REG-BH Macro Limited: Interim Report and Unaudited Financial Statements 2024
13/09/2024 18:30
BH Macro Limited
Interim Report and Unaudited Financial Statements 2024
LEI: 549300ZOFF0Z2CM87C29
(Classified Regulated Information, under DTR 6 Annex 1 section 1.2)
The Company has today, in accordance with DTR 6.3.5, released its Interim
Report and Unaudited Financial Statements for the period ended 30 June 2024.
The Report will shortly be available from the Company’s website:
www.bhmacro.com.
Chair’s Statement
Although we are far from alone in the closed-ended fund sector, 2024 remains a
challenging year for BH Macro Limited (the “Company”) on three fronts:
• Firstly, whilst investment returns have been within the expected range
they remain slightly negative in the six month period to 30 June 2024 and this
has been magnified by the relative returns of other assets until very
recently. The Board retains the utmost confidence in Brevan Howard Capital
Management LP (the “Manager”) and the strategy of Brevan Howard Master
Fund Limited (the “Master Fund”), both of which the Board continues to
monitor closely.
• Secondly, whilst the discount in the prices of both the Sterling and US
Dollar share classes to Net Asset Value (“NAV”) per share have narrowed
compared to the discounts seen last year, the respective discounts remain at
levels that the Board and of course shareholders (the “Shareholders”)
would like to see narrow further. The Board has continued with its buyback
programme and to liaise closely with our major shareholders, in particular the
merged Rathbones-Investec entity. Earlier this year, the Company and the
Manager agreed to increase the annual buyback allowance for buybacks and
redemptions for the Sterling shares class (the “Annual Buyback Allowance”)
for 2024. The usual 2024 Annual Buyback Allowance (being 5% of the issued
Sterling shares at the end of 2023 (excluding treasury shares)) was increased
by an amount equal to the Sterling share class’s unused 2023 Annual Buyback
Allowance (i.e., approximately 16.3 million Sterling shares). This has
increased the total amount available for Sterling share buybacks in 2024
before the Company incurs a fee of 2% (of the price paid by the Company),
payable to the Manager, on any buybacks it makes in excess of the increased
Annual Allowance.
• Thirdly, the entire closed-ended fund sector is subject to greater
pressure than at any other time in my more than 40 years experience of it. The
concentration of shareholder registers, the concentration of the wealth
management market, the levels of discount to NAV per share and the regulatory
pressure on fee disclosure have contributed to a very difficult background for
the entire sector. As a Board, we are focusing on effective buybacks and
working with Kepler and JP Morgan to expand the investor base, particularly in
the retail market.
NAV per share performance in the six-month period to 30 June 2024 has been
slightly negative, being -1.10% for the Sterling share class and -1.54% for
the US Dollar share class. The discount at which the Company’s two share
classes traded to NAV continued to narrow during the period to 30 June 2024,
assisted by the Company’s share buyback programme that was initiated in
December 2023. The discount narrowed from 10.71% (as at 31 December 2023) to
8.62% (as at 30 June 2024) for the Sterling share class, and similarly from
11.71% (as at 31 December 2023) to 9.29% (as at 30 June 2024) for the US
Dollar share class.
The Board has maintained regular dialogue with the Manager in order to assure
itself of the quality of the investment team and supporting systems,
operations and infrastructure across the organisation. The Company and the
Manager have continued to pursue an active programme of public communication
and investor relations and have held investor webinars and meetings with many
key shareholders in the period. Up-to-date performance information is provided
through NAV per share data published monthly on a ‘final’ basis, after
being published on an estimated basis in both weekly and monthly reports, and
through monthly Shareholder performance reports. All these reports and further
information about the Company are available on the Company’s website
(www.bhmacro.com).
The Board remains wholly independent of the Brevan Howard group of companies.
The Directors are very closely focused on safeguarding the interests of
shareholders and believe 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 remain in compliance with all current
regulations and recommendations relating to board composition.
