REG-BH Macro Limited: Annual Report and Audited Financial Statements 2024
28/03/2025 07:15
BH Macro Limited
Annual Report and Audited Financial Statements 2024
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 2024.
The Report will shortly be available from the Company’s website:
www.bhmacro.com.
Chair’s Statement
I am pleased to present the Annual Report for BH Macro Limited (the
“Company”) for the year ended 31 December 2024. The Company invests in
Brevan Howard Master Fund Limited (the “Master Fund”) whose investment
objective is to generate consistent long-term appreciation through active
leveraged trading and investment on a global basis. This has led to
diversification from, and low correlation to, bond and equity markets, giving
returns with lower volatility than equity markets.
During 2024, the net asset value (“NAV”) per share of the Sterling Class
shares rose by 5.86%, and that of the US Dollar Class shares by 4.92%. The
share price performance experienced by the Company’s shareholders (the
“Shareholders”) was higher, namely, 10.63% for the Sterling Class shares
and 10.61% for the US Dollar Class shares. This was in part, because the board
of directors of the Company (the “Board”), in conjunction with JP Morgan
Cazenove, our broker, continued with a substantial buyback programme
throughout the year, spending some £116 million in the face of persistent
selling. In December 2023, the average discount for the month at which
Sterling Class shares were repurchased was 11.1% and, in December 2024, the
discount had narrowed, such that the average discount for the month at which
Sterling Class shares were repurchased was 7.8%. These repurchases were
accretive for the Shareholders, contributing 0.98% to the Sterling class NAV
per share for the calendar year.
The Board is very conscious that, despite this apparent success, and, indeed,
relative to many closed-ended funds, a modest discount above 5% remains
unsatisfactory for the Company over a long-term horizon.
The additional volatility created by moving from premia to discounts for the
share price undermines one of the key virtues of the Master Fund. We continue
to maintain close dialogue with all our major Shareholders to encourage any
substantial sales to be coordinated with the Board and our broker, to ensure
the most efficient management of the relationship between NAV per share and
share price.
The average share price discount to NAV per share for both share classes
(Sterling and US Dollar) for 2024 was above 8% and consequently class closure
votes were called for in respect of both share classes. I am pleased to say
that, at the subsequent Sterling Class extraordinary general meeting
(“EGM”) held on 18 February 2025, the Sterling Class Shareholders
continued to show their support for the Company and backed the recommendation
of the Board and voted against class closure for the Sterling Class shares,
with 98.22% voting against. The EGM for the US Dollar Class shares was due to
be held on 18 February 2025 but was not quorate, so the EGM was adjourned. The
reconvened EGM was held on 25 February 2025 and the USD Class Shareholders
also voted against class closure, with 99.86% voting against.
Last year was marked by significant global political and economic upheavals,
which have influenced financial markets. Diverging growth and inflation
outlooks globally increased uncertainties around the timing and size of
monetary and fiscal policies changes through much of the year. In addition,
President Trump’s re-election campaign, for the 47th President of the United
States, trailed a raft of changes to US domestic and international policies
which supported his Make America Great Again agenda. Once President Trump was
inaugurated on 20 January 2025, he immediately embarked on implementing them.
As a consequence, the US economy and US policy may well be very different from
recent experience, with much greater volatility and divergence between markets
globally. This creates both opportunities and risks for your Company, as was
seen by the strong return in November 2024.
In the UK, we saw the election of Sir Keir Starmer and the Labour Party with a
very large electoral majority in July 2024, but a relatively small percentage
of the electoral vote. Some expected this to usher in a period of political
and financial stability for the UK. Unfortunately, early events appear to
suggest that financial stability remains, for the present at least, elusive
and the early track record is not encouraging. The new government has already
experienced both scandals and resignations. This has created uncertainty, both
at an individual level and for the wealth management industry in the United
Kingdom.
Against this background, the Board retains full confidence in Brevan Howard
Capital Management LP (the “Manager”). During the course of 2024, the
Manager’s business continued to flourish with assets under management of
approximately USD 35 billion, and the Manager’s team being strengthened both
at the portfolio manager level and in terms of support staff.
The Board has continued its regular dialogue with the Manager, reviewing the
Master Fund’s trading strategies and risk exposure and satisfying itself
that the Manager’s analytical trading and risk management capabilities
continue to be maintained at a high standard.
The Board has remained reassured that these continuing developments in the
Manager’s operations are supportive of the Manager’s core activities and
are positive for the services which the Manager provides to the Company.
The Company and the Manager have continued to pursue an active programme for
public communication and investor relations. Up-to-date performance
information is provided through NAV per share data published monthly on a
definitive basis and weekly on an estimated basis, as well as through monthly
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, is very closely
focused on safeguarding the interests of Shareholders and believes that the
Company observes high standards of corporate governance. The Board continues
to operate well with a high level of engagement and a close working
relationship between the diverse members of the Board. We are pleased to say
that we are in compliance with all current regulations and recommendations
relating to board composition.
Conclusion
In the current environment of increased political and economic tensions, the
Company remains more than ever committed to its investment strategy, aiming to
deliver consistent returns to Shareholders. I would like to thank our
Shareholders for their continued support and trust in the Company’s strategy
and management.
Richard Horlick
Chair
27 March 2025
Board Members
The Directors of the Company during the year and as at the date of signing,
all of whom are non-executive, are listed below:
Richard Horlick (Chair)
Richard Horlick is UK resident. He is currently the non-executive chairman of
CCLA Investment Management which manages assets for over 38,000 charities and
church and local authority funds. He has served on a number of closed-ended
fund boards. 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. Mr. Horlick was appointed to
the Board in May 2019 and was appointed Chair in February 2021.
Caroline Chan
Caroline Chan is a Guernsey resident and has over 30 years’ experience as a
corporate lawyer, having retired from private practice in 2020. After studying
law at Oxford University, Caroline qualified as an English solicitor with
Allen & Overy, working in their corporate teams in London and Hong Kong. On
returning to Guernsey in 1998, Caroline qualified as a Guernsey advocate and
practised locally, including as a partner with law firms Ogier and Mourant
Ozannes. Since retiring from private practice, Caroline has taken on
non-executive directorship roles and is Chair of the Board of Governors of The
Ladies’ College, Guernsey. She was a member of the Guernsey Competition and
Regulatory Authority until March 2023. Ms. Chan was appointed to the Board in
December 2022.
Julia Chapman
Julia Chapman is a Jersey resident and a solicitor qualified in England &
Wales and in Jersey with over 30 years’ experience in the investment fund
and capital markets sector. After working at Simmons & Simmons in London, she
moved to Jersey and became a partner of Mourant du Feu & Jeune (now Mourant)
in 1999. She was then appointed general counsel to Mourant International
Finance Administration (the firm’s fund administration division). Following
its acquisition by State Street in April 2010, Julia was appointed European
Senior Counsel for State Street’s alternative investment business. In July
2012, Julia left State Street to focus on the independent provision of
directorship and governance services to a small number of investment fund
vehicles. Mrs. Chapman was appointed to the Board in October 2021.
Bronwyn Curtis
Bronwyn Curtis is a UK resident and Senior Executive with 30 years leadership
in finance, commodities, consulting and the media. 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 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.
Mrs. Curtis was appointed to the Board in January 2020 and was appointed
Senior Independent Director on 13 September 2023.
John Le Poidevin
John Le Poidevin is Guernsey resident and has over 30 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 and will step down from the Board at
the 2026 AGM.
Disclosure of Directorships in Public Companies Listed on Recognised Stock
Exchanges
The following summarises the Directors’ current directorships in other
public companies:
Exchange
Richard Horlick
Riverstone Energy Limited London
VH Global Energy Infrastructure Plc London
Caroline Chan
NextEnergy Solar Fund Limited London
Julia Chapman
GCP Infrastructure Investments Limited London
Henderson Far East Income Limited London
The International Stock Exchange Group Limited The International Stock Exchange
Bronwyn Curtis
Pershing Square Holdings Limited London and Euronext Amsterdam
TwentyFour Income Fund Limited London
John Le Poidevin
International Public Partnerships Limited London
Super Group (SGHC) Limited New York
TwentyFour Income Fund Limited London
Strategic Report
For the year ended 31 December 2024
The Directors submit to the Shareholders their Strategic Report of the Company
for the year ended 31 December 2024.
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 the 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
Sterling and US Dollar-denominated Class B shares issued by 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 Company’s 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 the periodic
redemption of shares from the Master Fund and borrowings in accordance with
its leverage policies.
BUSINESS ENVIRONMENT
Principal Risks and Uncertainties
The Board is responsible for establishing and maintaining an effective risk
management and internal control framework and for reviewing its effectiveness.
