section 21.3 of the Company’s Articles requires, as does the
AIC Code, that all of the Directors retire at each Annual General Meeting. At
the Annual General Meeting of the Company on 25 June 2020, Shareholders
re-elected all the Directors. Director appointments can also be terminated in
accordance with the Articles. Should Shareholders vote against a Director
standing for re-election, the Director affected will not be entitled to any
compensation. There are no set notice periods and a Director may resign by
notice in writing to the Board at any time.
Directors are remunerated in the form of fees, payable quarterly in arrears,
to the Director personally.
No other remuneration or compensation was paid or payable by the Company
during the year to any of the Directors apart from the reimbursement of
allowable expenses.
Directors’ fees
The Company’s Articles limit the fees payable to Directors in aggregate to
£400,000 per annum. Until 19 June 2019, the annual fees were £65,000 for Huw
Evans, the Chairman, £47,500 for John Le Poidevin, the Chair of the Audit
Committee, £45,000 for Claire Whittet, the Chair of the Management Engagement
Committee, £45,000 for Colin Maltby as Senior Independent Director and
£40,000 for all other Directors.
Between 20 June 2019 and 30 September 2019, annual fee levels remained the
same as above, except for Colin Maltby, who was paid at the rate of £65,000
per annum after succeeding Huw Evans as Chairman and £47,500 per annum for
Claire Whittet, who was appointed Senior Independent Director.
On 5 September 2019, the Board agreed to changes to the annual Directors’
fees, effective from 1 October 2019 onward. They were changed to £70,000 for
Colin Maltby, the Chairman, £55,000 for John Le Poidevin, the Chair of the
Audit Committee, £50,000 for Claire Whittet, as Chair of the Management
Engagement Committee and the Senior Independent Director and £45,000 for all
other Directors.
On 15 February 2021, Colin Maltby retired as Chairman of the Board. Richard
Horlick was appointed Chairman with an annual fee of £70,000.
The fees payable by the Company in respect of each of the Directors who served
during the years ended 31 December 2020 and 31 December 2019, were as follows:
Year Year
ended ended
31.12.20 31.12.19
£ £
Colin Maltby 70,000 56,854
Huw Evans* N/A *30,714
Bronwyn Curtis** **45,000 N/A
Richard Horlick*** 45,000 ***27,953
John Le Poidevin 55,000 49,375
Claire Whittet 50,000 46,950
Total 265,000 211,846
* Huw Evans served as Chairman at a fee of £65,000 pa
until his retirement from the Board on 20 June 2019.
** Bronwyn Curtis was appointed on 1 January 2020 at a fee
of £45,000 p.a.
*** Richard Horlick was appointed on 1 May 2019 at a fee of
£40,000 p.a. until 30 September 2019 and £45,000 from 1 October 2019.
Signed on behalf of the Board by:
Richard Horlick
Chairman
John Le Poidevin
Director
30 March 2021
Report of the Audit Committee
31 December 2020
We present the Audit Committee’s (the “Committee”) Report for 2020,
setting out the Committee’s structure and composition, principal duties and
key activities during the year. As in previous years, the Committee has
reviewed the Company’s financial reporting, the independence and
effectiveness of the Independent Auditor and the internal control and risk
management systems of the service providers.
Structure and Composition
The Committee is chaired by John Le Poidevin and its other members are Claire
Whittet and Bronwyn Curtis. Richard Horlick was a member of the Committee,
until his appointment as Chairman of the Board on 15 February 2021.
Appointment to the Committee is for a period up to three years which may be
extended for two further three year periods provided that the majority of the
Committee remains independent of the Manager. Claire Whittet is currently
serving her third term. John Le Poidevin is currently serving his second term
and Bronwyn Curtis is serving her first term. Prior to standing down from the
Committee on 15 February 2021, Richard Horlick was serving his first term.
The Committee conducts formal meetings at least three times a year. The table
in the Directors’ Report sets out the number of Committee meetings held
during the year ended 31 December 2020 and the number of such meetings
attended by each committee member. The Independent Auditor is invited to
attend those meetings at which the annual and interim reports are considered.
The Independent Auditor and the Committee will meet together without
representatives of either the Administrator or Manager being present if the
Committee considers this to be necessary.
Principal duties
The role of the Committee includes:
* monitoring the integrity of the published Financial Statements of the
Company;
* reviewing and reporting to the Board on the significant issues and
judgements made in the preparation of the Company’s published Financial
Statements, (having regard to matters communicated by the Independent
Auditor), significant financial returns to regulators and other financial
information;
* monitoring and reviewing the quality and effectiveness of the Independent
Auditor and their independence;
* considering and making recommendations to the Board on the appointment,
reappointment, replacement and remuneration to the Company’s Independent
Auditor; and
* monitoring and reviewing the internal control and risk management systems of
the service providers.
The complete details of the Committee’s formal duties and responsibilities
are set out in the Committee’s Terms of Reference, which can be obtained
from the Company’s Administrator.
The independence and objectivity of the Independent Auditor is reviewed by the
Committee, which also reviews the terms under which the Independent Auditor is
appointed to perform non-audit services, which includes consideration of the
Financial Reporting Council Ethical Standard. The Committee has also
established policies and procedures for the engagement of the auditor to
provide audit, assurance and other services. The services which the
Independent Auditor may not provide are any which:
* places them in a position to audit their own work;
* creates a mutuality of interest;
* results in the Independent Auditor functioning as a manager or employee of
the Company; or
* puts the Independent Auditor in the role of advocate of the Company.
Independent Auditor
The audit and any non-audit fees proposed by the Independent Auditor each year
are reviewed by the Committee taking into account the Company’s structure,
operations and other requirements during the year and the Committee makes
recommendations to the Board.
KPMG Channel Islands Limited (“KPMG CI”) has been the Company’s
Independent Auditor from the date of the initial listing on the London Stock
Exchange. The external audit was most recently tendered for the year ended 31
December 2016, where KPMG CI was re-appointed as auditor following the
completion of the tender process.
Key Activities in 2020
The following sections discuss the assessment made by the Committee during the
year:
Significant Financial Statement Issues
The Committee’s review of the annual Financial Statements focused on the
following area:
The Company’s investment in the Master Fund had a fair value of US$758.6
million as at 31 December 2020 and represents substantially all the net assets
of the Company. The valuation of the investment is determined in accordance
with the Accounting Policies set out in note 3 to the Audited Financial
Statements. The Financial Statements of the Master Fund for the year ended 31
December 2020 were audited by KPMG Cayman who issued an unqualified audit
opinion dated 26 March 2021. The Audit Committee has reviewed the Financial
Statements of the Master Fund and the Accounting Policies and determined the
fair value of the investment as at 31 December 2020 is reasonable.
This matter was discussed during the planning and final stage of the audit and
there was no significant divergence of views between the Committee and the
Independent Auditor.
The Committee has carried out a robust assessment of the risks to the Company
in the context of making the viability statement in these Financial
Statements. Furthermore, the Committee has concluded it appropriate to
continue to prepare the Financial Statements on the going concern basis of
accounting.
Effectiveness of the Audit
The Committee held formal meetings with KPMG CI during the course of the year:
1) before the start of the audit to discuss formal planning, to discuss any
potential issues and to agree the scope that would be covered; and 2) after
the audit work was concluded to discuss the significant issues including those
stated above.
The Committee considered the effectiveness and independence of KPMG CI by
using a number of measures, including but not limited to:
* Reviewing the audit plan presented to them before the start of the audit;
* Reviewing and challenging the audit findings report including variations
from the original plan;
* Reviewing any changes in audit personnel; and
* Requesting feedback from both the Manager and the Administrator.
Further to the above, during the year, the Committee performed a specific
evaluation of the performance of the Independent Auditor. This was supported
by the results of questionnaires completed by the Committee covering areas
such as the quality of the audit team, business understanding, audit approach
and management. This questionnaire was part of the process by which the
Committee assessed the effectiveness of the audit. There were no significant
adverse findings from the 2020 evaluation.
Audit Fees and Safeguards on Non-Audit Services
The table below summarises the remuneration paid by the Company to KPMG CI for
audit and non-audit services during the years ended 31 December 2020 and 31
December 2019.
Year Year
ended ended
31.12.20 31.12.19
£ £
Annual audit 33,250 31,000
Interim review 15,750 15,350
The Audit Committee has examined the scope and results of the external audit,
its cost effectiveness and the independence and objectivity of the Independent
Auditor, with particular regard to non-audit fees, and considers KPMG CI, as
Independent Auditor, to be independent of the Company. Further, the Committee
has obtained KPMG CI’s confirmation that the services provided by other KPMG
member firms to the wider Brevan Howard organisation do not prejudice its
independence.
Internal Control
The Audit Committee has also reviewed the need for an internal audit function.
The Committee has concluded that the systems and procedures employed by the
Manager and the Administrator, including their own internal audit functions,
currently provide sufficient assurance that a sound system of internal
control, which safeguards the Company’s assets, is maintained. An internal
audit function specific to the Company is therefore considered unnecessary.
The Committee examined externally prepared assessments of the control
environment in place at the Manager and the Administrator, with the Manager
providing an International Standard on Assurance Engagements (“ISAE 3402”)
report and the Administrator providing a Service Organisation Control
(“SOC1”) report. No significant findings have been noted during the year.