The geopolitical background remains particularly concerning. In the US,
President Biden withdrawing from the 2024 presidential election race and the
assassination attempt on (former) President Trump appear to have amplified
already deep divisions. The situation in the Middle East shows no signs of
abating and, despite the prisoner exchange with Russia, tensions remain high
in Europe. It remains difficult to see how the war in the Ukraine can be
satisfactorily concluded. In the UK, Labour won a huge electoral majority in
terms of seats and the early days of the new UK government have heralded the
announcement of an “unexpected black hole” in public finances, which may
be used to justify a range of potential tax increases coupled with significant
settlements in public sector pay. Whether this paves the way for the
foundations of a growth economy as claimed or merely increases inflation with
continued slowing of productivity in the public sector remains to be seen.
However, all these factors and many others contribute to a time of volatility
and uncertainty.
The Board remains convinced of the value of the Company and its strategy and
the quality of the Manager and look forward to delivering the highly
diversifying positive returns, which the Company has delivered time and again
over the past 17 years.
Richard Horlick
Chair
13 September 2024
Board Members
The Directors of the Company during the period 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 non-executive member of the Oversight Board
of the UK Office for Budget Responsibility, 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.
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 Sustainable Energy Opportunities 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
Directors’ Report
30 June 2024
The Directors submit their Interim Report together with the Company’s
Unaudited Statement of Assets and Liabilities, Unaudited Statement of
Operations, Unaudited Statement of Changes in Net Assets, Unaudited Statement
of Cash Flows and the related notes for the period ended 30 June 2024. The
Directors’ Report together with the Interim Unaudited 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’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 buy-backs, satisfying working capital requirements or financing further
investment into the Master Fund, subject to an aggregate borrowing limit of
20% of the Company’s NAV, calculated as at the time of borrowing. Borrowing
by the Company is in addition to leverage at the Master Fund level, which has
no limit on its own leverage.
Results and Dividends
The results for the year are set out in the Unaudited Statement of Operations.
The Directors do not recommend the payment of a dividend.
Share Capital
On 23 January 2023, the Board announced the commencement of its initial issue
(the “Initial Issue”), comprising of the 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
issue of circular for an EGM, which was held on 6 February 2023, in relation
to the Initial Issue, Issuance Programme and share sub-division; and details
of amendments to the Management Agreement, including terms of the Company's
investment in the Master Fund, in order to reflect the increased investment of
the Company in the Master Fund as a result of the Initial Issue and the
Issuance Programme. Further details are disclosed in note 5 of these Interim
Unaudited Financial Statements.
On 6 February 2023, following the EGM, the Company announced that (i) the
Board was empowered to allot and issue, in aggregate, up to 220 million new
shares of no par value in the Company designated as Sterling shares or US
Dollar shares, as if the pre-emption provisions of the Company’s articles of
incorporation (“Articles”) did not apply; and (ii) each existing share
would be sub-divided into 10 shares of the same currency class and with the
same rights and subject to the same restrictions as the then existing shares
of the same currency class, in the capital of the Company, with the
sub-divided shares to be admitted to listing the following day. These
resolutions superseded the relevant resolutions adopted at the 2022 Annual
General Meeting.
On 13 February 2023, the completion of the Initial Issue 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.
Since 13 December 2023 to 30 June 2024, the Company has bought back 18,208,099
Sterling class shares on the London Stock Exchange with prices ranging from
£3.28 to £3.68 per share. The Company did not buy-back any US Dollar class
shares in the period. The repurchased shares are held in Treasury.
The number of shares in issue at the period end is disclosed in note 5 of the
Interim Unaudited Financial Statements.
Going Concern
The Directors, having considered the Principal and Emerging Risks and
Uncertainties to which the Company is exposed, which are listed on
Directors’ Report and on the assumption that these are managed or mitigated
as noted, are not aware of any material uncertainties which may cast
significant doubt upon the Company’s ability to continue as a going concern
and, accordingly, consider that it is appropriate that the Company continues
to adopt the going concern basis of accounting for these Interim Unaudited
Financial Statements.