The nature and extent of the principal and emerging risks which have been
determined by the Board in order to meet the Company’s long term strategic
objectives and the steps which are taken by the Board to manage or 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 or the environment becomes
structurally unsuitable for the Company’s investment policy, leading to
investor dissatisfaction. The Board receives reports presented by 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. The Board and the Manager have
regular contact with investors and the Manager publishes monthly shareholder
reports and fact sheets which are available on the Company’s website;
* Operational and Cyber Security Risks: The Board is responsible for ensuring
it is effective in its oversight of the Company’s operations and cyber
security. The Company is exposed to the risks arising from any failure of
systems and controls in the operations of its key service providers, including
each of the Manager and the Administrator, or from their unavailability for
whatever reason, including those arising from cyber security issues. The Board
receives regular reports from each of those parties on cyber security and
annual independent third-party reporting on their respective internal
controls;
* 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. The Company’s principal
documents also require that 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 Company has available and has previously implemented, a number of
methods in order to mitigate any discount to NAV, including making market
purchases of its shares as part of a discount management programme;
* 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 the
Guernsey Financial Services Commission and/or any other applicable regulatory
and legislative matters, or if it fails to maintain accurate or timely
accounting records and published financial information. The Administrator
provides the Board with regular internal control and compliance reports and
reports on changes in regulatory requirements;
* Geopolitical Risks: The Company is indirectly exposed to the risk of
geopolitical events, covering disruption arising from economic uncertainty and
volatility including any change or disruption to global trade and economic
policy resulting from any major shifts in long-standing policy positions of
major economies. The Board and the Manager monitor global events in order to
mitigate any collateral impact on the Company and its performance, including
political and military conflicts wherever they occur, which includes the
current conflicts in Ukraine and the Middle East. The Board and the Manager
also note that the Master Fund has had no direct material exposure to Russia
or Ukraine. The Board has also made enquiries of key service providers in
respect of any impact from such conflicts and the related instability in world
markets and has been assured that none of the service providers have
operations in the affected regions or are in any way impacted in terms of
their ability to continue to supply their services to the Company; and
* Climate Change and Environmental Social and Governance (“ESG”) Risks:
The Company recognises the importance of this emerging risk, including
regulatory requirements relating thereto and the expectations of stakeholders
regarding relevant disclosures around this set of risks, which have continued
to develop over recent years. The Company has no employees and does not own
any physical assets and is therefore not directly exposed to climate change
risk. The Manager monitors developments in this area and industry best
practice on behalf of the Board, where appropriate, and regularly assesses the
trading activity of the underlying Master Fund and sub-funds to ascertain
whether ESG factors are appropriate or applicable to such funds. The Board has
also made enquiries of key service providers in respect of their assessment of
how climate change and ESG risk impacts their own operations and has been
assured that this has no impact on their ability to continue to supply their
services to the Company.
Board DiversityWhen appointing new directors and reviewing the Board
composition, the Board considers, amongst other factors, diversity, balance of
skills, knowledge, gender and experience. At 31 December 2024, the Board
believes that it was fully compliant in terms of UKLR 6.6.6(9) in relation to
board diversity. There have been no changes to the Board’s composition since
that date. We have set out additional details in the table below:
Name Gender Identity Ethnicity
Richard Horlick Male White British
Caroline Chan Female White Asian British
Julia Chapman Female White British
Bronwyn Curtis Female White European
John Le Poidevin Male White British
Environmental, Social and Governance (ESG) 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 any material 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
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 Master Fund.
The Manager continues to monitor developments in this area and seeks to
implement industry best practice where applicable. The Manager is a signatory
to the UN Principles for Responsible Investment and, on a regular basis,
assesses the trading activities of the Master Fund as to whether ESG, the UN
principles and sustainability risks under the EU Sustainable Finance
Disclosure Regulation are appropriate, relevant, or applicable to the Master
Fund, 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 programmes, 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”)
From 1 January 2021, the Company became subject to the UK version of
Regulation (EU) No 1286/2014 on key information documents for PRIIPs, which is
part of UK law by virtue of the European Union (Withdrawal) Act 2018, as
amended and supplemented from time to time, including by the Packaged Retail
and Insurance-based Investment Products (Amendment) (EU Exit) Regulations 2019
(the “UK PRIIPs Laws”). In accordance with the requirements of the UK
PRIIPs Laws, the Manager published the latest standardised three-page Key
Information Document (a “KID”) for the Company’s Sterling shares and
another for its US Dollar shares on 10 January 2025 (based on data as at 29
December 2023). Each KID is available on the Company’s website
https://www.bhmacro.com/regulatory-disclosures/ and will be updated at least
every 12 months.
The Manager is the PRIIPs manufacturer for each KID and the Company is not
responsible for the information contained in each KID. The process for
calculating the risks, cost and potential returns is prescribed by regulation.
The figures in the KID, relating to the relevant share class, may not reflect
the expected returns for that share class of the Company and anticipated
returns cannot be guaranteed.
Performance
Key Performance Indicators (“KPIs”)
At each quarterly 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. NAV
The Company’s NAV can be considered to have appreciated from £1.00* per
Sterling share and US$1.00* per US Dollar share at launch to £4.35 per
Sterling share and US$4.48 per US Dollar share at the 2024 financial year end.
This increase in NAV is largely attributable to the Company’s long-term
growth strategy and returns. The Directors and the Manager are confident that
the current strategy will continue to return positive levels of growth over
the long-term.
* The launch price is adjusted by a factor of 10 to reflect the 10 for 1 share
sub-division, which occurred on 7 February 2023.
2. Share Prices, Discount/Premium
The Company’s shares traded at an average discount of 11.24% and 10.99% to
NAV for its Sterling shares and US Dollar shares respectively for the year
ended 31 December 2024.
3. Ongoing Charges
The Company’s ongoing charges ratio, which includes both Performance fees
and Master Fund charges, for the financial year ended 2024 as compared to the
ongoing charges ratio for the financial year ended 2023 has increased from
2.16% to 2.95% on the Sterling shares and increased from 2.14% to 3.06% on the
US Dollar shares, primarily due to changes in the level of the Manager’s
performance fee as a result of relative performance.
The Company reports an aggregated view of the charges for both the Sterling
shares and US Dollar shares. Further details are in the Directors’ Report.
Gain/(Loss) per Share
Total gain/(loss) per share is based on the net total gain on ordinary
activities after tax of £68,166,209 for the Sterling share class and a net
gain of US$5,680,548 for the US Dollar share class (2023: loss of £32,535,028
and US$1,540,012 respectively).
These calculations are based on the weighted average number of shares in issue
for the year ended 31 December 2024, resulting in 380,616,423 Sterling shares
and 28,572,373 US Dollar shares (2023: Sterling shares: 353,094,861 and US
Dollar shares: 28,097,148). The 10 for 1 share sub-division approved at the
EGM held on 6 February 2023 has been applied throughout the year for the 2023
weighted average share figures.
Year ended 31.12.24 Per share '000 Year ended 31.12.23 Per share '000
Net total gain/(loss) for Sterling shares 17.91p £68,166 (9.21p) (£32,535)
Net total gain/(loss) for US Dollar shares 19.88c US$5,681 (5.48c) (US$1,540)
NAV
The NAV per Sterling share, as at 31 December 2024 was £4.35 based on net
assets of £1,487,501,308 divided by the number of Sterling shares in issue of
342,211,496 (2023: £4.11).
The NAV per US Dollar share, as at 31 December 2024 was US$4.48 based on net
assets of US$123,110,618 divided by number of US Dollar shares in issue of
27,478,960 (2023: US$4.27).
Dividends
No dividends were paid during the year (2023: US$ 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 three-year
period to 31 December 2027. 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 largely dependent on
the management agreement between the Company and the Manager (the
“Management Agreement”) remaining in place. Since January 2023, the
Management Agreement has been generally terminable on a twelve month notice
period save for certain exceptions. To ensure that the Company maintains a
constructive and informed relationship with the Manager, the Directors meet
regularly with the Manager to review the Master Fund’s performance, and
through the Management Engagement Committee, the Directors review the
Company’s relationship with the Manager and the Manager’s performance and
effectiveness. The Directors currently know of no reason why either the
Company or the Manager might serve notice of termination of the Management
Agreement over the period of this Viability Statement.
The Company’s assets exceed its liabilities by a considerable margin.
Furthermore, the majority of the Company’s most significant expenses, being
the fees owing to the Manager and to the Administrator, fluctuate by reference
to the Company’s investment performance and NAV. The Company is able to meet
its expenses by redeeming shares in the Master Fund as necessary, as and when
required to enable the Company to meet its ordinary course operating expenses.
The Company’s investment performance depends upon the performance of the
Master Fund and the Manager as manager of the Master Fund. The Directors, in
assessing the viability of the Company, pay particular attention to the risks
facing the Master Fund. The Manager operates a risk management framework,
which is intended to identify, measure, monitor, report and, where
appropriate, mitigate key risks identified by it or its affiliates in respect
of the Master Fund.
The Company’s shares largely traded at a premium up until the middle of
2023, since when, in common with the broader investment trust sector, the
shares have traded at a discount. In the event of any downward pressure on the
Company’s share prices, the Company is able to consider resuming active
discount management actions, including share buybacks, so that as far as
possible the share prices would more closely reflect the Company’s
underlying performance. Share buybacks commenced during December 2023 and have
continued throughout 2024 and into 2025 in the face of persistent selling. The
Company is able to meet the costs of share buybacks by redeeming shares in the
Master Fund. Pursuant to the Management Agreement, there are restrictions on
the amount of Master Fund shares which the Company may redeem in a given
period; and the Company may incur fees to the Manager in certain
circumstances. The Company is also subject to the Shareholders’ authority
for share purchases in the market approved at the AGM held in June 2024. The
Company may redeem up to five per cent of the Company’s holding of Master
Fund shares on a monthly basis to fund its on-market share buybacks; and it
may, no more than once a year, on three months’ notice, redeem part of its
interest in the Master Fund representing up to 10 per cent of each class of
the Company’s shares held in the Master Fund, to the extent required to
enable the Company to make an annual redemption offer (as defined in the
Articles). Refer to notes 2 and 8 in the Audited Financial Statements for
details of the Company’s discount management mechanisms.