Conclusion and Recommendation
After reviewing various reports such as the operational and risk management
framework and performance reports from the Manager and Administrator,
consulting where necessary with KPMG CI, and assessing the significant
Financial Statement issues noted in the Report of the Audit Committee, the
Committee is satisfied that the Financial Statements appropriately address the
critical judgements and key estimates (both in respect to the amounts reported
and the disclosures). The Committee is also satisfied that the significant
assumptions used for determining the value of assets and liabilities have been
appropriately scrutinised and challenged and are sufficiently robust. At the
request of the Board, the Audit Committee considered and was satisfied that
the 2020 Annual Report and Audited Financial Statements are fair, balanced and
understandable and provide the necessary information for Shareholders to
assess the Company’s performance, business model and strategy.
The Independent Auditor reported to the Committee that no unadjusted material
misstatements were found in the course of its work. Furthermore, both the
Manager and the Administrator confirmed to the Committee that they were not
aware of any unadjusted material misstatements including matters relating to
the presentation of the Financial Statements. The Committee confirms that it
is satisfied that the Independent Auditor has fulfilled its responsibilities
with diligence and professional scepticism.
Consequent to the review process on the effectiveness of the independent audit
and the review of audit and non-audit services, the Committee has recommended
that KPMG CI be reappointed for the coming financial year.
For any questions on the activities of the Committee not addressed in the
foregoing, a member of the Audit Committee remains available to attend each
Annual General Meeting to respond to such questions.
John Le Poidevin
Audit Committee Chairman
30 March 2021
Manager’s Report
Brevan Howard Capital Management LP (“BHCM” or the “Manager”) is the
manager of BH Macro Limited (the “Company”) and of Brevan Howard Master
Fund Limited (the “Master Fund”). The Company invests all of its assets
(net of short-term working capital) in the ordinary shares of the Master Fund.
Performance Review
The NAV per share of the GBP shares of the Company appreciated by 28.09% in
2020, while the NAV per share of the USD shares appreciated by 28.89%.
The month-by-month NAV performance of each currency class of the Company since
it commenced operations in 2007 is set out below.
GBP Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2007 - - 0.11 0.83 0.17 2.28 2.55 3.26 5.92 0.04 3.08 0.89 20.67
2008 10.18 6.85 (2.61) (2.33) 0.95 2.91 1.33 1.21 (2.99) 2.84 4.23 (0.67) 23.25
2009 5.19 2.86 1.18 0.05 3.03 (0.90) 1.36 0.66 1.55 1.02 0.40 0.40 18.00
2010 (0.23) (1.54) 0.06 1.45 0.36 1.39 (1.96) 1.23 1.42 (0.35) (0.30) (0.45) 1.03
2011 0.66 0.52 0.78 0.51 0.59 (0.56) 2.22 6.24 0.39 (0.73) 1.71 (0.46) 12.34
2012 0.90 0.27 (0.37) (0.41) (1.80) (2.19) 2.38 1.01 1.95 (0.35) 0.94 1.66 3.94
2013 1.03 2.43 0.40 3.42 (0.08) (2.95) (0.80) (1.51) 0.06 (0.55) 1.36 0.41 3.09
2014 (1.35) (1.10) (0.34) (0.91) (0.18) (0.09) 0.82 0.04 4.29 (1.70) 0.96 (0.04) 0.26
2015 3.26 (0.58) 0.38 (1.20) 0.97 (0.93) 0.37 (0.74) (0.63) (0.49) 2.27 (3.39) (0.86)
2016 0.60 0.70 (1.78) (0.82) (0.30) 3.31 (0.99) (0.10) (0.68) 0.80 5.05 0.05 5.79
2017 (1.54) 1.86 (2.95) 0.59 (0.68) (1.48) 1.47 0.09 (0.79) (0.96) 0.09 (0.06) (4.35)
2018 2.36 (0.51) (1.68) 1.01 8.19 (0.66) 0.82 0.79 0.04 1.17 0.26 0.31 12.43
2019 0.52 (0.88) 2.43 (0.60) 3.53 3.82 (0.78) 1.00 (1.94) 0.47 (1.22) 1.52 7.98
2020 (1.42) 5.49 18.31 0.19 (0.85) (0.53) 1.74 0.94 (1.16) (0.02) 0.75 3.04 28.09
USD Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2007 - - 0.10 0.90 0.15 2.29 2.56 3.11 5.92 0.03 2.96 0.75 20.27
2008 9.89 6.70 (2.79) (2.48) 0.77 2.75 1.13 0.75 (3.13) 2.76 3.75 (0.68) 20.32
2009 5.06 2.78 1.17 0.13 3.14 (0.86) 1.36 0.71 1.55 1.07 0.37 0.37 18.04
2010 (0.27) (1.50) 0.04 1.45 0.32 1.38 (2.01) 1.21 1.50 (0.33) (0.33) (0.49) 0.91
2011 0.65 0.53 0.75 0.49 0.55 (0.58) 2.19 6.18 0.40 (0.76) 1.68 (0.47) 12.04
2012 0.90 0.25 (0.40) (0.43) (1.77) (2.23) 2.36 1.02 1.99 (0.36) 0.92 1.66 3.86
2013 1.01 2.32 0.34 3.45 (0.10) (3.05) (0.83) (1.55) 0.03 (0.55) 1.35 0.40 2.70
2014 (1.36) (1.10) (0.40) (0.81) (0.08) (0.06) 0.85 0.01 3.96 (1.73) 1.00 (0.05) 0.11
2015 3.14 (0.60) 0.36 (1.28) 0.93 (1.01) 0.32 (0.78) (0.64) (0.59) 2.36 (3.48) (1.42)
2016 0.71 0.73 (1.77) (0.82) (0.28) 3.61 (0.99) (0.17) (0.37) 0.77 5.02 0.19 6.63
2017 (1.47) 1.91 (2.84) 3.84 (0.60) (1.39) 1.54 0.19 (0.78) (0.84) 0.20 0.11 (0.30)
2018 2.54 (0.38) (1.54) 1.07 8.41 (0.57) 0.91 0.90 0.14 1.32 0.38 0.47 14.16
2019 0.67 (0.70) 2.45 (0.49) 3.55 3.97 (0.66) 1.12 (1.89) 0.65 (1.17) 1.68 9.38
2020 (1.25) 5.39 18.40 0.34 (0.82) (0.54) 1.84 0.97 (1.11) (0.01) 0.76 3.15 28.89
Source: Master Fund NAV data is provided by the administrator of the Master
Fund, International Fund Services (Ireland) Limited (“IFS”). The
Company’s NAV and NAV per Share data is provided by the Company’s
administrator, Northern Trust International Fund Administration Services
(Guernsey) Limited. Company NAV per Share % monthly change is calculated by
the Manager. Company NAV data is unaudited and net of all investment
management and all other fees and expenses payable by the Company. In
addition, the Master Fund is subject to an operational services fee.
With effect from 1 April 2017, the management fee is 0.5% per annum. The
Company’s investment in the Fund is subject to an operational services fee
of 0.5% per annum. No management fee or operational services fee is charged in
respect of performance related growth of NAV for each class of share in excess
of its level on 1 April 2017 as if the tender offer commenced by the Company
on 27 January 2017 had completed on 1 April 2017.
NAV performance is provided for information purposes only. Shares in the
Company do not necessarily trade at a price equal to the prevailing NAV per
Share.
Data as at 31 December 2020.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Quarterly and annual contribution (%) to the performance of the Company’s
USD Shares (net of fees and expenses) by asset class
Rates FX Commodity Credit Equity Discount Management TOTAL
Q1 2020 19.04 0.12 0.26 1.62 2.11 - 23.22
Q2 2020 -0.27 -2.18 0.70 0.82 -0.16 0.10 -1.01
Q3 2020 0.24 0.63 0.80 0.07 -0.06 - 1.68
Q4 2020 0.58 2.83 -0.18 -0.29 0.98 - 3.92
YTD 2020 19.69 1.35 1.58 2.24 2.88 0.10 28.89
Data as at 31 December 2020.
Quarterly and annual figures are calculated by BHCM as at 31 December 2020,
based on performance data for each period provided by the Company’s
administrator, Northern Trust. Figures rounded to two decimal places.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Methodology and Definition of Contribution to Performance:
Attribution by asset class is produced at the instrument level, with
adjustments made based on risk estimates.
The above asset classes are categorised as follows:
“Rates”: interest rates markets
“FX”: FX forwards and options
“Commodity”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds and CDS
“Equity”: equity markets including indices and other derivatives
“Discount Management”: buyback activity or sales of shares from treasury
Performance and Economic Outlook Commentary
Coming into the year, the Master Fund had been positioned in anticipation of
monetary policy easing by the Federal Reserve (“Fed”) in response to a
slowdown in economic activity combined with the view that this slowdown was
being significantly underappreciated by the market. As the COVID-19 crisis
began to unfold in February, it became apparent that transmission was global
and had the potential to cause unprecedented economic damage which would be
met with equally unprecedented fiscal and monetary policy responses. In the
event, the global economy is estimated to have contracted by as much as in the
first year of the Great Depression and by more than in the Great Financial
Crisis. In response, most countries delivered sizable fiscal relief while many
central banks cut rates to nearly zero, restarted quantitative easing, and
rolled out a wide variety of ambitious lending programs — measures that
provided a safety net for risk assets. During this year, the Master Fund added
to directional and relative value strategies across a range of global interest
rate markets. In March, the Fed was forced into making two emergency cuts
totalling 150bps and risk markets fell sharply. Gains over this year came from
a range of strategies including directional trading of US and global interest
rates, macro-RV trading in European government bonds, LIBOR-basis and option
volatility positioning as well as from directional and option strategies in
equity, credit, oil and precious metals. Moving into the second quarter, gains
were crystallised, risk levels reduced, and the Master Fund adopted a less
directional and more tactical approach. During the balance of the year, the
fund profited from recovery trades in credit and equity markets as well as
from tactical short and curve steepening positioning in the US interest rate
market. The fund also positioned in currency markets to benefit from the
relative economic outperformance in much of Asia versus the US resulting from
tighter control and mitigation of the coronavirus pandemic as well as from the
likely impact of the US elections in terms of additional fiscal support.