The Board continues to monitor the ongoing impact of various geopolitical
events, including economic volatility, recessionary risks and the ongoing
conflicts in Ukraine and the Middle East. 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 buy-back 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 traded during the period. All share buy backs 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 has temporarily waived the redemption
fee on buy-backs that would normally apply 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 are no additional
charges for effecting these buy backs other than the transaction fees paid to
the Company’s brokers.
The Directors have therefore concluded that there are no significant cash flow
or other risks in relation to preparing the interim 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 on Board Members section.
The Articles provide that, unless otherwise determined by ordinary resolution,
the number of Directors shall not be less than two.
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 six-month
period ended 30 June 2024 and the number of such meetings attended by each
Director.
Scheduled Board Meetings Held Attended
Richard Horlick 2 2
Caroline Chan 2 2
Julia Chapman 2 2
Bronwyn Curtis 2 2
John Le Poidevin 2 2
Audit Committee Meetings Held Attended
John Le Poidevin 2 2
Caroline Chan 2 2
Julia Chapman 2 2
Bronwyn Curtis 2 2
In addition to these scheduled meetings, ten ad-hoc committee meetings were
held during the six-month period ended 30 June 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 Association of Investment Companies
(“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.
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 period 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
30.06.24 31.12.23 30.06.23
Richard Horlick 200,000 200,000 200,000
Caroline Chan 11,587 11,587 11,587
Julia Chapman 6,260 6,260 6,260
Bronwyn Curtis 33,174 33,174 33,174
John Le Poidevin 116,940 75,620 75,620
Claire Whittet N/A N/A 23,111
US Dollar Shares
30.06.24 31.12.23 30.06.23
Richard Horlick 20,000 20,000 20,000
Caroline Chan Nil Nil Nil
Julia Chapman Nil Nil Nil
Bronwyn Curtis Nil Nil Nil
John Le Poidevin Nil Nil Nil
Claire Whittet N/A N/A Nil
John Le Poidevin purchased 41,320 Sterling class shares on 8 January 2024.
Claire Whittet retired from the Board on 13 September 2023.
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 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 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 Interim Unaudited 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 Interim 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 on Directors’ Report under 'Climate
Change and 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 period.
Ongoing Charges for each of the six-month period ended 30 June 2024, the year
ended 31 December 2023 and the six-month period ended 30 June 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 each of the six-month period ended 30 June 2024, the year ended 31
December 2023 and the six-month period ended 30 June 2023.
30.06.24 Sterling Shares US Dollar Shares
Company – Ongoing Charges 1.57% 1.57%
Master Fund – Ongoing Charges 0.61% 0.61%
Performance fees 0.00% 0.00%
Ongoing Charges plus performance fees 2.18% 2.18%
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 0.00% 0.00%
Ongoing Charges plus performance fees 2.16% 2.14%
30.06.23
Sterling US Dollar
Shares Shares
Company – Ongoing Charges 1.58% 1.58%
Master Fund – Ongoing Charges 0.55% 0.58%
Performance fees 0.00% 0.00%
Ongoing Charges plus performance fees 2.13% 2.16%
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.
Performance Graphs
The graphs shown on Chair’s Statement detail the performance of the
Company’s NAV and share prices over the period.
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 statutory accounts and interim 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 period 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, having served since the Company’s initial
listing on the London Stock Exchange. The Audit 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, who participated in a rigorous
tender process. KPMG Channel Islands Limited 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.
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 from the Administrator.
The details of the Manager’s fees and notice period are set out in note 4 to
the Interim Unaudited 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 13 September 2023, the Management Engagement Committee
concluded that the continued appointment of each of the Manager, the
Administrator, the Company’s UK and Guernsey legal advisers, the
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 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.
Internal Controls
Responsibility for the establishment and maintenance of an appropriate system
of internal control rests with the Board and to achieve this, a process has
been established which seeks to:
* review the risks faced by the Company and the controls in place to address
those risks;
* identify and report changes in the risk environment;
* identify and report changes in the operational controls;
* identify and report on the effectiveness of controls and errors arising; and
* ensure no override of controls by the Manager, the Administrator and the
Company’s other 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 were reviewed by the
Board. No material adverse findings were identified in these reports.