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,
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.
Section 172, Companies Act 2006
Although the Company is domiciled and resident in Guernsey, the Board has
considered the guidance set out in the Association of Investment Companies
(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 Audited
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 the Company’s corporate secretary (the “Corporate
Secretary”). Further details on fee structure are included in note 4 to the
Audited Financial Statements.
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
27 March 2025
Directors’ Report
31 December 2024
The Directors submit their Annual Report together with the Company’s 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 2024. 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 in accordance 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. The
Company is currently included in the London Stock Exchange’s FTSE 250 Index
and has been throughout the current and prior financial years.
The Company’s 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 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, digital assets,
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 buybacks, 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
In the prior year, in February 2023, the Company completed an initial issue
(the “Initial Issue”), comprising an initial placing (the “Placing”),
intermediaries offer (the “Intermediaries Offer”) and offer for
subscription (the “Offer for Subscription”), together with an issuance
programme for subsequent issues, which remained open until 23 January 2024
(the “Issuance Programme”), in respect of the issue of up to an aggregate
of 220 million shares (based on a 10:1 share sub-division).
The completion of the Initial Issue on 13 February 2023 saw a total of
72,378,000 Sterling shares and 746,400 US Dollar shares issued at a price per
share equal, respectively, to 431.5 pence per Sterling share and US$4.47 per
US Dollar share, raising gross proceeds of approximately £312.3m for the
Sterling share class and US$3.3m for the US Dollar share class.
At the Annual General Meeting held on 5 June 2024, Shareholders approved an
Ordinary Resolution to allow the Directors to have the power to issue further
shares totalling 119,634,098 Sterling shares and 9,820,829 US Dollar shares,
respectively. Shareholders at the Annual General Meeting also approved a
Special Resolution that authorised the maximum number of shares that may be
purchased on-market by the Company until the next Annual General Meeting,
being 53,804,834 Sterling shares and 4,416,869 US Dollar shares.
During the 2024 financial year, the Company has bought back 31,740,133
Sterling class shares on the London Stock Exchange with prices ranging from
£3.28 to £4.09 per share. The Company did not buyback any US Dollar class
shares in the financial year. The repurchased shares are held in Treasury.
The number of shares in issue at the year end is disclosed in note 5 of the
Audited Financial Statements.
Going Concern
The Directors, having considered the Principal and Emerging Risks and
Uncertainties to which the Company is exposed, 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.
Whilst the Board continues to monitor the ongoing impact of various
geopolitical events, the Board has concluded that the biggest threat to the
Company remains the failure of a key service provider to maintain business
continuity and resiliency. The Board has assessed the measures in place by key
service providers to maintain 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 geopolitical
events either and the Board is confident that these events have not impacted
the going concern assessment of the Company.
In December 2023 the Board commenced a share buyback programme to manage any
excess mis-match between buyers and sellers of the Company’s shares in the
public markets and this has led to a narrowing of the discount at which the
Company’s shares trade, firstly to around 11-12% by 31 December 2023 and
down to around 6-7% at 31 December 2024. All share buybacks have been and will
continue to be funded by specific cash allocated to them through the
redemption of shares in the Master Fund and there is therefore no impact on
the cash available to cover the Company’s central operating costs. As
announced on 17 June 2024, the Manager temporarily waived the redemption fee
on buybacks that normally applied above a certain level (by increasing the
2024 buyback allowance by 16,308,970 this being the unused Sterling shares
buyback allowance for 2023) and so there were no additional charges for
effecting these buybacks in the 2024 financial year other than the transaction
fees paid to the Company’s brokers.
The average discount to NAV for the Sterling shares and US Dollar shares for
the year ended 31 December 2024 were 11.24% and 10.99% respectively and
consequently class closure votes were called for both share classes, as set
out in the circular to Shareholders dated 29 January 2025. Following the
Sterling class closure meeting on 18 February 2025 it was announced that the
Sterling shareholders had defeated the class closure resolution, with 98.22%
of votes received against closure. It was also announced that the US Dollar
class closure meeting of the same date was inquorate, and the meeting was
postponed to 25 February 2025. The US Dollar class closure meeting on 25
February 2025 was quorate, with 99.86% of votes received against closure.
The Directors have therefore concluded that there are no significant cash flow
or other risks in relation to preparing the Annual Financial Statements on a
going concern basis.
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 the Board Members section.
The Board meets at least four times a year and between these formal meetings,
there is regular contact with the Manager, JPMorgan Cazenove (the “Corporate
Broker”) and the Northern Trust International Fund Administration Services
(Guernsey) Limited (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 meetings and
Audit Committee meetings they were entitled to attend during the year ended 31
December 2024 and the number of such meetings attended by each Director.
Scheduled Board Meetings Held Attended
Richard Horlick 4 4
Caroline Chan 4 4
Julia Chapman 4 4
Bronwyn Curtis 4 4
John Le Poidevin 4 4
Audit Committee Meetings Held Attended
John Le Poidevin 4 4
Caroline Chan 4 4
Julia Chapman 4 4
Bronwyn Curtis 4 4
Remuneration and Nomination Committee Meetings Held Attended
Richard Horlick 1 1
Caroline Chan 1 1
Julia Chapman 1 1
Bronwyn Curtis 1 1
John Le Poidevin 1 1
Management Engagement Committee Meetings Held Attended
Richard Horlick 1 1
John Le Poidevin 1 1
Caroline Chan 1 1
Julia Chapman 1 1
Bronwyn Curtis 1 1
In addition to these scheduled meetings, seventeen ad-hoc committee meetings
were held during the year ended 31 December 2024, 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 Chair’s and the other Directors’ tenures are limited to nine years,
which is consistent with the principles listed in the UK Corporate Governance
Code. The Board is in the final stages of an externally facilitated
recruitment exercise to replace John Le Poidevin as a director and expect to
make an announcement to the market in due course. John Le Poidevin will step
down from the Board at the 2026 AGM. OSA Recruitment were used during the
recruitment process.
Notwithstanding that some of the Directors sit on the boards of a number of
other listed 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
31.12.24 31.12.23
Richard Horlick 200,000 200,000
Caroline Chan 11,587 11,587
Julia Chapman 6,260 6,260
Bronwyn Curtis 33,173 33,174
John Le Poidevin 116,940 75,620
US Dollar Shares
31.12.24 31.12.23
Richard Horlick 20,000 20,000
Caroline Chan Nil Nil
Julia Chapman Nil Nil
Bronwyn Curtis Nil Nil
John Le Poidevin 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, subject to the provisions of The Companies (Guernsey) Law, 2008, for
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 AIC and by complying with the AIC Code it 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 Corporate
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
* a 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.
All of the Directors are independent of the Manager and any company in the
same group as the Manager (the “Manager’s Group”).
The Company has adopted a Code of Directors’ dealings in securities.
The Company’s risk appetite and 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.
For new appointments to the Board, a specialist independent recruitment firm
is engaged as and when appropriate, to source potential candidates who are
then interviewed by the Directors. 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, Article 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 5 June 2024, Shareholders re-elected all the then
incumbent Directors of the Company.
The Board, through the Remuneration and Nomination Committee, regularly
reviews its composition and believes that the current and anticipated
appointments provide an appropriate range of skill, experience and diversity.
Each of the Board, the Audit Committee, the Management Engagement Committee
and the Remuneration and Nomination Committee undertakes 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 the Committees consider how
they function as a whole and review the individual performance of their
members. This process is conducted by the Chair of each Committee reviewing
the relevant Directors’ performance, contribution and commitment to the
Company.
Bronwyn Curtis, the Senior Independent Director, takes the lead in evaluating
the performance of the Chair.
Board Performance
The performance of the Board and that of each individual Director is scheduled
for external evaluation every three years, the most recent of which was
completed in 2022. The next evaluation is expected to take place during 2025.
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 last annual internal evaluation.
The Board needs to ensure that the Audited 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 sets 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. Furthermore,
the policy is shared with each of the Company’s service providers and
confirmation from each of them is sought in relation to their own policies.
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 reports on those to the
extent they are considered relevant to the Company’s operations. Further
explanation of these issues is detailed in the Strategic Report under 'Climate
Change and Environmental Social and Governance (“ESG”) Risks'.
Ongoing Charges
The 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 the years ended 31 December 2024 and 31 December 2023 have
been prepared in accordance with the AIC’s recommended methodology.
The following table presents the Ongoing Charges for each share class of the
Company for the years ended 31 December 2024 and 31 December 2023.
31.12.24
Sterling US Dollar
Shares Shares
Company – Ongoing Charges 1.58% 1.56%
Master Fund – Ongoing Charges 0.63% 0.63%
Performance fees 0.74% 0.87%
Ongoing Charges plus performance fees 2.95% 3.06%
31.12.23 Sterling US Dollar
Shares Shares
Company – Ongoing Charges 1.59% 1.56%
Master Fund – Ongoing Charges 0.57% 0.58%
Performance fees - -
Ongoing Charges plus performance fees 2.16% 2.14%
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
prevailing Master Fund NAV attributable to the Company’s investment in the
Master Fund.
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 and effectiveness of the audit and remuneration of the auditors,
and to review and recommend the Annual Financial Statements and Annual Report
to the Board of Directors. It is chaired by John Le Poidevin and comprises
Bronwyn Curtis, Julia Chapman and Caroline Chan. The Terms of Reference of the
Audit Committee are available on the Company’s website (www.bhmacro.com) or
from the Administrator.