Looking forward, the first half of 2021 should see an uneven recovery as
governments respond to the third wave of COVID-19. In some countries mass
vaccination is proceeding efficiently; in other countries it has been delayed
for a variety of reasons. At the same time, new more transmissible variants of
COVID-19 have strained public health systems and led to additional
restrictions on social and economic activity. As vaccine distribution and
uptake improve, the expectation is for a brisk rebound of the service sector
in the second half of the year. Highly accommodative monetary policy will help
underpin risk sentiment and fiscal easing will provide targeted relief.
However, the magnitude of the fiscal response differs across countries, with
the US at one extreme rolling out multiple trillion-dollar programs and China
at the other extreme with some withdrawal of fiscal support. While
policymakers are generally committed to providing a risk-friendly environment,
the heterogeneity in policy responses sets up some interesting cross-country
trading opportunities. In emerging markets, some countries have been hit
especially hard by COVID-19, others less so. North Asia and Australia & New
Zealand have generally been standouts with successful public-health responses
and gearing to the recovery in global trade. In terms of themes, reflation and
inflation will be a strong focus. Some analysts argue that the reopening of
the global economy will generate inflation and others argue that the global
economy is still stuck in secular stagnation. Regardless, the big increase in
oil and industrial commodity prices means that many investors are looking for
a sustained rebound in the commodity complex and concomitant decline in the US
Dollar against emerging market currencies. In any event, monetary policy is
tuned to try and create inflation in all the major developed market economies,
especially in the US where the Fed promises to overshoot its traditional 2%
target. At a minimum, that commitment points to low rates for years. If
successful, a return of inflation would be a remarkable macroeconomic
development against a backdrop in which investors have become complacent about
inflation. Finally, politics is not going away in 2021. There are a number of
loose ends accompanying Brexit, the Eurozone project is still a
work-in-progress, and geopolitical tensions remain with the US-China
relationship perhaps being the most important hotspot.
Brevan Howard wishes to thank shareholders once again for their continued
support.
Brevan Howard Capital Management LP,
acting by its sole general partner,
Brevan Howard Capital Management Limited.
30 March 2021
Independent Auditor's Report to the Members of BH Macro Limited
Our opinion is unmodified
We have audited the financial statements of BH Macro Limited (the
“Company”), which comprise the Audited Statement of Assets and Liabilities
as at 31 December 2020, the Audited Statements of Operations, Changes in Net
Assets and Cash Flows for the year then ended, and notes, comprising
significant accounting policies and other explanatory information.
In our opinion, the accompanying financial statements:
* give a true and fair view of the financial position of the Company as at 31
December 2020, and of the Company’s financial performance and cash
flows for the year then ended;
* are prepared in conformity with U.S. generally accepted accounting
principles; and
* comply with the Companies (Guernsey) Law, 2008.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing
(UK) (“ISAs (UK)”) and applicable law. Our responsibilities are described
below. We have fulfilled our ethical responsibilities under, and are
independent of the Company in accordance with, UK ethical requirements
including FRC Ethical Standards, as applied to listed entities. We believe
that the audit evidence we have obtained is a sufficient and appropriate basis
for our opinion.
Key audit matters: our assessment of the risks of material misstatement
Key audit matters are those matters that, in our professional judgment, were
of most significance in the audit of the financial statements and include the
most significant assessed risks of material misstatement (whether or not due
to fraud) identified by us, including those which had the greatest effect on:
the overall audit strategy; the allocation of resources in the audit; and
directing the efforts of the engagement team. These matters were addressed in
the context of our audit of the financial statements as a whole, and in
forming our opinion thereon, and we do not provide a separate opinion on these
matters. In arriving at our audit opinion above, the key audit matter was
as follows (unchanged from 2019):
The risk Our response
Valuation of Investment in Brevan Howard Master Fund Limited (the “Master Fund”) $758,630,000; (2019: $558,606,000) Refer to the 'Key Activities in 2020 - Significant Financial Statement Issues' section of the Report of the Audit Committee and note 3 accounting policy Basis: The Company, which is a multi-class feeder fund, had invested 99.67% (2019: 99.79%) of its net assets at 31 December 2020 into the ordinary US Dollar and Sterling denominated Class B Shares issued by the Master Fund, which is an open ended investment company. The Company’s investment holdings in the Master Fund are valued using the respective net asset value per share class as provided by the Master Fund’s administrator. Risk: The valuation of the Company’s investment in the Master Fund, given that it represents the majority of the net assets of the Company, is a significant area of our audit. Our audit procedures included, but were not limited to: Obtained an independent confirmation from the administrator of the Master Fund of the net asset value per share
for both the US Dollar and Sterling Class B shares and reconciled these to the net asset values used in the valuation of the Investment in the Master Fund Reviewed the
audit work performed by the auditor of the Master Fund to gain insight over the work performed on the significant elements of the Master Fund’s net asset value; and held
discussions on key audit findings with the auditor of the Master Fund Examined the Master Fund’s coterminous audited financial statements to corroborate the net asset
value per share of both the US Dollar and Sterling Class B shares We also considered the Company’s investment valuation policies as disclosed in note 3 to the financial
statements for conformity with U.S. generally accepted accounting principles
Our application of materiality and an overview of the scope of our audit
Materiality for the financial statements as a whole was set at $11,417,000,
determined with reference to a benchmark of net assets of $761,169,000, of
which it represents approximately 1.5% (2019: 1.5%).
In line with our audit methodology, our procedures on individual account
balances and disclosures were performed to a lower threshold, performance
materiality, so as to reduce to an acceptable level the risk that individually
immaterial misstatements in individual account balances add up to a material
amount across the financial statements as a whole. Performance materiality for
the Company was set at 75% (2019: 75%) of materiality for the financial
statements as a whole, which equates to $8,562,000. We applied this percentage
in our determination of performance materiality because we did not identify
any factors indicating an elevated level of risk.
We reported to the Audit Committee any corrected or uncorrected identified
misstatements exceeding $570,000, in addition to other identified
misstatements that warranted reporting on qualitative grounds.
Our audit of the Company was undertaken to the materiality level specified
above, which has informed our identification of significant risks of material
misstatement and the associated audit procedures performed in those areas as
detailed above.
Going concern
The directors have prepared the financial statements on the going concern
basis as they do not intend to liquidate the Company or to cease its
operations, and as they have concluded that the Company's financial position
means that this is realistic. They have also concluded that there are no
material uncertainties that could have cast significant doubt over its ability
to continue as a going concern for at least a year from the date of approval
of the financial statements (the “going concern period").
In our evaluation of the directors' conclusions, we considered the inherent
risks to the Company's business model and analysed how those risks might
affect the Company's financial resources or ability to continue operations
over the going concern period. The risks that we considered most likely to
affect the Company's financial resources or ability to continue operations
over this period were:
* Availability of capital to meet operating costs and other financial
commitments; and
* The likelihood of share class closure or liquidation resolution votes being
triggered
We considered whether these risks could plausibly affect the liquidity or
ability of the Company to continue to operate in the going concern period by
comparing severe, but plausible downside scenarios that could arise from these
risks individually and collectively against the level of available financial
resources indicated by the Company’s financial forecasts.
We considered whether the going concern disclosure in note 3 to the financial
statements gives a full and accurate description of the directors' assessment
of going concern.
Our conclusions based on this work:
* we consider that the directors' use of the going concern basis of accounting
in the preparation of the financial statements is appropriate;
* we have not identified, and concur with the directors' assessment that there
is not, a material uncertainty related to events or conditions that,
individually or collectively, may cast significant doubt on the Company's
ability to continue as a going concern for the going concern period; and
* we have nothing material to add or draw attention to in relation to the
directors' statement in the notes to the financial statements on the use of
the going concern basis of accounting with no material uncertainties that may
cast significant doubt over the Company's use of that basis for the going
concern period, and that statement is materially consistent with the financial
statements and our audit knowledge.
However, as we cannot predict all future events or conditions and as
subsequent events may result in outcomes that are inconsistent with judgements
that were reasonable at the time they were made, the above conclusions are not
a guarantee that the Company will continue in operation.
Fraud and breaches of laws and regulations – ability to detect
Identifying and responding to risks of material misstatement due to fraud
To identify risks of material misstatement due to fraud (“fraud risks”) we
assessed events or conditions that could indicate an incentive or pressure to
commit fraud or provide an opportunity to commit fraud. Our risk assessment
procedures included:
* enquiring of management as to the Company’s policies and procedures to
prevent and detect fraud as well as enquiring whether management have
knowledge of any actual, suspected or alleged fraud;
* reading minutes of meetings of those charged with governance; and
* using analytical procedures to identify any unusual or unexpected
relationships.
As required by auditing standards, we perform procedures to address the risk
of management override of controls, in particular the risk that management may
be in a position to make inappropriate accounting entries. On this audit we do
not believe there is a fraud risk related to revenue recognition because the
Company’s revenue streams are simple in nature with respect to accounting
policy choice, and are easily verifiable to external data sources or
agreements with little or no requirement for estimation from management. We
did not identify any additional fraud risks.
We performed procedures including
* Identifying journal entries and other adjustments to test based on risk
criteria and comparing any identified entries to supporting documentation; and
* incorporating an element of unpredictability in our audit procedures.