During the year the Audit Committee conducted a tender process for the
position of external auditor, details of which are disclosed in the Report of
the Audit Committee.
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 Julia Chapman 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 a review of the terms of the Company’s agreements
with all other third-party service providers (other than KPMG Channel Islands
Limited (the “Independent Auditor”)). The Management Engagement Committee
also monitors the performance of all service providers on an annual basis and
writes to each service provider regarding their Business Continuity Plans. 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 on the Company’s website (www.bhmacro.com) or 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 formal
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 11 September 2024, the Management Engagement Committee
concluded that the continued appointment of each of the Manager, the
Administrator, the Company’s UK and Guernsey legal advisers, Computershare
Investor Services (Guernsey) Limited (the “Registrar”) and the 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.
Remuneration and Nomination Committee
The Board has established a Remuneration and Nomination Committee with formal
duties and responsibilities. The Remuneration and Nomination Committee meets
formally at least once a year, is chaired by Caroline Chan and comprises all
members of the Board.
The function of the Remuneration and Nomination Committee is to:
* regularly review the structure, size and composition of the Board and make
recommendations to the Board with regard to any changes that are deemed
necessary;
* identify, from a variety of sources, candidates to fill Board vacancies as
and when they arise with a continued focus on Board diversity;
* assess and articulate the time needed to fulfil the role of the Chair and of
a non-executive director, and undertake an annual performance evaluation to
ensure that all the members of the Board have devoted sufficient time to their
duties, and also to review their contribution to the work of the Board and the
breadth of experience of the Board as a whole; and
* annually review the levels of remuneration of each of the Chair of the
Board, the Chair of the Audit Committee, the Chair of each other Board
committee and other non-executive directors having regard to the maximum
aggregate remuneration that may be paid under the Company’s Articles.
The Remuneration and Nomination Committee has been leading the sourcing and
recruitment of a new director to join the Board in 2025. This process is now
in the final stages and the Company expects to make an announcement to the
market in due course.
Internal Controls
Responsibility for the establishment and maintenance of an appropriate system
of internal control rests with the Board and to achieve this, processes have
been established which seek 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, including the
identification and management of emerging risks;
* 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 the Manager, the Administrator and the
Company’s other key service providers.
A report is tabled and discussed at each Audit Committee meeting, and reviewed
at least 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.
The Board has delegated the management of the Company and the administration,
corporate secretarial and registrar functions, including the independent
calculation of the Company’s NAV and the production of the Annual Report and
Audited 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 by the Manager, the Corporate Broker, the
Administrator and Corporate Secretary and the 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, the Administrator and Corporate Secretary and the
Registrar which have their own internal audit and risk assessment functions.
Further reports are received from the Administrator in respect of compliance,
LSE continuing obligations and other matters. The reports received during the
year were reviewed by the Board. No material adverse findings were identified
in these reports.
International Tax Reporting
For the 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”). The
Company made its latest report for CRS to the Director of the Revenue Service
on 27 June 2024.
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 Chair and other Directors are
available to meet Shareholders, with a number of such meetings taking place
during the year and subsequent to the financial year end. The Company provides
weekly estimates of NAV, month end estimates and 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.
In accordance with the AIC Code, 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
Shareholders’ 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 20 per cent or more
votes against it.
Significant Shareholders
As at 21 March 2025, the following Shareholders had significant shareholdings
in the Company:
% holding
in class
Significant Shareholders
Sterling Shares
Ferlim Nominees Limited 10.7%
Smith & Williamson Nominees Limited 10.3%
BH Macro Limited 9.9%
Rathbone Nominees Limited 7.1%
Nortrust Nominees Limited 6.6%
Lion Nominees Limited 4.8%
Vidacos Nominees Limited 4.8%
Pershing Nominees Limited 4.3%
Cheviot Capital Nominees Limited 4.0%
Vestra Nominees Limited 3.6%
Brewin Nominees Limited 3.3%
% holding
in class
Significant Shareholders
US Dollar Shares
Vidacos Nominees Limited 18.8%
Hero Nominees Limited 13.8%
Euroclear Nominees Limited 13.7%
Aurora Nominees Limited 7.3%
Luna Nominees Limited 6.0%
Lynchwood Nominees Limited 5.2%
Cgwl Nominees Limited 3.8%
Securities Services Nominees Limited 3.3%
Rathbone Nominees Limited 3.2%
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
27 March 2025
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.
The Companies (Guernsey) Law, 2008 requires the Directors to prepare financial
statements for each financial year. They have resolved to prepare the
financial statements in accordance with accounting principles generally
accepted in the United States of America.
The Directors, by law, 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 the going concern basis; 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· each of the Chair’s Statement, the Strategic Report, the
Directors’ Report and the 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, are fair, balanced and understandable and provide 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
Chair
John Le Poidevin
Director
27 March 2025
Directors’ Remuneration Report
31 December 2024
Introduction
An ordinary resolution for the approval of the Directors’ Remuneration
Report in the Company’s Annual Audited Financial Statements for the year
ended 31 December 2023, was passed by the Shareholders at the Annual General
Meeting held on 5 June 2024.
Remuneration policy
A Remuneration and Nomination Committee was established on 17 June 2022. Prior
to this, the Board as a whole considered 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 Chair of the Board is paid a higher fee in recognition of his additional
responsibilities, as are the Chairs of the various Board committees 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 Article 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 5 June 2024, 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. 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 annual Directors’ fees from 1 July 2022 have been:
Role Fee per annum £
Board Chair 90,000
Audit Committee Chair 65,000
Management Engagement Committee Chair 55,000
Remuneration and Nomination Committee Chair 55,000
Senior Independent Director 55,000
All other Directors 50,000
The annual aggregate limit of fees payable to Directors is £800,000 per
annum. The Remuneration and Nomination Committee carried out a review of the
fees at the most recent meeting, held on 10 December 2024, where they
considered the increased workload for directors, inflation in the market for
directors since 1 July 2022 and benchmarking against peer companies. It was
concluded that the current fees would be increased as follows effective 1
January 2025.
Role Fee per annum £
Board Chair 99,000
Audit Committee Chair 69,000
Management Engagement Committee Chair 58,000
Remuneration and Nomination Committee Chair 58,000
Senior Independent Director 59,000
All other Directors 53,000
The fees payable by the Company in respect of each of the Directors who served
during the years ended 31 December 2024 and 31 December 2023 were as follows:
Year ended Year ended
31.12.24 31.12.23
£ £
Richard Horlick 90,000 90,000
Caroline Chan* 55,000 51,586
Julia Chapman 55,000 55,000
Bronwyn Curtis 55,000 55,000
John Le Poidevin 65,000 65,000
Claire Whittet** - 38,801
Total 320,000 355,387
* Caroline Chan was appointed to the Board on 6 December 2022 at a fee of
£50,000 p.a. Following her appointment as Chair of the Remuneration and
Nomination Committee, her fee was increased to £55,000 p.a.
** Claire Whittet retired from the Board on 13 September 2023.
Caroline Chan
Remuneration and Nomination Committee Chair
27 March 2025
Report of the Audit Committee
31 December 2024
We present the Audit Committee’s (the “Committee”) Report for 2024,
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 Bronwyn
Curtis, Julia Chapman and Caroline Chan. Following their appointment later in
2025 it is intended that the newly recruited director to the Board will become
chair of the Audit Committee on the retirement of John Le Poidevin at the 2026
AGM and subsequent to the 2025 financial year end, which will be the first
financial year end of the Company with new auditors. They will shadow John
Le Poidevin and be involved in all key discussions with Ernst & Young LLP as
the Company’s new auditors throughout the remainder of the 2025 financial
year.
Appointment to the Committee is for a period of 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. John Le Poidevin is currently
serving his third term, Bronwyn Curtis and Julia Chapman are serving their
second term and Caroline Chan is serving her 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 2024 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 the 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, integrity 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 (“FRC”) Revised Ethical
Standard 2024 (the “Ethical Standard”). The Committee has also established
policies and procedures for the engagement of the Company’s auditor to
provide audit, assurance and other services.
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 Ethical Standard and 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. During the year the Audit Committee conducted a tender process for
the position of external auditor. The tender process was initiated due to the
current external auditor, KPMG CI, having served since the Company’s initial
listing on the London Stock Exchange, as a result KPMG CI were not invited to
participate in the tender process. The Committee carried out the tender in
line with the requirements of the Financial Reporting Council's Audit
Committees and the External Audit: Minimum Standard (May 2023). Having
considered a number of suitably qualified firms, requests for proposals were
sent to two “Big 4” and one “Challenger” firm, which participated in a
rigorous tender process. KPMG CI will not stand for re-appointment at the 2025
AGM and a motion will be proposed to Shareholders to appoint the successful
candidate, Ernst & Young LLP.
Key Activities in 2024
The following sections discuss the assessment made by the Committee during the
year:
Significant Financial Statement Issues
The Committee’s review of the annual Audited Financial Statements focused on
the following area:
The Company’s investment in the Master Fund had a fair value of US$1,912
million as at 31 December 2024 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 2024 were audited by KPMG Cayman which issued an unqualified audit
opinion dated 27 March 2025. The 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 2024 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 Audited Financial
Statements. Furthermore, the Committee has concluded it appropriate to
continue to prepare the Audited 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 and 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 ended 31 December 2024, 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. There were no significant adverse findings from
the 2024 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 2024 and 31
December 2023.
Year ended Year ended
31.12.24 31.12.23
£ £
Annual audit 73,800 70,200
Interim review 37,275 35,500
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.
FRC Audit Committees and External Audit Minimum Standard
During 2024 the Committee conducted an assessment of compliance with the FRC
Audit Committees and External Audit Minimum Standard, 2023. The Committee was
satisfied that its processes achieved a high level of adherence and where
relevant these standards have been incorporated into its Terms of Reference.
Internal Control
The 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 the Administrator,
consulting where necessary with KPMG CI, and assessing the significant Audited
Financial Statements’ issues noted in the Report of the Audit Committee, the
Committee is satisfied that the Audited Financial Statements appropriately
address the critical judgements and key estimates (both in respect of 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 2024 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 Audited Financial Statements. The Committee confirms
that it is satisfied that the Independent Auditor has fulfilled its
responsibilities with diligence and professional scepticism.
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 Chair
27 March 2025
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 USD shares of the Company appreciated by 4.92% in
2024 and the NAV per share of the GBP shares appreciated by 5.86%.
The month-by-month NAV performance of each currency class of the Company since
it commenced operations in 2007 is set out below.
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
2021 1.21 0.31 0.85 0.16 0.26 (1.47) (0.47) 0.86 0.31 0.14 (0.09) 0.59 2.67
2022 0.74 1.77 5.27 3.80 1.09 0.76 0.12 3.11 2.46 (0.50) (1.09) 2.01 21.17
2023 1.26 (0.30) (4.11) (0.88) (1.54) (0.15) 0.92 0.34 1.08 0.88 (0.40) 1.69 (1.33)
2024 0.24 (3.13) 0.86 (1.05) 0.73 0.87 0.42 (0.60) 4.91 (2.93) 6.56 (1.63) 4.92
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
2021 1.20 0.32 0.81 0.15 0.25 ( 1.50) ( 0.49) 0.87 0.40 0.27 0.00 0.47 2.76
2022 0.94 1.79 5.39 3.86 1.66 1.05 0.15 2.84 2.12 ( 0.40) ( 1.15) 1.88 21.91
2023 1.20 ( 0.28) ( 4.29) ( 0.93) ( 1.61) ( 0.25) 0.90 0.34 1.12 0.86 ( 0.42) 1.69 ( 1.81)
2024 0.36 ( 3.08) 0.98 ( 0.98) 0.76 0.91 0.41 ( 0.55) 5.10 ( 3.10) 7.00 ( 1.63) 5.86
Source: Master Fund NAV data is provided by the administrator of the Master
Fund, State Street Fund Services (Ireland) Limited. The Company’s NAV and
NAV per Share data is provided by the Company’s administrator, Northern
Trust International Fund Administration Services (Guernsey) Limited.
The Company’s NAV per Share % Monthly Change is calculated by BHCM.
The Company’s NAV data is unaudited and net of all investment management and
performance fees and all other fees and expenses payable by the Company. In
addition, the Company’s investment in the Master Fund is subject to an
operational services fee.
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 2024.
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*
This information is given in USD ($)
Rates FX Commodities Credit Equity Digital Assets Discount Management TOTAL
Q1 2024 (3.73) 0.36 0.04 0.01 0.19 1.06 0.00 (2.07)
Q 2 2024 0.27 0.77 0.13 0.04 (0.25) (0.42) 0.00 0.54
Q3 2024 7.05 (2.29) 0.20 (0.61) 0.64 (0.26) 0.00 4.72
Q4 2024 (5.25) 7.54 (0.41) 0.44 (1.63) 1.07 0.00 1.75
2024 (1.94) 6.63 -0.05 (0.10) (1.11) 1.49 0.00 4.92
Data as at 31 December 2024.
Quarterly and YTD figures are calculated by BHCM as at 31 December 2024, based
on performance data for each period provided by the Company’s administrator,
Northern Trust. Figures rounded to two decimal places.
Quarterly and Annual contribution (%) to the performance of the NAV per Share
of the Company’s GBP Shares (net of fees and expenses) by asset class*
This information is given in GBP (£)
Rates FX Commodities Credit Equity Digital Assets Discount Management TOTAL
Q1 2024 (3.79) 0.34 0.04 0.01 0.17 1.07 0.39 (1.78)
Q2 2024 0.25 0.74 0.13 0.04 (0.26) (0.42) 0.21 0.68
Q3 2024 7.10 (2.30) 0.20 (0.61) 0.65 (0.26) 0.17 4.95
Q4 2024 (5.37) 7.63 (0.41) 0.45 (1.64) 1.12 0.21 1.99
2024 (2.10) 6.71 (0.05) (0.09) (1.14) 1.55 0.98 5.86
Data as at 31 December 2024.
Quarterly and YTD figures are calculated by BHCM as at 31 December 2024, 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
“Commodities”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds and CDS
“Equity”: equity markets including indices and other derivatives
“Digital Assets”: crypto-currencies including derivatives
“Discount Management”: buyback activity or shares from treasury
Performance and Economic Outlook Commentary
Coming into the year markets anticipated rate cuts by global central banks,
led primarily by the US Federal Reserve, predicated on the view that the
protracted period of high real yields was starting to have a material cooling
impact on the US economy. This thesis was challenged in February when
non-farm payroll and CPI data releases came in much stronger than expected
causing rates to back up. Focus then shifted towards the potential
for economic slowdown more globally, in economies such as Europe and China as
well as on the increasing growth and inflationary divergence with Japan.
During the second half of the year, global central banks including the
European Central Bank (“ECB”), Bank of England and the Federal Reserve
(“Fed”) started cutting policy rates, while in contrast the Bank of Japan
began tightening. The U.S. elections also created interesting opportunities
for macro trading, including across rates, FX and digital assets.
Looking forward, all the ingredients for an interesting and dynamic macro
environment are in the mix: rapid technological change, geopolitical unrest,
US political realignment, and widely divergent growth and inflation outlooks
across countries.
The US starts the year as the strongest economy in the developed world with
solid growth, a labour market near full-employment, and inflation elevated but
slowly coming down. Risks around that outlook are two-sided and depend
critically on President Trump’s policies on fiscal, trade, immigration, and
regulation. By contrast with the first Trump administration, the incoming team
and Congress is prepared to act immediately on the MAGA agenda.
The Fed cut its policy rate by 100 basis points in 2024 and laid out a
forecast in its last meeting for another 50 basis points of cuts in 2025.
However, with the economy in a good place, there is no urgency one way or
another. For the first time in more than a decade, the Fed does not have to do
anything. Policymakers will be watching developments in Washington carefully.
In Europe, the economic situation appears quite soft and the ECB is expected
to cut interest rates further. China is facing structural headwinds, with
the real estate sector and local governments in a balance-sheet recession.
Policymakers unveiled a series of forceful responses at the end of 2024,
however investors appear unconvinced, with sentiment in the Chinese bond
market suggesting deflation is a significant worry. Furthermore, China will
have to confront an expected aggressive trade, technology, and military agenda
by the Trump administration.
Japan, by contrast, is moving in the opposite direction, pursuing hyper-easy
monetary and fiscal policy in an economy that is overheating. How Japanese
policymakers navigate policy normalisation will likely be another key
question for 2025.
Finally, emerging markets are a heterogeneous mix, ranging from the amazing
success in India to the surprising breakdown in Brazil. With the US pursuing
America First policies and setting US Dollar rates at a relatively high level,
other countries will have to fend for themselves in a relatively hostile
financial and trade environment.
Taking a step back, perhaps the biggest question mark for the global economy
is how the political realignment in the US will affect the global
international order. President Trump has promised to change almost every part
of the post-Cold War international order, starting with trade, defence,
multilateral alliances and human rights.
With this macro landscape of high uncertainty in geopolitics, fiscal and
monetary policy across all regions, markets are likely to be
extremely interesting.
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.
27 March 2025
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 2024, 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 2024, and of
the Company’s financial performance and cash flows for the year then ended;
* are prepared in accordance 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 the FRC Ethical Standard as required by the Crown Dependencies'
Audit Rules and Guidance. 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 2023):
The risk Our response
Valuation of Investment in Brevan Howard Master Fund Limited (the “Master Fund”) $1,911,988,000 (2023: $2,038,614,000) Refer to the Report of the Audit Committee and note 3 accounting policy Basis: The Company, which is a multi-class feeder fund, had invested 96.35% (2023: 98.27%) of its net assets at 31 December 2024 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 independent 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 detailing 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;
Assessed the audit work performed by the auditor of the Master Fund by gaining insight over the work performed on the significant elements of the Master Fund’s net asset
value and by holding discussions on key audit findings with the auditor of the Master Fund; and 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 £29,200,000,
determined with reference to a benchmark of net assets of $1,984,343,000, of
which it represents approximately 1.5% (2023: 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% (2023: 75%) of materiality for the financial
statements as a whole, which equates to $21,900,000. 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 $1,460,000, 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 outcome of the share class closure resolution.
We considered whether these risks could plausibly affect the liquidity 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 sector
experience and through discussion with management (as required by auditing
standards), and from inspection of the Company’s regulatory and legal
correspondence, if any, 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 risks 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, 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.