Identifying and responding to risks of material misstatement due to
non-compliance with laws and regulations
We identified areas of laws and regulations that could reasonably be expected
to have a material effect on the financial statements from our general
commercial and sector experience and through discussion with management (as
required by auditing standards), and from inspection of the Company’s
regulatory and legal correspondence, and discussed with management the
policies and procedures regarding compliance with laws and regulations. As the
Company is regulated, our assessment of risks involved gaining an
understanding of the control environment including the entity’s procedures
for complying with regulatory requirements.
The Company is subject to laws and regulations that directly affect the
financial statements including financial reporting legislation and taxation
legislation and we assessed the extent of compliance with these laws and
regulations as part of our procedures on the related financial statement
items.
The Company is subject to other laws and regulations where the consequences of
non-compliance could have a material effect on amounts or disclosures in the
financial statements, for instance through the imposition of fines or
litigation or impacts on the Company’s ability to operate. We identified
financial services regulation as being the area most likely to have such an
effect, recognising the regulated nature of the Company’s activities and its
legal form. Auditing standards limit the required audit procedures to identify
non-compliance with these laws and regulations to enquiry of management and
inspection of regulatory and legal correspondence, if any. Therefore if a
breach of operational regulations is not disclosed to us or evident from
relevant correspondence, an audit will not detect that breach.
Context of the ability of the audit to detect fraud or breaches of law or
regulation
Owing to the inherent limitations of an audit, there is an unavoidable risk
that we may not have detected some material misstatements in the financial
statements, even though we have properly planned and performed our audit in
accordance with auditing standards. For example, the further removed
non-compliance with laws and regulations is from the events and transactions
reflected in the financial statements, the less likely the inherently limited
procedures required by auditing standards would identify it.
In addition, as with any audit, there remains a higher risk of non-detection
of fraud, as this may involve collusion, forgery, intentional omissions,
misrepresentations, or the override of internal controls. Our audit procedures
are designed to detect material misstatement. We are not responsible for
preventing non-compliance or fraud and cannot be expected to detect
non-compliance with all laws and regulations.
Other information
The directors are responsible for the other information. The other
information comprises the information included in the Annual Report but does
not include the financial statements and our auditor's report thereon. Our
opinion on the financial statements does not cover the other information and
we do not express an audit opinion or any form of assurance conclusion
thereon.
In connection with our audit of the financial statements, our responsibility
is to read the other information and, in doing so, consider whether the other
information is materially inconsistent with the financial statements or our
knowledge obtained in the audit, or otherwise appears to be materially
misstated. If, based on the work we have performed, we conclude that there is
a material misstatement of this other information, we are required to report
that fact. We have nothing to report in this regard.
Disclosures of emerging and principal risks and longer term viability
We are required to perform procedures to identify whether there is a material
inconsistency between the directors’ disclosures in respect of emerging and
principal risks and the viability statement, and the financial statements
and our audit knowledge. we have nothing material to add or draw attention to
in relation to:
* the directors’ confirmation within the Viability Statement that they have
carried out a robust assessment of the emerging and principal risks facing the
Company, including those that would threaten its business model, future
performance, solvency or liquidity;
* the emerging and principal disclosures describing these risks and explaining
how they are being managed or mitigated;
* the directors’ explanation in the Viability Statement as to how they have
assessed the prospects of the Company, over what period they have done so and
why they consider that period to be appropriate, and their statement as to
whether they have a reasonable expectation that the Company will be able to
continue in operation and meet its liabilities as they fall due over the
period of their assessment, including any related disclosures drawing
attention to any necessary qualifications or assumptions.
We are also required to review the Viability Statement under the Listing
Rules. Based on the above procedures, we have concluded that the above
disclosures are materially consistent with the financial statements and our
audit knowledge.
Corporate governance disclosures
We are required to perform procedures to identify whether there is a material
inconsistency between the directors’ corporate governance disclosures and
the financial statements and our audit knowledge.
Based on those procedures, we have concluded that each of the following is
materially consistent with the financial statements and our audit
knowledge:
* the directors’ statement that they consider that the Annual Report and
financial statements taken as a whole is fair, balanced and understandable,
and provides the information necessary for shareholders to assess the
Company’s position and performance, business model and strategy;
* the section of the Annual Report describing the work of the Audit Committee,
including the significant issues that the audit committee considered in
relation to the financial statements, and how these issues were addressed; and
* the section of the Annual Report that describes the review of the
effectiveness of the Company’s risk management and internal control systems.
We are required to review the part of Corporate Governance Statement
relating to the Company’s compliance with the provisions of the UK Corporate
Governance Code specified by the Listing Rules for our review. We have nothing
to report in this respect.
We have nothing to report on other matters on which we are required to report
by exception
We have nothing to report in respect of the following matters where the
Companies (Guernsey) Law, 2008 requires us to report to you if, in our
opinion:
* the Company has not kept proper accounting records; or
* the financial statements are not in agreement with the accounting records;
or
* we have not received all the information and explanations, which to the best
of our knowledge and belief are necessary for the purpose of our audit.
Respective responsibilities
Directors' responsibilities
As explained more fully in their statement set out on 17, the directors are
responsible for: the preparation of the financial statements including being
satisfied that they give a true and fair view; such internal control as they
determine is necessary to enable the preparation of financial statements that
are free from material misstatement, whether due to fraud or error; assessing
the Company’s ability to continue as a going concern, disclosing, as
applicable, matters related to going concern; and using the going concern
basis of accounting unless liquidation is imminent.
Auditor's responsibilities
Our objectives are to obtain reasonable assurance about whether the financial
statements as a whole are free from material misstatement, whether due to
fraud or error, and to issue our opinion in an auditor’s report. Reasonable
assurance is a high level of assurance, but does not guarantee that an audit
conducted in accordance with ISAs (UK) will always detect a material
misstatement when it exists. Misstatements can arise from fraud or error and
are considered material if, individually or in aggregate, they could
reasonably be expected to influence the economic decisions of users taken on
the basis of the financial statements.
A fuller description of our responsibilities is provided on the FRC’s
website at www.frc.org.uk/auditorsresponsibilities.
The purpose of this report and restrictions on its use by persons other than
the Company's members as a body
This report is made solely to the Company’s members, as a body, in
accordance with section 262 of the Companies (Guernsey) Law, 2008. Our audit
work has been undertaken so that we might state to the Company’s members
those matters we are required to state to them in an auditor’s report and
for no other purpose. To the fullest extent permitted by law, we do not accept
or assume responsibility to anyone other than the Company and the Company’s
members, as a body, for our audit work, for this report, or for the opinions
we have formed.
Barry Ryan
for and on behalf of KPMG Channel Islands Limited
Chartered Accountants and Recognised Auditors
Guernsey
30 March 2021
Audited Statement of Assets and Liabilities
As at 31 December 2020
31.12.20 31.12.19
US$'000 US$'000
Assets
Investment in the Master Fund 758,630 558,606
Master Fund redemption proceeds receivable 42,597 11,433
Prepaid expenses 36 46
Cash and bank balances denominated in Sterling 832 522
Cash and bank balances denominated in US Dollars 129 172
Total assets 802,224 570,779
Liabilities
Performance fees payable (note 4) 40,468 10,505
Management fees payable (note 4) 422 394
Accrued expenses and other liabilities 102 91
Administration fees payable (note 4) 63 24
Total liabilities 41,055 11,014
Net assets 761,169 559,765
Number of shares in issue (note 5)
Sterling shares 15,009,868 14,310,040
US Dollar shares 2,191,379 2,442,057
Net asset value per share (notes 7 and 9)
Sterling shares £33.38 £26.06
US Dollar shares US$34.78 US$26.99
See accompanying Notes to the Audited Financial Statements.
Signed on behalf of the Board by:
Richard Horlick
Chairman
John Le Poidevin
Director
30 March 2021
Audited Statement of Operations
For the year ended 31 December 2020
01.01.20 01.01.19
31.12.20 31.12.19
US$'000 US$'000
Net investment loss allocated from the Master Fund
Interest income 1,987 22,303
Dividend and other income (net of withholding tax:
31 December 2020 US$120,426; 31 December 2019: US$34,677) 42 88
Expenses (6,869) (27,628)
Net investment loss allocated from the Master Fund (4,840) (5,237)
Company income
Fixed deposit income - 1
Foreign exchange gains (note 3) 25,960 18,544
Total Company income 25,960 18,545
Company expenses
Performance fees (note 4) 38,531 10,196
Management fees (note 4) 2,381 2,281
Other expenses 521 469
Directors' fees 343 271
Administration fees (note 4) 114 94
Total Company expenses 41,890 13,311
Net investment loss (20,770) (3)
Net realised and unrealised gain on investments allocated from the Master Fund
Net realised gain on investments 91,072 8,371
Net unrealised gain on investments 111,231 51,094
Net realised and unrealised gain on investments allocated from the Master Fund 202,303 59,465
Net increase in net assets resulting from operations 181,533 59,462
See accompanying Notes to the Audited Financial Statements.
Audited Statement of Changes in Net Assets
For the year ended 31 December 2020
01.01.20 01.01.19
31.12.20 31.12.19
US$'000 US$'000
Net increase in net assets resulting from operations
Net investment loss (20,770) (3)
Net realised gain on investments allocated from the Master Fund 91,072 8,371
Net unrealised gain on investments allocated from the Master Fund 111,231 51,094
181,533 59,462
Share capital transactions
Proceeds on issue of shares from treasury (note 5)
Sterling shares 17,098 -
US Dollar shares 2,773 -
Total share capital transactions 19,871 -
Net increase in net assets 201,404 59,462
Net assets at the beginning of the year 559,765 500,303
Net assets at the end of the year 761,169 559,765
See accompanying Notes to the Audited Financial Statements.