Deborah SmithFor and on behalf of KPMG Channel Islands LimitedChartered
Accountants and Recognised AuditorsGuernsey 27 March 2025
Audited Statement of Assets and Liabilities
As at 31 December 2024
31.12.24 US$'000 31.12.23 US$'000
Assets
Investment in the Master Fund (note 3) 1,911,988 2,038,614
Master Fund redemption proceeds receivable 45,111 20,697
Prepaid expenses 31 47
Cash and bank balances denominated in Sterling 42,122 18,367
Cash and bank balances denominated in US Dollars 3,111 1,284
Total assets 2,002,363 2,079,009
Liabilities
Performance fees payable (note 4) 14,536 2
Management fees payable (note 4) 2,667 2,771
Purchase of shares into treasury payable 498 1,477
Accrued expenses and other liabilities 164 148
Administration fees payable (note 4) 155 80
Total liabilities 18,020 4,478
Net assets 1,984,343 2,074,531
Number of shares in issue (note 5)
Sterling shares 342,211,496 372,024,149
US Dollar shares 27,478,960 29,856,472
Net asset value per share (notes 7 and 9)
Sterling shares £4.35 £4.11
US Dollar shares US$4.48 US$4.27
See accompanying Notes to the Audited Financial Statements.
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
27 March 2025
Audited Statement of Operations
For the year ended 31 December 2024
01.01.24 01.01.23
to 31.12.24 to 31.12.23
US$'000 US$'000
Net investment gain allocated from the Master Fund
Interest income 111,463 99,983
Dividend and other income (net of withholding tax:
31 December 2024: US$100,043; 31 December 2023: US$94,653) 13,879 5,176
Expenses (92,649) (91,827)
Net investment gain allocated from the Master Fund 32,693 13,332
Company income
Bank interest income 825 792
Foreign exchange gains (note 3) - 108,508
Total Company income 825 109,300
Company expenses
Performance fees (note 4) 14,819 2
Management fees (note 4) 29,967 29,579
Other expenses 886 969
Directors' fees 409 442
Administration fees (note 4) 307 303
Foreign exchange losses (note 3) 34,544 -
Total Company expenses 80,932 31,295
Net investment (loss)/gain (47,414) 91,337
Net realised and unrealised gain/(loss) on investments allocated from the Master Fund
Net realised gain on investments 44,345 188,681
Net unrealised gain/(loss) on investments 61,300 (213,524)
Net realised and unrealised gain/(loss) on investments allocated from the Master Fund 105,645 (24,843)
Net increase in net assets resulting from operations 58,231 66,494
See accompanying Notes to the Audited Financial Statements.
Audited Statement of Changes in Net Assets
For the year ended December 2024
01.01.24 to 31.12.24 US$'000 01.01.23 to 31.12.23 US$'000
Net increase in net assets resulting from operations
Net investment (loss)/gain (47,414) 91,337
Net realised gain on investments allocated from the Master Fund 44,345 188,681
Net unrealised gain/(loss) on investments allocated from the Master Fund 61,300 (213,524)
58,231 66,494
Share capital transactions
Issue of new shares
Sterling shares - 379,021
US Dollar shares - 3,336
Share issue costs
Sterling shares - (7,761)
US Dollar shares - (67)
Purchase of shares into treasury
Sterling shares (148,419) (6,940)
US Dollar shares - -
Total share capital transactions (148,419) 367,589
Net (decrease)/increase in net assets (90,188) 434,083
Net assets at the beginning of the year 2,074,531 1,640,448
Net assets at the end of the year 1,984,343 2,074,531
See accompanying Notes to the Audited Financial Statements.
Audited Statement of Cash Flows
For the year ended 31 December 2024
01.01.24 to 31.12.24 US$'000 01.01.23 to 31.12.23 US$'000
Cash flows from operating activities
Net increase in net assets resulting from operations 58,231 66,494
Adjustments to reconcile net increase in net assets resulting from
operations to net cash generated from/(used in) operating activities:
Net investment gain allocated from the Master Fund (32,693) (13,332)
Net realised gain on investments allocated from the Master Fund (44,345) (188,681)
Net unrealised (gain)/loss on investments allocated from the Master Fund (61,300) 213,524
Purchase of investment in the Master Fund - (365,214)
Proceeds from sale of investment in the Master Fund 205,961 101,862
Foreign exchange losses/(gains) 34,544 (108,508)
Decrease/(increase) in prepaid expenses 16 (4)
Increase/(decrease) in performance fees payable 14,534 (62,259)
Decrease in management fees payable (104) (1,453)
Increase/(decrease) in accrued expenses and other liabilities 16 (68)
Decrease in Directors' fees payable - (14)
Increase in administration fees payable 75 14
Net cash generated from/(used in) operating activities 174,935 (357,639)
Cash flows from financing activities
Purchase of own shares into treasury (149,398) (5,463)
Proceeds from share issue - 382,357
Share issue costs - (7,828)
Net cash (used in)/generated from financing activities (149,398) 369,066
Change in cash 25,537 11,427
Cash, beginning of the year 19,651 7,910
Effect of exchange rate fluctuations 45 314
Cash, end of the year 45,233 19,651
Cash, end of the year
Cash and bank balances denominated in Sterling 1 42,122 18,367
Cash and bank balances denominated in US Dollars 3,111 1,284
45,233 19,651
Supplemental disclosure of non-cash financing activities
1 Cash and bank balances in Sterling (GBP'000) 33,664 14,408
See accompanying Notes to the Audited Financial Statements.
Notes to the Audited Financial Statements
For the year ended 31 December 2024
1. The Company
BH Macro Limited (the “Company”) is a limited liability closed-ended
investment company which was incorporated in Guernsey on 17 January 2007 and
admitted to the Official List of the London Stock Exchange (“LSE”) later
that year.
The Company’s 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 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 four 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, other funds
managed by the Manager invest some of their assets in the Master Fund as at
the date of these Audited 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 Audited 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, Brevan Howard (Tel Aviv) Limited and BH-DG Systematic Trading LLP.
In order to reflect the increased investment of the Company in the Master Fund
as a result of the Initial Issue in Q1 2023, the Company and the Manager
agreed to a number of amendments to the Management Agreement, including the
terms on which the Company’s investment in the Master Fund could be redeemed
in order to provide the Manager with more operational certainty regarding the
Company’s investment in the Master Fund. Certain of these changes, which did
not require Shareholder approval, were as follows:
The Company will ordinarily be required to provide 12 months’ notice of the
redemption of all or some of its investment in the Master Fund, except as may
be required to fund the Company’s specific working capital requirements and,
up to a maximum amount equal to five per cent of each class of the Company’s
holding of Master Fund shares every month, to finance on-market share
buybacks. As such, any redemption of all or part of the Company’s investment
in the Master Fund on a winding up of the Company or to finance a tender offer
or a class closure resolution will be required to be on 12 months’ notice.
In those cases, the Company would only receive the proceeds of redemption from
the Master Fund (and, therefore, Shareholders would only receive payment from
the Company) after the redemption date at the end of the 12-month notice
period and the Company (and, therefore, Shareholders) would remain exposed to
the investment performance of the Master Fund in the intervening period to
that redemption date.
In other changes to the Management Agreement, the circumstances in which the
Company can terminate the Management Agreement and redeem its investment in
the Master Fund on less than 12 months’ notice includes certain “cause”
events affecting the Manager, in which case the Company would be entitled to
terminate the Management Agreement on 90 days’ notice and redeem its
investment in the Master Fund on three months’ notice.
The annual buyback allowance fee arrangements introduced in 2021 will continue
to apply in respect of repurchases and redemptions by the Company of its
shares of each class in excess of a number equal to five per cent of shares in
issue of the relevant class at the end of the prior calendar year.
Notwithstanding this fact, on 14 June 2024, the Company and Manager agreed
that for the calendar year of 2024 only, the Management Agreement was treated
as amended to provide that the annual buyback allowance in respect of the
Sterling share class for the calendar year ending 31 December 2024 would be
equal in aggregate to 32,175,157 Sterling shares, being equal to 8.65 per cent
of the number of Sterling shares in issue at 31 December 2023, disregarding
any shares held in treasury. The parties also agreed that the foregoing would
not alter the annual buyback allowance in respect of the Sterling share class
for any subsequent calendar year. See also note 8 for further details
relating to redemptions from the Master Fund for discount management
mechanisms.
3. Significant accounting policies
These Audited Financial Statements, which give a true and fair view, are
prepared in accordance 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.
The Board continues to monitor the ongoing impact of various geopolitical
events but has concluded that the biggest threat to the Company remains the
failure of a key service provider to maintain business continuity and
resiliency. The Board has assessed the measures in place by key service
providers to maintain 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 geopolitical events and the Board
is confident that these events have not impacted the going concern assessment
of the Company.
Results of the February 2025 class closure resolutions are discussed in note
8.
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 2024, the
Company was the sole investor in the Master Fund’s ordinary Sterling and US
Dollar Class B shares as disclosed in the table below. Within the table below,
the Company’s 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 2024
Sterling 14.95% £7,101.86 201,713 £1,432,534 1,792,458
US Dollar 1.00% US$7,126.07 16,772 US$119,530 119,530
1,911,988
31 December 2023
Sterling 15.58% £6,614.07 226,847 £1,500,386 1,912,542
US Dollar 1.03% US$6,620.65 19,041 US$126,072 126,072
2,038,614
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 the Audited Financial Statements in accordance 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
these Audited 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 buybacks, 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 the reporting date. The share capital and other
capital reserves are translated at the historic rate 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 Audited Statement of Operations’
items of the Sterling share class are converted into US Dollars using the
average exchange rate. Exchange differences arising on translation are
included in foreign exchange gains or losses 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 or 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.
Where such shares have been subsequently sold or reissued to the market, any
consideration received, net of any directly attributable incremental
transaction costs, is 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 5 for details of sales of shares from treasury or purchases by
the Company of its share capital.
4. Management Agreement and administration agreement Management fee and
performance fee
The Company has entered into the Management Agreement with the Manager to
manage the Company’s investment portfolio. The Management Fee charged to 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. Effective from 1 July 2021, the Management
Fee charged was 1/12 of 1.5% 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 Master Fund NAV, attributable to the Company’s investment in
the Master Fund. On 23 January 2023, the Management Agreement between the
Company and the Manager was amended. Please see note 2 for further
information.
During the year ended 31 December 2024, US$29,966,995 (year ended 31 December
2023: US$29,579,495) was earned by the Manager as net Management Fees. At 31
December 2024, US$2,667,015 (31 December 2023: US$2,770,618) of the
Management 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 2024, US$14,819,110 (year
ended 31 December 2023: US$2,326) was earned by the Manager as performance
fees. At 31 December 2024, US$14,536,362 (31 December 2023: US$2,340) 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 notice period for termination of the Management Agreement without cause by
either the Company or the Manager is 12 months. The Management Agreement was
amended on 23 January 2023. See note 2 for further details.
Administration fee
The Company has appointed Northern Trust International Fund Administration
Services (Guernsey) Limited as its administrator and corporate secretary (the
“Administrator” and “Corporate Secretary”) pursuant to an
administration agreement. 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 2023: £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 2024,
US$307,365 (year ended 31 December 2023: US$303,372) was earned by the
Administrator as administration fees. The amounts outstanding are disclosed on
the Audited Statement of Assets and Liabilities.
5. Share capital
Issued and authorised share capital
The Company has the power to issue an unlimited number of ordinary shares with
no-par value and an unlimited number of shares with a par value. Shares may be
divided into at least two classes denominated in Sterling and US Dollars.
Further issues of shares may be made in accordance with the Articles of
Incorporation (the “Articles”). Shares may be issued in differing currency
classes of ordinary redeemable shares. The following tables show the movement
in ordinary shares.
For the year ended 31 December 2024
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2024 372,024,149 29,856,472
Share conversions 1,927,480 (2,377,512)
Purchase of shares into Treasury (31,740,133) -
In issue at 31 December 2024 342,211,496 27,478,960
Number of treasury shares
In issue at 1 January 2024 1,504,277 -
Shares purchased and held in Treasury during the year:
On market purchases* 31,740,133 -
In issue at 31 December 2024 33,244,410 -
Percentage of class 8.85% -
*On market purchases for the year ended 31 December 2024.
Number of shares Cost
Treasury shares purchased Cost (US$) (in currency)
US Dollar shares - - -
Sterling shares 31,740,133 148,418,885 £115,985,967
For the year ended 31 December 2023
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2023 30,156,454 2,858,135
Share conversions (717,994) 884,077
Net issue of new shares from Share Sub- Division 271,711,966 25,367,860
Issue of new shares 72,378,000 746,400
Purchase of shares into treasury (1,504,277) -
In issue at 31 December 2023 372,024,149 29,856,472
Number of treasury shares
In issue at 1 January 2023 - -
On market purchases* 1,504,277 -
In issue at 31 December 2023 1,504,277 -
Percentage of class 0.40% -
*On market purchases in the year ended 31 December 2023.
Numbers of shares Cost (in
Treasury shares purchased Cost (US$) currency)
US Dollar shares - - -
Sterling shares 1,504,277 6,939,943 £5,457,432
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 sharesOrdinary 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.
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. At the Annual General Meeting held on 5 June 2024, Shareholders
approved a Special Resolution that authorised the maximum number of shares
that may be purchased on-market by the Company until the next Annual General
Meeting, being 53,804,834 Sterling shares and 4,416,869 US Dollar shares.
Further issue of shares
As described in the Directors’ Report, on 13 February 2023, a total of
72,378,000 Sterling shares and 746,400 US Dollar shares were issued in the
Initial Issue at a price per share equal, respectively, to 431.5 pence per
Sterling share and US$4.47 per US Dollar share, raising gross proceeds of
approximately £315 million (based on a US Dollar/Sterling Fx spot rate of
1.2113 being the prevailing rate as at 3.00 p.m. on 10 February 2023). Costs
attributed to the Initial Issue and the related share sub-division were
US$7,773,233.
As approved by the Shareholders at the Annual General Meeting held on 5 June
2024, the Directors have the power to issue further shares totalling
119,634,098 Sterling shares and 9,820,829 US Dollar shares, respectively. This
power is due to expire 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 was 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 Fee and performance fees.
Treasury shares are not entitled to distributions. During the year ended 31
December 2024, the Company purchased 31,740,133 (31 December 2023: 1,504,277)
Sterling share class to be held in Treasury. 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 expenses 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 remainder of the
year.
7. Publication and calculation of the Company’s 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. See note 2
for further details regarding the Company’s annual buyback allowance and the
2024 arrangements agreed with the Manager.
Market purchases
Subject to the authority granted by Shareholders at the 2023 AGM and
subsequently, the 2024 AGM (see note 5), from December 2023, market purchases
by the Company of the Sterling share class have resumed, due to the class
trading at a discount.
Under the terms of the Management Agreement, the Company may, on one month’s
notice, redeem up to 5 per cent of its shares of each class in the Master
Fund, in order to fund buybacks. On 17 June 2024, the Board announced that the
Sterling share class annual buyback allowance for the financial year 2024 had
been increased by an amount equal to the unused allowance for the financial
year 2023, allowing the Board to repurchase an additional c.16.3 million
shares during the financial year ending December 2024. As such, the additional
allowance is not subject to the 2 per cent fee, payable to the Manager, which
would otherwise be applied to the Company’s share buybacks over the normal 5
per cent allowance.
Please see note 5 for details of shares purchased and held in Treasury.
Annual offer of partial return of capital
Under the Company’s Articles, 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 determine, provided that the maximum amount distributed does 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 are to be returned.
The Company is entitled to redeem upon three months’ notice, no more than
once per year, a portion of its interest in the Master Fund representing up to
10 per cent of each class of the Company’s holding of Master Fund shares as
at the date of the relevant redemption request in connection with any such
offer of a partial capital return of capital which is approved by the
Directors.
The decision to make a partial return of capital in any particular year and
the amount of the return depend, 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 discount to NAV for the Sterling shares and US Dollar shares for
the year ended 31 December 2024 were 11.24% and 10.99% respectively and
consequently class closure votes were called for both share classes as set out
in the circular to Shareholders dated 29 January 2025. Following the Sterling
class closure meeting on 18 February 2025 it was announced that the Sterling
shareholders had defeated the class closure resolution, with 98.22% of votes
received against closure. It was also announced that the US Dollar class
closure meeting of the same date was inquorate, and the meeting was postponed
to 25 February 2025. The US Dollar class closure meeting on 25 February 2025
was quorate, with 99.86% of votes received against closure.
The average discount to NAV for the Sterling shares and US Dollar shares for
the year ended 31 December 2023 were 3.27% and 2.46% respectively.
The arrangements for class closure meetings 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 2024 and other
performance information derived from the Audited 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.
31.12.24 Sterling shares £ 31.12.24 US Dollar shares US$
Per share operating performance
Net asset value at beginning of the year 4.11 4.27
Income from investment operations
Net investment loss 2 (0.03) (0.03)
Net realised and unrealised gain on investment 0.23 0.24
Other capital items 3 0.04 -
Total gain 0.24 0.21
Net asset value, end of the year 4.35 4.48
Total gain before performance fees 6.59% 5.86%
Performance fees (0.73%) (0.94%)
Total gain after performance fees 5.86% 4.92%
Total gain reflects the net gain 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 2024 to 31 December 2024. An individual
Shareholder’s gain may vary from these gains based on the timing of their
purchase or sale of shares.
31.12.24 Sterling shares £'000 31.12.24 US Dollar shares US$'000
Supplemental data
Net asset value, end of the year 1,487,501 123,111
Average net asset value for the year 1,463,916 121,860
31.12.24 Sterling shares 31.12.24 US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses 4 1.59% 1.57%
Master Fund expenses 5 1.07% 1.07%
Master Fund interest expenses 6 3.58% 3.55%
Performance fees 0.74% 0.87%
6.98% 7.06%
Net investment gain before performance fees 2 0.10% 0.12%
Net investment loss after performance fees 2 (0.64%) (0.75%)
31.12.23 Sterling shares £ 31.12.23 US Dollar shares US$
Per share operating performance
Net asset value at beginning of the year 1 4.18 4.33
Income from investment operations
Net investment loss 2 (0.04) (0.01)
Net realised and unrealised (loss)/gain on investment (0.08) 0.01
Other capital items 3 0.05 (0.06)
Total loss (0.07) (0.06)
Net asset value, end of the year 4.11 4.27
Total loss before performance fees (1.81%) (1.33%)
Total loss after performance fees (1.81%) (1.33%)
Total loss reflects the net loss 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 2023 to 31 December 2023. An individual
Shareholder’s return may vary from these losses based on the timing of their
purchase or sale of shares.