Audited Statement of Cash Flows
For the year ended to 31 December 2020
01.01.20 01.01.19
31.12.20 31.12.19
US$'000 US$'000
Cash flows from operating activities
Net increase in net assets resulting from operations 181,533 59,462
Adjustments to reconcile net increase in net assets resulting from
operations to net cash provided by operating activities:
Net investment loss allocated from the Master Fund 4,840 5,237
Net realised gain on investments allocated from the Master Fund (91,072) (8,371)
Net unrealised gain on investments allocated from the Master Fund (111,231) (51,094)
Purchase of investment in the Master Fund (18,477) -
Proceeds from sale of investment in the Master Fund 12,349 3,622
Foreign exchange gains (25,960) (18,544)
Decrease in prepaid expenses 10 18
Increase in performance fees payable 29,963 4,821
Increase in management fees payable 28 191
Increase/(decrease) in accrued expenses and other liabilities 11 (2)
Increase in administration fees payable 39 -
Net cash used in operating activities (17,967) (4,660)
Cash flows from financing activities
Proceeds from share issue 19,871 -
Net cash generated from financing activities 19,871 -
Change in cash 1,904 (4,660)
Cash, beginning of the year 694 5,676
Effect of exchange rate fluctuations (1,637) (322)
Cash, end of the year 961 694
Cash, end of the year
Cash and bank balances denominated in Sterling (1) 832 522
Cash and bank balances denominated in US Dollars 129 172
961 694
(1)Cash and bank balances in Sterling (GBP'000) 608 394
See accompanying Notes to the Audited Financial Statements.
Notes to the Audited Financial Statements
For the year ended 31 December 2020
1.The Company
BH Macro Limited is a limited liability closed-ended investment company which
was incorporated in Guernsey on 17 January 2007 and then admitted to the
Official List of the London Stock Exchange ("LSE") later that year.
Currently, ordinary shares are issued in Sterling and US Dollars.
2.Organisation
The Company is organised as a feeder fund and seeks to achieve its investment
objective by investing all of its investable assets, net of short-term working
capital requirements, in the ordinary Sterling and US Dollar denominated Class
B shares issued by Brevan Howard Master Fund Limited (the “Master Fund”)
and, as such, the Company is directly and materially affected by the
performance and actions of the Master Fund.
The Master Fund is an open-ended investment company with limited liability
formed under the laws of the Cayman Islands on 22 January 2003. The investment
objective of the Master Fund is to generate consistent long-term appreciation
through active leveraged trading and investment on a global basis. The Master
Fund employs a combination of investment strategies that focus primarily on
economic change and monetary policy and market inefficiencies. The underlying
philosophy is to construct strategies, often contingent in nature with
superior risk/return profiles, whose outcome will often be crystallised by an
expected event occurring within a pre-determined period of time. New trading
strategies will be added as investment opportunities present themselves.
As such, the Audited Financial Statements of the Company should be read in
conjunction with the Audited Financial Statements of the Master Fund which can
be found on the Company’s website, www.bhmacro.com.
At the date of these Audited Financial Statements, there were two other feeder
funds in operation in addition to the Company that invest all of their assets
(net of working capital) in the Master Fund. Furthermore, Brevan Howard
Multi-Strategy Master Fund Limited, another fund managed by the Manager,
invests some of its assets in the Master Fund as at the date of these
Financial Statements.
Off-Balance Sheet, market and credit risks of the Master Fund’s investments
and activities are discussed in the notes to the Master Fund’s Audited
Financial Statements. The Company’s investment in the Master Fund exposes it
to various types of risk, which are associated with the financial instruments
and markets in which the Brevan Howard underlying funds invest.
Market risk represents the potential loss in value of financial instruments
caused by movements in market factors including, but not limited to, market
liquidity, investor sentiment and foreign exchange rates.
The Manager
Brevan Howard Capital Management LP (the “Manager”) is the Manager of the
Company. The Manager is a Jersey Limited Partnership, the general partner of
which is Brevan Howard Capital Management Limited, a Jersey Limited Company
(the “General Partner”). The General Partner is regulated in the conduct
of fund services business by the Jersey Financial Services Commission pursuant
to the Financial Services (Jersey) Law 1998 and the Orders made thereunder.
The Manager also manages the Master Fund and in that capacity, as at the date
of these Financial Statements, has delegated the function of investment
management of the Master Fund to Brevan Howard Asset Management LLP, Brevan
Howard (Hong Kong) Limited, Brevan Howard Investment Products Limited, Brevan
Howard US Investment Management LP, Brevan Howard Private Limited, DW
Partners, LP and BH-DG Systematic Trading LLP.
3.Significant accounting policies
The Audited Financial Statements, which give a true and fair view, are
prepared in conformity with United States Generally Accepted Accounting
Principles and comply with the Companies (Guernsey) Law, 2008. The functional
and reporting currency of the Company is US Dollars.
As further described in the Directors’ Report, these Audited Financial
Statements have been prepared using the going concern basis of accounting.
As part of the going concern assessment, the Board have considered the effect
on the Company of the proposed tender offer for up to 40% of each class of the
Company's issued Shares at a price equal to 98% of the prevailing NAV per
Share of the applicable class at the time of the tender offer less an amount
per share in respect of the costs of the offer.
The Board continues to monitor the ongoing impacts of the COVID-19 pandemic
and has concluded that the biggest threat to the Company with regards to this
pandemic is the failure for a key service provider to maintain business
continuity and resiliency while maintaining work from home and social
distancing practices. The Board has assessed the measures in place by key
service providers to produce business continuity and so far has not identified
any significant issues that affect the Company. The financial position of the
Company has not been negatively impacted by the pandemic either. For these
reasons, the Board is confident that the outbreak of COVID-19 has not impacted
the going concern assessment of the Company.
The Company is an Investment Company which has applied the provisions of
Accounting Standards Codification (“ASC”) 946.
The following are the significant accounting policies adopted by the Company:
Valuation of investments
The Company records its investment in the Master Fund at fair value. Fair
value is determined as the Company’s proportionate share of the Master
Fund’s capital, which approximates fair value. At 31 December 2020, the
Company is the sole investor in the Master Fund’s ordinary Sterling and US
Dollar Class B shares as disclosed below. Within the table below, the
investment in each share class in the Master Fund is included, with the
overall total investment shown in the Audited Statement of Assets and
Liabilities.
Percentage of NAV per Share Shares held in the Master Fund Investment in Master Fund Investment in Master Fund
Master Fund's capital (Class B) (Class B) CCY '000 US$'000
31 December 2020
Sterling 14.46% £4,991.01 100,072 £499,457 682,833
US Dollar 1.61% $4,963.82 15,268 $75,798 75,797
758,630
31 December 2019
Sterling 16.27% £3,674.06 101,291 £372,147 492,872
US Dollar 2.17% $3,635.03 18,082 $65,734 65,734
558,606
ASC Topic 820 defines fair value as the price that the Company would receive
upon selling a security in an orderly transaction to an independent buyer in
the principal or most advantageous market of the security.
The valuation and classification of securities held by the Master Fund is
discussed in the notes to the Master Fund’s Audited Financial Statements
which are available on the Company’s website, www.bhmacro.com.
Income and expenses
The Company records monthly its proportionate share of the Master Fund’s
income, expenses and realised and unrealised gains and losses. In addition,
the Company accrues its own income and expenses.
Use of estimates
The preparation of Financial Statements in conformity with United States
Generally Accepted Accounting Principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of those Financial
Statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates.
Leverage
The Manager has discretion, subject to the prior approval of a majority of the
independent Directors, to employ leverage for and on behalf of the Company by
way of borrowings to effect share purchases or share buy-backs, to satisfy
working capital requirements and to finance further investments in the Master
Fund.
The Company may borrow up to 20% of its NAV, calculated as at the time of
borrowing. Additional borrowing over 20% of NAV may only occur if approved by
an ordinary resolution of the Shareholders.
Foreign exchange
Transactions reported in the Audited Statement of Operations are translated
into US Dollar amounts at the date of such transactions. Assets and
liabilities denominated in foreign currencies are translated into US Dollars
at the exchange rate at reporting date. The share capital and other capital
reserves are translated at the historic ruling at the date of the transaction.
Investment securities and other assets and liabilities of the Sterling share
class are translated into US Dollars, the Company's reporting currency, using
exchange rates at the reporting date. The Statement of Operations items of the
sterling share class are converted into US Dollar using the average exchange
rate. Exchange differences arising on translation are included in Foreign
exchange gains in the Audited Statement of Operations. This foreign exchange
adjustment has no effect on the value of net assets allocated to the
individual share classes.
Cash and bank balances
Cash and bank balances comprise demand deposits.
Allocation of results of the Master Fund
Net realised and unrealised gains/losses of the Master Fund are allocated to
the Company’s share classes based upon the percentage ownership of the
equivalent Master Fund class.
Treasury shares
Where the Company has purchased its own share capital, the consideration paid,
which includes any directly attributable costs, has been recognised as a
deduction from equity Shareholders’ funds through the Company’s reserves.
If such shares were to be subsequently sold or reissued to the market, any
consideration received, net of any directly attributable incremental
transaction costs, would be recognised as an increase in equity
Shareholders’ funds through the share capital account. Where the Company
cancels treasury shares, no further adjustment is required to the share
capital account of the Company at the time of cancellation. Shares held in
treasury are excluded from calculations when determining NAV per share as
detailed in note 7 and in the Financial Highlights in note 9.
Refer to note 8 for details of the purchases by the Company of its share
capital.
New Accounting Pronouncements
In August 2018, the Financial Accounting Standards Board (“FASB”) issued
Accounting Standards Update (“ASU”) No. 2018-13, Disclosure Framework -
Changes to the Disclosure Requirements for Fair Value Measurements, which
modifies the disclosure requirements for fair value measurements. The Company
adopted ASU 2018-13 on a retrospective basis as of 1 January 2020.
4.Management, performance and administration agreements
Management and performance fee
The Company has entered into a Management Agreement with the Manager to manage
the Company’s investment portfolio. The management fee charged by the
Company is reduced by the Company’s share of management fees incurred by the
Master Fund through any underlying investments of the Master Fund that share
the same manager as the Company. The management fee charged is 1/12 of 0.5%
per month of the NAV. The investment in the Class B shares of the Master Fund
is not subject to management fees, but is subject to an operational services
fee payable to the Manager of 1/12 of 0.5% per month of the NAV.
The Manager does not charge the Company a management fee in respect of any
increase in the NAV of each class of shares in excess of its level on 1 April
2017, as if the Company’s 2017 tender offer had completed on that date,
resulting from performance or any own share purchases or redemptions. The
Company’s investment in the Master Fund also does not bear an operational
services fee in respect of performance related growth in its investment in the
Master Fund.
During the year ended 31 December 2020, US$2,381,353 (31 December 2019:
US$2,281,263) was earned by the Manager as net management fees. At 31 December
2020, US$422,036 (31 December 2019: US$394,432) of the fee remained
outstanding.
The Manager is also entitled to an annual performance fee for both share
classes. The performance fee is equal to 20% of the appreciation in the NAV
per share of that class during that calculation period which is above the base
NAV per share of that class, other than that arising to the remaining shares
of the relevant class from any repurchase, redemption or cancellation of any
share in the calculation period. The base NAV per share is the greater of the
NAV per share of the relevant class at the time of issue of such share and the
highest NAV per share achieved as at the end of any previous calculation
period.
The Manager will be paid an estimated performance fee on the business day
preceding the last business day of each calculation period. Within 5 business
days of the publication of the final NAV of each class of shares as at the end
of the calculation period, any difference between the actual performance fee
and the estimated amount will be paid to or refunded by the Manager, as
appropriate. Any accrued performance fee in respect of shares which are
converted into another share class prior to the date on which the performance
fee would otherwise have become payable in respect of those shares will
crystallise and become payable on the date of such conversion. The performance
fee is accrued on an ongoing basis and is reflected in the Company’s
published NAV. During the year ended 31 December 2020, US$38,530,665 (31
December 2019: US$10,196,480) was earned by the Manager as performance fees.
At 31 December 2020, US$40,468,455 (31 December 2019: US$10,504,617) of the
fee remained outstanding.
The Master Fund may hold investments in other funds managed by the Manager. To
ensure that Shareholders of the Company are not subject to two tiers of fees,
the fees paid to the Manager as outlined above are reduced by the Company’s
share of any fees paid to the Manager by the underlying Master Fund
investments, managed by the Manager.
The Management Agreement may be terminated by either party giving the other
party not less than 3 months’ written notice. In certain circumstances, the
Company will be obliged to pay compensation to the Manager of the aggregate
management fees which would otherwise have been payable during the 3 months
following the date of such notice and the aggregate of any accrued performance
fee in respect of the current calculation period. Compensation is not payable
if more than 3 months’ notice of termination is given.
The notice period for termination of the Management Agreement without cause by
both the Company and the Manager was reduced from 24 months to 3 months, with
effect from 1 April 2019.
Administration fee
The Company has appointed Northern Trust International Fund Administration
Services (Guernsey) Limited as Administrator and Corporate Secretary. The
Administrator is paid fees based on the NAV of the Company, payable quarterly
in arrears. The fee is at a rate of 0.015% of the average month end NAV of the
Company, subject to a minimum fee of £67,500 per annum. In addition to the
NAV based fee, the Administrator is also entitled to an annual fee of £6,000
(31 December 2019: £6,000) for certain additional administration services.
The Administrator is entitled to be reimbursed for out-of-pocket expenses
incurred in the course of carrying out its duties as Administrator. During the
year ended 31 December 2020, US$113,942 (31 December 2019: US$94,049) was
earned by the Administrator as administration fees. The amounts outstanding
are disclosed on the Audited Statement of Assets and Liabilities.
5.Share capital
Issued and authorised share capital
The Company has the power to issue an unlimited number of ordinary shares with
no par value and an unlimited number of shares with a par value. Shares may be
divided into at least two classes denominated in Sterling and US Dollar.
Further issue of shares may be made in accordance with the Articles. Shares
may be issued in differing currency classes of ordinary redeemable shares
including C shares. The treasury shares have arisen as a result of the
discount management programme as described in note 8. The tables below show
the movement in ordinary and treasury shares.
For the year ended 31 December 2020
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2020 14,310,040 2,442,057
Share conversions 261,379 (331,678)
Sale of shares from Treasury 438,449 81,000
In issue at 31 December 2020 15,009,868 2,191,379
Number of treasury shares
In issue at 1 January 2020 1,450,652 331,228
Sale of shares from Treasury (438,449) (81,000)
In issue at 31 December 2020 1,012,203 250,228
Percentage of class 6.32% 10.25%
For the year ended to 31 December 2019
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2019 14,136,242 2,664,541
Share conversions 173,798 (222,484)
In issue at 31 December 2019 14,310,040 2,442,057
Number of treasury shares
In issue at 1 January 2019 and 31 December 2019 1,450,652 331,228
Percentage of class 9.20% 11.94%
The following table shows the total number of shares sold from treasury during
the year.
Sterling shares Sterling shares US Dollar shares US Dollar shares
Date Number of shares sold Price Number of shares sold Price
per share per share
£ US$
20 February 2020 25,000 26.21 - -
12 March 2020 125,000 29.43 - -
22 April 2020 44,235 33.02 81,000 34.30
23 April 2020 24,884 33.02 - -
27 April 2020 12,330 33.02 - -
4 May 2020 50,000 33.24 - -
6 May 2020 50,000 32.77 - -
7 May 2020 80,000 32.77 - -
13 May 2020 27,000 33.08 - -
Total 438,449 81,000
Share classes
In respect of each class of shares, a separate class account has been
established in the books of the Company. An amount equal to the aggregate
proceeds of issue of each share class has been credited to the relevant class
account. Any increase or decrease in the NAV of the Master Fund US Dollar
shares and Master Fund Sterling shares as calculated by the Master Fund is
allocated to the relevant class account in the Company. Each class account is
allocated those costs, prepaid expenses, losses, dividends, profits, gains and
income which the Directors determine in their sole discretion relate to a
particular class.
Voting rights of shares
Ordinary shares carry the right to vote at general meetings of the Company and
to receive any dividends attributable to the ordinary shares as a class
declared by the Company and, in a winding-up will be entitled to receive, by
way of capital, any surplus assets of the Company attributable to the ordinary
shares as a class in proportion to their holdings remaining after settlement
of any outstanding liabilities of the Company.
As prescribed in the Company’s Articles, the different classes of ordinary
shares have different values attributable to their votes. The attributed
values have been calculated on the basis of the Weighted Voting Calculation
(as described in the Articles) which takes into account the prevailing
exchange rates on the date of initial issue of ordinary shares. On a vote, a
single US Dollar ordinary share has 0.7606 votes and a single Sterling
ordinary share has 1.4710 votes.
Treasury shares do not have any voting rights.
Repurchase of ordinary shares
Under the Company’s Articles, Shareholders of a class of shares have the
ability to call for repurchase of that class of shares in certain
circumstances. See note 8 for further details.
Further issue of shares
As approved by the Shareholders at the Annual General Meeting held on 25 June
2020, the Directors have the power to issue further shares totalling and
1,476,952 Sterling shares and 249,841 US Dollar shares, respectively. This
power expires fifteen months after the passing of the resolution or on the
conclusion of the next Annual General Meeting of the Company, whichever is
earlier, unless such power is varied, revoked or renewed prior to that Meeting
by a resolution of the Company in general meeting.
Distributions
The Master Fund has not previously paid dividends to its investors. This does
not prevent the Directors of the Company from declaring a dividend at any time
in the future if the Directors consider payment of a dividend to be
appropriate in the circumstances. If the Directors declare a dividend, such
dividend will be paid on a per class basis.
As announced on 15 January 2014, the Company intends to be operated in such a
manner to ensure that its shares are not categorised as non-mainstream pooled
investments. This may mean that the Company may pay dividends in respect of
any income that it receives or is deemed to receive for UK tax purposes so
that it would qualify as an investment trust if it were UK tax-resident.
Further, the Company will first apply any such income in payment of its
management and performance fees.
Treasury shares are not entitled to distributions.
Share conversion scheme
The Company has implemented a share conversion scheme. The scheme provides
Shareholders with the ability to convert some or all of their ordinary shares
in the Company of one class into ordinary shares of the other class.
Shareholders are able to convert ordinary shares on the last business day of
every month. Each conversion will be based on the NAV (note 7) of the shares
of the class to be converted.
6.Taxation
Overview
The Company is exempt from taxation in Guernsey under the provisions of the
Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989.
Uncertain tax positions
The Company recognises the tax benefits of uncertain tax positions only where
the position is more-likely-than- not (i.e. greater than 50%), to be sustained
assuming examination by a tax authority based on the technical merits of the
position. In evaluating whether a tax position has met the recognition
threshold, the Company must presume that the position will be examined by the
appropriate taxing authority that has full knowledge of all relevant
information. A tax position that meets the more-likely-than-not recognition
threshold is measured to determine the amount of benefit to recognise in the
Company’s Audited Financial Statements. Income tax and related interest and
penalties would be recognised by the Company as tax expense in the Audited
Statement of Operations if the tax positions were deemed not to meet the
more-likely-than-not threshold.