31.12.23 Sterling shares £'000 31.12.23 US Dollar shares US$'000
Supplemental data
Net asset value, end of the year 1,527,458 127,482
Average net asset value for the year 1,485,598 122,970
31.12.23 Sterling shares 31.12.23 US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses 4 1.59% 1.57%
Master Fund expenses 5 1.41% 0.83%
Master Fund interest expenses 6 3.28% 3.32%
Performance fees - -
6.28% 5.72%
Net investment loss before performance fees 2 (0.91% ) (0.22% )
Net investment loss after performance fees 2 (0.91% ) (0.22% )
Notes
1 For illustrative purposes, the Net Asset Value at the beginning of 2023
is adjusted by a factor of 10 to reflect the 10 for 1 share sub-division,
which was approved at the EGM held on 6 February 2023, with dealings
commencing on 7 February 2023. The rest of Net Asset Values are not adjusted
by a factor of 10 reflect in order to reflect the factual numbers audited in
previous financial statements.
2 The net investment gain and loss figures disclosed above do not include net
realised and unrealised gains/losses on investments allocated from the Master
Fund.
3 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.
4 Company expenses are as disclosed in the Audited Statement of Operations
excluding the performance fee and foreign exchange gains/losses.
5 Master Fund expenses are the operating expenses of the Master Fund
excluding the interest and dividend expenses of the Master Fund.
6 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.
The management fees, performance fees and administration fees are disclosed in
note 4. Details of the amended Management Agreement can be found in note 2.
The annual Directors’ fees from 1 July 2022 have been:
Role Fee per annum £
Board Chair 90,000
Audit Committee Chair 65,000
Management Engagement Committee Chair 55,000
Remuneration and Nomination Committee Chair 55,000
Senior Independent Director 55,000
All other Directors 50,000
As discussed in the Directors’ Remuneration report the Directors’ fees
increased as follows effective 1 January 2025:
Role Fee per annum £
Board Chair 99,000
Audit Committee Chair 69,000
Management Engagement Committee Chair 58,000
Remuneration and Nomination Committee Chair 58,000
Senior Independent Director 59,000
All other Directors 53,000
The fees payable by the Company in respect of each of the Directors who served
during the year ended 31 December 2024, and the year ended 31 December 2023
were as follows:
Year ended Year ended
31.12.24 31.12.23
£ £
Richard Horlick 90,000 90,000
Caroline Chan* 55,000 51,586
Julia Chapman 55,000 55,000
Bronwyn Curtis 55,000 55,000
John Le Poidevin 65,000 65,000
Claire Whittet** - 38,801
Total 320,000 355,387
* Caroline Chan was appointed to the Board on 6 December 2022 at a fee of
£50,000 p.a. Following her appointment as Chair of the Remuneration and
Nomination Committee, her fee was increased to £55,000 p.a.
** Claire Whittet retired from the Board on 13 September 2023.
The annual aggregate limit of fees payable to Directors is £800,000 per
annum.
The Directors had the following interests in the Company, held either directly
or beneficially:
Sterling Shares
31.12.24 31.12.23
Richard Horlick 200,000 200,000
Caroline Chan 11,587 11,587
Julia Chapman 6,260 6,260
Bronwyn Curtis 33,173 33,174
John Le Poidevin 116,940 75,620
US Dollar Shares
31.12.24 31.12.23
Richard Horlick 20,000 20,000
Caroline Chan Nil Nil
Julia Chapman Nil Nil
Bronwyn Curtis Nil Nil
John Le Poidevin Nil Nil
11. Subsequent events On 3 January 2025, the Company completed the share
conversion for the 30 November 2024 share conversion date, issuing 47,902
Sterling shares and cancelling 59,187 US Dollar shares. On 3 February 2025,
the Company completed the share conversion for the 31 December 2024 share
conversion date, issuing 236,903 Sterling shares and cancelling 287,687 US
Dollar shares. The Company suspended the share conversion for the 31 January
2025 share conversion date because class closure meetings for the Sterling and
US Dollar shares were triggered. Following the outcome of the class closure
meetings held in February 2025, the share conversion mechanism recommenced for
the 28 February 2025 share conversion date.
The Company made the following purchases of ordinary shares to be held in
Treasury:
Sterling Class shares
Month Number of Highest Price point Lowest Price point
shares bought
£ £
January 2025 639,275 4.12 3.82
February 2025 1,799,545 3.93 3.82
March 2025* 2,008,823 3.85 3.73
Total 4,447,643
* Until 21 March 2025
The Directors have evaluated subsequent events up to 27 March 2025, which is
the date that the Audited Financial Statements were approved and available to
be issued and have concluded there are no further items that require
disclosure or adjustment to the Audited Financial Statements.
Historic Performance SummaryAs at 31 December 2024
31.12.24 US$'000 31.12.23 US$'000 31.12.22 US$'000 31.12.21 US$'000 31.12.20 US$'000
Net increase in net assets resulting from operations 58,231 66,494 112,078 12,010 181,533
Total assets 2,002,363 2,079,009 1,707,130 1,307,490 802,224
Total liabilities (18,020) (4,478) (66,682) (9,762) (41,055)
Net assets 1,984,343 2,074,531 1,640,448 1,297,728 761,169
Number of shares in issue
Sterling shares 342,211,496 372,024,149 30,156,454* 25,864,663* 15,009,868*
US Dollar shares 27,478,960 29,856,472 2,858,135* 2,689,547* 2,191,379*
Net asset value per share
Sterling shares £4.35 £4.11 £41.81* £34.30* £33.38*
US Dollar shares US$4.48 US$4.27 US$43.28* US$35.71* US$34.78*
* The Number of Shares In Issue and Net Asset Value Per Share prior to 31
December 2023 are not adjusted by a factor of 10 to reflect the 10 for 1 share
sub-division approved at the EGM held on 6 February 2023.
Affirmation of the Commodity Pool OperatorAs at 31 December 2024
To the best of my knowledge and belief, the information detailed in these
Audited Financial Statements is accurate and complete.
Name: Madhukar Dayal
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
27 March 2025
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 Discount to NAV
The average 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 relevant 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 year; and
* ‘B’ is the average NAV per share of the shares of the relevant share
class taken over the 12 month-end NAV Calculation Dates in the year ended 31
December 2024 calculated as the sum of the final NAV of the share class as at
each month-end NAV Calculation Date during the year ended 31 December 2024,
divided by 12.
Discount
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 of the
relevant share class 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 buybacks,
where appropriate. The discount is shown below.
Sterling Shares US Dollar Shares
31.12.24 31.12.23 31.12.24 31.12.23
Share Price at Year End (A) £4.06 £3.67 US$4.17 US$3.77
NAV per Share (B) £4.35 £4.11 US$4.48 US$4.27
Discount to NAV (A- B)/B (6.67%) (10.71%) (6.92%) (11.71%)
Gain/(loss) Per Share
Gain/(loss) per share is calculated using the net gain/(loss) on ordinary
activities finance costs and taxation (year ended 31 December 2024: a gain of
£68,166,209 and a gain of US$5,680,548; year ended 31 December 2023: a loss
of £32,535,028 and a loss of US$1,540,012), divided by the weighted average
number of shares in issue (year ended 31 December 2024: 380,616,423 Sterling
shares and 28,572,373 US Dollar shares, year ended 31 December 2023:
353,094,861 Sterling shares and 28,097,148 US Dollar shares).
The 10 for 1 share sub-division approved at the EGM held on 6 February 2023
has been applied throughout the year for the 2023 weighted average share
figures.
The Directors also regard gain/(loss) per share to be a key indicator of
performance. The gain/(loss) per share is shown in the Strategic Report.
Year ended 31.12.24 Year ended 31.12.23
Per share '000 Per share '000
Net total gain/(loss) for Sterling shares 17.91p £68,166 (9.21p) (£32,535)
Net total gain/(loss) for US Dollar shares 19.88c US$5,681 (5.48c) (US$1,540)
Ongoing Charges
The Ongoing Charges are calculated using the AIC Ongoing Charges methodology,
which was last updated in April 2022 and is available on the AIC website
(theaic.co.uk). 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 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:
Year ended Year ended Year ended Year ended
31.12.24 31.12.23 31.12.24 31.12.23
Average NAV for the year (A) £1,463,916,101 £1,485,598,348 US$121,859,568 US$122,970,362
Management Fee £22,022,232 £22,297,675 US$1,833,616 US$1,846,781
Other Company expenses £1,190,495 £1,309,986 US$79,940 US$84,979
Total Company Expenses £23,212,727 £23,607,661 US$1,913,556 US$1,931,760
Expenses allocated from the Master Fund £9,161,315 £8,445,240 US$758,658 US$703,225
Performance Fee £10,771,912 £471 US$1,058,004 US$1,740
Total Expenses (B) £43,145,954 £32,053,372 US$3,730,218 US$2,636,725
Ongoing Charges (B/A) 2.95% 2.16% 3.06% 2.14%
The NAV
The NAV is the net assets of the Company attributable to Shareholders, that
is, total assets less total liabilities, expressed as an amount per individual
share of the relevant class of shares.
Company Information Directors
Richard Horlick (Chair)
Caroline Chan
Julia Chapman
Bronwyn Curtis
John Le Poidevin
(All Directors are non-executive and independent for the purpose of UKLR
11.2.12)
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
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 Advisor (Guernsey Law)
Carey Olsen
Carey House
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 4BZ
Legal Advisor (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
For the latest information
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