The Company analyses all open tax years for all major taxing jurisdictions.
Open tax years are those that are open for examination by taxing authorities,
as defined by the Statute of Limitations in each jurisdiction. The Company
identifies its major tax jurisdictions as: Guernsey; the Cayman Islands; and
foreign jurisdictions where the Company makes significant investments. The
Company has no examinations by tax authorities in progress.
The Directors have analysed the Company’s tax positions, and have concluded
that no liability for unrecognised tax benefits should be recorded related to
uncertain tax positions. Further, the Directors are not aware of any tax
positions for which it is reasonably possible that the total amounts of
unrecognised tax benefits will significantly change in the next twelve months.
7.Publication and calculation of Net Asset Value (“NAV”)
The NAV of the Company is equal to the value of its total assets less its
total liabilities. The NAV per share of each class will be calculated by
dividing the NAV of the relevant class account by the number of shares of the
relevant class in issue on that day.
The Company publishes the NAV per share for each class of shares as calculated
by the Administrator based in part on information provided by the Master Fund,
monthly in arrears, as at each month-end.
The Company also publishes an estimate of the NAV per share for each class of
shares as calculated by the Administrator based in part on information
provided by the Master Fund, weekly in arrears.
8.Discount management programme
The Company has previously implemented a number of methods in order to seek to
manage any discount to NAV at which the Company’s shares trade.
Market purchases
Until October 2016, the Company regularly utilised its ability to make market
purchases of its shares as part of the discount management programme. The
purchase of these shares was funded by the Company redeeming underlying shares
in the Master Fund. The number of shares held in treasury as at 31 December
2020 is disclosed in note 5.
However, following the completion of the Tender Offer in April 2017, the
Company was not permitted to redeem its investment in the Master Fund to
finance own-share purchases before 1 April 2019. For much of the period since
that date, the Company’s shares have traded at a premium or minimal discount
to NAV. However, if the Company’s shares were again to trade at wide or
volatile discounts to NAV in the future, it would be the Board’s intention
to consider resuming market purchases of shares.
Annual offer of partial return of capital
Under the Company’s Articles of Incorporation, once in every calendar year,
the Directors have discretion to determine that the Company make an offer of a
partial return of capital in respect of such number of shares of the Company
in issue as they determined, provided that the maximum amount distributed did
not exceed 100% of the increase in NAV of the Company in the prior calendar
year.
The Directors have discretion to determine the particular class or classes of
shares in respect of which a partial return of capital would be made, the
timetable for that partial return of capital and the price at which the shares
of each relevant class were returned.
The decision to make a partial return of capital in any particular year and
the amount of the return depended, among other things, on prevailing market
conditions, the ability of the Company to liquidate its investments to fund
the capital return, the success of prior capital returns and applicable legal,
regulatory and tax considerations.
Class closure resolutions
If any class of shares trades at an average discount at or in excess of 8% of
the monthly NAV in any year from 1 January to 31 December, the Company will
hold a class closure vote of the relevant class.
The average premiums to NAV for the Sterling and US Dollar shares for the year
ended 31 December 2020 were 4.80% and 5.21% respectively and consequently no
closure vote will be held in 2021.
The arrangements are described more fully in the Company’s principal
documents which were approved at the EGM on 24 February 2017.
9.Financial highlights
The following tables include selected data for a single ordinary share of each
of the ordinary share classes in issue at 31 December 2020 and other
performance information derived from the Financial Statements.
The per share amounts and ratios which are shown reflect the income and
expenses of the Company for each class of ordinary share.
31.12.20 31.12.20
Sterling shares US Dollar shares
£ US$
Per share operating performance
Net asset value at beginning of the year 26.06 26.99
Income from investment operations
Net investment loss* (2.16) (2.31)
Net realised and unrealised gain on investment 9.20 10.82
Other capital items** 0.28 (0.72)
Total gain 7.32 7.79
Net asset value, end of the year 33.38 34.78
Total gain before performance fees 34.92% 36.04%
Performance fees (6.83%) (7.15%)
Total gain after performance fees 28.09% 28.89%
Total return reflects the net return for an investment made at the beginning
of the year and is calculated as the change in the NAV per ordinary share
during the year from 1 January 2020 to 31 December 2020. An individual
Shareholder’s return may vary from these returns based on the timing of
their purchase or sale of shares.
31.12.20 31.12.20
Sterling shares US Dollar shares
£'000 US$'000
Supplemental data
Net asset value, end of the year 501,002 76,226
Average net asset value for the year 461,396 77,181
31.12.20 31.12.20
Sterling shares US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses*** 0.51% 0.49%
Master Fund expenses**** 0.73% 0.72%
Master Fund interest expenses***** 0.29% 0.28%
Performance fees 5.68% 6.01%
7.21% 7.50%
Net investment loss before performance fees* (1.22%) (1.17%)
Net investment loss after performance fees* (6.90%) (7.18%)
31.12.19 31.12.19
Sterling shares US Dollar shares
£ US$
Per share operating performance
Net asset value at beginning of the year 24.13 24.67
Income from investment operations
Net investment loss* (0.89) (0.94)
Net realised and unrealised gain on investment 2.81 3.32
Other capital items** 0.01 (0.06)
Total gain 1.93 2.32
Net asset value, end of the year 26.06 26.99
Total gain before performance fees 9.97% 11.69%
Performance fees (1.99%) (2.31%)
Total gain after performance fees 7.98% 9.38%
Total return reflects the net return for an investment made at the beginning
of the year and is calculated as the change in the NAV per ordinary share
during the year from 1 January 2019 to 31 December 2019. An individual
Shareholder’s return may vary from these returns based on the timing of
their purchase or sale of shares.
31.12.19 31.12.19
Sterling shares US Dollar shares
£'000 US$'000
Supplemental data
Net asset value, end of the year 372,893 65,907
Average net asset value for the year 362,275 66,034
31.12.19 31.12.19
Sterling shares US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses*** 0.59% 0.61%
Master Fund expenses**** 1.73% 1.71%
Master Fund interest expenses***** 3.49% 3.43%
Performance fees 1.89% 2.18%
7.70% 7.93%
Net investment loss before performance fees* (1.59%) (1.43%)
Net investment loss after performance fees* (3.48%) (3.61%)
Notes
* The net investment loss figures disclosed above,
does not include net realised and unrealised gains/losses on investments
allocated from the Master Fund.
** Included in other capital items are the discounts and
premiums on conversions between share classes and on the sale of treasury
shares as well as any partial capital return effected in the relevant year as
compared to the NAV per share at the beginning of the year.
*** Company expenses are as disclosed in the Audited Statement
of Operations excluding the performance fee and foreign exchange gains/losses.
**** Master Fund expenses are the operating expenses of the Master
Fund excluding the interest and dividend expenses of the Master Fund.
***** Master Fund interest expenses include interest and dividend
expenses on investments sold short.
10.Related party transactions
Parties are considered to be related if one party has the ability to control
the other party or exercise significant influence over the party in making
financial or operational decisions.
Management and performance fees are disclosed in note 4.
The Company’s Articles limit the fees payable to Directors in aggregate to
£400,000 per annum. Until 19 June 2019, the annual fees were £65,000 for Huw
Evans, the Chairman, £47,500 for John Le Poidevin, the Chair of the Audit
Committee, £45,000 for Claire Whittet, the Chair of the Management Engagement
Committee, £45,000 for Colin Maltby as Senior Independent Director and
£40,000 for all other Directors.
Between 20 June 2019 and 30 September 2019, annual fees remained the same as
above, except for Colin Maltby, who was paid at a rate of £65,000 per annum
after succeeding Huw Evans as Chairman and £47,500 per annum for Claire
Whittet, who was appointed Senior Independent Director.
From 1 October 2019, the annual Director’s fees were £70,000 for Colin
Maltby, the Chairman, £55,000 for John Le Poidevin, the Chair of the Audit
Committee, £50,000 for Claire Whittet, as Chair of the Management Engagement
Committee and the Senior Independent Director and £45,000 for all other
Directors.
On 27 March 2020, Colin Maltby purchased 500 Sterling Class Shares and 500 US
Dollar Class Shares.
On 15 February 2021, Colin Maltby retired as Chairman of the Board. Richard
Horlick was appointed Chairman with an annual fee of £70,000.
11.Subsequent events
On 15 February 2021, Colin Maltby retired as Chairman and as a Director.
On 22 January 2021, the Company announced that it had received a letter from
the Manager proposing a number of material changes to the Management Agreement
which they believed represented the minimum level for them to continue to
manage the Company and not seek to terminate the Management Agreement.
Following discussions between the Company, the Manager and the Company’s
shareholders, a circular proposing certain changes to the terms of the
Management Agreement was issued to shareholders on 12 March 2021 and these
changes were approved at the subsequent EGM on 29 March 2021. As a result of
the shareholder vote, the Management Agreement will be amended and restated
with effect from 1 July 2021 to reflect the following changes:
i. Increase in Management Fee
The monthly management fee (the “Management Fee”) payable by the Company
(excluding the operational services fee payable at the level of the Master
Fund) will be increased to an amount equal to one-twelfth of one and a half
(1.5)% of the prevailing NAV of each class of Shares.
The monthly Management Fee is currently equal to one-twelfth of one-half
(0.5)% of the lower of (a) the prevailing NAV of each class of Shares and (b)
the NAV of that class of Shares as at 1 April 2017, on the basis that all
Shares redeemed pursuant to the Company’s 2017 own share tender offer had
been redeemed on that date (subject to certain other adjustments, including to
take account of conversions between Share classes).
This change will reverse, in part, the reduction in the Management Fee from
one-twelfth of two (2)% per month of the NAV of each class of Shares effective
from 1 April 2017 and will reverse in full the agreement by the Manager not to
charge the Management Fee on performance-related growth of the Company which
first applied from October 2016.
In addition, the waiver since October 2016 of the operational services fees in
respect of performance-related growth of the Company will be discontinued so
that those fees revert to being charged on the entire amount of the
Company’s investment in the Master Fund.
ii. Extension of notice period
The notice period for termination of the Management Agreement without cause by
the Company or the Manager will be increased to 12 months from three months
(which is the notice period that has been effective from 1 April 2019 when it
was reduced from 24 months).
iii. Introduction of fee relating to certain share
redemptions and repurchases
If, in any calendar year, the Company makes repurchases or redemptions of any
class of its Shares above a number equal to 5% of the shares in issue of the
relevant class as at 31 December in the prior year (the “Annual Buy Back
Allowance”), the Company will be required to pay the Manager a fee equal to
2% of the price paid by the Company to repurchase or redeem those additional
Shares. The purpose of this fee is to compensate the Manager in respect of the
Management Fee that would otherwise have been payable by the Company in
respect of the relevant Shares had they not been repurchased or redeemed. The
fee will be payable in respect of all Shares which are repurchased or redeemed
by the Company in excess of the Annual Buy Back Allowance in any year,
including by way of market purchases, tender offer, annual partial capital
return or the class closure provisions included in the Company’s articles of
incorporation.
iv. Introduction of liquidation vote trigger
In the event that the Company’s aggregate NAV at the end of any calendar
quarter for all share classes combined is lower than US$300 million (on the
basis of the then prevailing exchange rate), the Board will be required to
propose a vote to Shareholders for the liquidation of the Company. If the vote
were to be passed by Shareholders and the Company placed into liquidation, the
Management Agreement would be terminated and the Company would be required to
pay the Manager a payment equal to 2% of the Company’s NAV (net of any
Annual Buy Back Allowance for the relevant calendar year that remains unused),
in lieu of the Management Fee that would otherwise have been payable if the
Management Agreement had been terminated on 12 months’ notice, in addition
to any other fees owing to the Manager at the time of termination of the
Management Agreement. These arrangements effectively replicate the existing
position under the Management Agreement if the Management Agreement were to be
terminated without notice having been served as a result of Shareholders
voting to wind up the Company. Further, there would be no obligation on
Shareholders to vote in favour of the liquidation in these circumstances.
There will be no change to the annual performance fee payable by the Company
to the Manager, which will remain at 20% of the appreciation in the NAV per
Share of each class of the Shares during the relevant year above any prior
high water mark. The other terms of the Management Agreement will also remain
unchanged.
The Directors have evaluated subsequent events up to 30 March 2021, which is
the date that the Audited Financial Statements were available to be issued,
and have concluded there are no further items that require disclosure or
adjustment to the Audited Financial Statements.
Historic Performance Summary
As at 31 December 2020
31.12.20 31.12.19 31.12.18 31.12.17 31.12.16
US$'000 US$'000 US$'000 US$'000 US$'000
Net increase/(decrease) in net assets
resulting from operations 181,533 59,462 34,985 4,725 (150,245)
Total assets 802,224 570,779 506,307 465,787 866,740
Total liabilities (41,055) (11,014) (6,004) (469) (1,897)
Net assets 761,169 559,765 500,303 465,318 864,843
Number of shares in issue
Sterling shares 15,009,868 14,310,040 14,136,242 14,046,048 22,371,669
US Dollar shares 2,191,379 2,442,057 2,664,541 2,782,034 9,975,524
Euro shares - - - - 1,514,872
Net asset value per share
Sterling shares £33.38 £26.06 £24.13 £21.47 £22.44
US Dollar shares US$34.78 US$26.99 US$24.67 US$21.62 US$21.68
Euro shares - - - - €21.87
Affirmation of the Commodity Pool Operator
31 December 2020
To the best of my knowledge and belief, the information detailed in this
Annual Report and these Audited Financial Statements is accurate and complete.
By:
Name: Jonathan Hughes
Title: Chief Financial Officer and Authorised Signatory
Brevan Howard Capital Management Limited as general partner of Brevan Howard
Capital Management LP, the manager and commodity pool operator of BH Macro
Limited
30 March 2021
Glossary of Terms and Alternative Performance Measures
Alternative Performance Measures (“APMS”)
We assess our performance using a variety of measures that are not
specifically defined under US GAAP and therefore termed APMs. The APMs that we
use may not be directly comparable with those used by other companies.
Average Premium/Discount to NAV
The average premium/discount to NAV of the whole year is calculated for each
share class by using the following formula:
(A-B)
B
Where:
* ‘A’ is the average closing market price of a share of the share class as
derived from the trading price on the London Stock Exchange, calculated as the
sum of all the closing market prices per share of that class as at each London
Stock Exchange trading day during a calendar year, divided by the number of
such trading days in such period; and
* ‘B’ is the average Net Asset Value per share of the shares of the share
class taken over the 12 NAV Calculation Dates in a calendar year calculated as
the sum of the final Net Asset Value of the share class as at each NAV
Calculation Date during a calendar year, divided by 12.
Discount/Premium
If the share price of an investment is lower than the NAV per share, the
shares are said to be trading at a discount. The size of the discount is
calculated by subtracting the share price from the NAV per share and is
usually expressed as a percentage of the NAV per share. If the share price is
higher than the NAV per share, the shares are said to be trading at a premium.
The Board monitors the level of discount or premium and consideration is given
to ways in which share price performance may be enhanced, including the
effectiveness of marketing and share buy-backs, where appropriate. The premium
is shown below.
Sterling Shares US Dollar Shares
31.12.20 31.12.19 31.12.20 31.12.19
Share Price at Year End (A) £35.20 £26.10 $36.00 $27.40
NAV per Share (B) £33.38 £26.06 $34.78 $26.99
Premium to NAV (A-B)/B 5.45% 0.15% 3.51% 1.52%
Ongoing Charges
The ongoing charges are calculated using the AIC Ongoing Charges methodology,
which was last updated in October 2015 and is available on the AIC website
(theaic.co.uk). They represent the Company’s management fee and all other
operating expenses, excluding finance costs, performance fees, share issue or
buyback costs and non-recurring legal and professional fees and are expressed
as a percentage of the average of the daily net assets during the year. The
Board continues to be conscious of expenses and works hard to maintain a
sensible balance between good quality service and cost. The ongoing charges
calculation is shown below:
Sterling Shares US Dollar Shares
Year ended Year ended Year ended Year ended
31.12.20 31.12.19 31.12.20 31.12.19
Average NAV for the year (a) £461,396,154 £362,275,318 $77,181,295 $66,033,640
Investment management fee £1,636,581 £1,566,321 $264,904 $277,326
Other Company expenses £666,592 £552,410 $116,102 $124,616
Total Company Expenses £2,303,173 £2,118,731 $381,006 $401,942
Expenses allocated from the Master Fund £2,923,509 £2,356,180 $488,674 $398,891
Performance Fee £26,208,875 £6,846,136 $4,636,992 $1,437,594
Total Expenses (b) £31,435,557 £11,321,047 $5,506,672 $2,238,427
Ongoing Charges b/a 6.81% 3.13% 7.13% 3.40%
Net Asset Value (“NAV”)
The NAV is the net assets attributable to shareholders that is, total assets
less total liabilities, expressed as an amount per individual share.
Return per Share
Return per share is calculated using the net return on ordinary activities
after finance costs and taxation (£105,767,059 and US$18,804,559) divided by
the weighted average number of shares in issue for the year ended 31 December
2020 (14,702,553 Sterling shares and 2,397,572 US Dollar shares). The
Directors also regard returns per share to be a key indicator of performance.
The return per share is shown in the Strategic Report.
Company Information
Directors
Richard Horlick (Chairman, from 15 February 2021)
Colin Maltby (Chairman and Director, until his retirement on 15 February 2021)
Bronwyn Curtis (appointed 1 January 2020)
John Le Poidevin
Claire Whittet
(All Directors are non-executive and independent for the purpose of Listing
Rule 15.2.12-A)
Registered Office
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 3QL
Manager
Brevan Howard Capital Management LP
6th Floor
37 Esplanade
St Helier Jersey
Channel Islands JE2 3QA
For the latest information
www.bhmacro.com
Administrator and Corporate Secretary
Northern Trust International Fund
Administration Services (Guernsey) Limited
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 3QL
Independent Auditor
KPMG Channel Islands Limited
Glategny Court
Glategny Esplanade
St Peter Port
Guernsey
Channel Islands GY1 1WR
Registrar and CREST Service Provider
Computershare Investor Services (Guernsey) Limited
1st Floor
Tudor House
Le Bordage
St Peter Port
Guernsey GY1 1DB
Legal Advisors (Guernsey Law)
Carey Olsen
Carey House
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 4BZ
Legal Advisors (UK Law)
Hogan Lovells International LLP
Atlantic House
Holborn Viaduct
London EC1A 2FG
Corporate Broker
JPMorgan Cazenove
25 Bank Street
Canary Wharf
London E14 5JP
Tax Adviser
Deloitte LLP
PO Box 137
Regency Court
Glategny Esplanade
St Peter Port
Guernsey
Channel Islands GY1 3HW
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