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”), which superseded the EU regulation that previously
applied to the Company. 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 25 April 2024 (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.
Principal and Emerging Risks and Uncertainties
The Board is responsible for the Company’s system of internal controls and
for reviewing its effectiveness. The Board is satisfied that by using the
Company’s risk matrix in establishing the Company’s system of internal
controls, while monitoring the Company’s investment objective and policy,
the Board has carried out a robust assessment of the principal and emerging
risks and uncertainties facing the Company. The principal and emerging risks
and uncertainties which have been identified and the steps which are taken by
the Board to mitigate them are as follows:
* Investment Risks: The Company is exposed to the risk that its portfolio
fails to perform in line with the Company’s objectives if it is
inappropriately invested or markets move adversely. The Board 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;
* Operational and Cyber Security Risks: The Company is exposed to the risks
arising from any failure of systems and controls in the operations each of the
Manager, the Administrator and the Registrar, or from the unavailability of
any of the Manager, the Administrator or the Registrar 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;
* 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 regulations and accounting requirements;
* Financial Risks: The financial risks faced by the Company include market,
credit and liquidity risk. These risks and the controls in place to mitigate
them are reviewed at each quarterly Board meeting. 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 at which the Company’s Sterling
shares and US Dollar shares have traded in relation to monthly NAV per share
so far this year has been approximately 12.66% for the Sterling share class
and 12.63% for the US Dollar share class. Consequently, whilst the Company and
its Corporate Broker have been in regular communication with Shareholders
during the relevant period and subsequently, the Board has no reason to
believe that there is any shareholder appetite to approve a class closure vote
and return capital to Shareholders, there remains a residual risk that class
closure votes will be held in early 2025 at which Shareholders may vote to
liquidate one or both classes of shares;
* Geopolitical Risks: Economic volatility, recessionary risks and the current
conflicts in Ukraine and the Middle East have led to greater global
uncertainty. 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 region or are in any way impacted in terms of their ability
to continue to supply their services to the Company; and
* Climate Change and ESG Risks: 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 also regularly
assesses the trading activity of the underlying Master Fund and sub-funds to
ascertain whether environmental, social and governance (“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 Diversity
When appointing new directors and reviewing the Board composition, the Board
considers, amongst other factors, diversity, balance of skills, knowledge,
gender and experience. In the Annual Report for the year ended 31 December
2023, the Board noted that it believed it was fully compliant in terms of
Listing Rules LR 9.8.6R(9) and LR 14.3.33R(1) in relation to board diversity.
There have been no changes to board 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
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 period. The Company provides weekly unaudited estimates of NAV,
month end unaudited estimates and unaudited final NAVs. The Company also
provides a monthly newsletter. These are published via RNS and are also
available on the Company’s website. Risk reports of the Master Fund are also
available on the Company’s website.
The Manager maintains regular dialogue with institutional Shareholders, the
feedback from which is reported to the Board. Shareholders who wish to
communicate with the Board should contact the Administrator in the first
instance.
Having reviewed the Financial Conduct Authority’s restrictions on the retail
distribution of non-mainstream pooled investments, the Company, after taking
legal advice, announced on 15 January 2014 that it is outside the scope of
those restrictions, so that its shares can continue to be recommended by UK
authorised persons to ordinary retail investors.
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
period, no resolution recommended by the Board received 20 per cent or more
votes against it.
Significant Shareholders
As at 9 September 2024, the following Shareholders had significant
shareholdings in the Company:
% holding
in class
Significant Shareholders
Sterling Shares
Ferlim Nominees Limited 13.1%
Smith & Williamson Nominees Limited 9.2%
Rathbone Nominees Limited 7.9%
BH Macro Limited 5.8%
Nortrust Nominees Limited 5.8%
Cheviot Capital (Nominees) Ltd 5.1%
Lion Nominees Limited 4.8%
Vidacos Nominees Limited 4.5%
Pershing Nominees Limited 4.3%
Vestra Nominees Limited 3.6%
HSBC Global Custody Nominee (UK) Limited 3.3%
The Bank Of New York (Nominees) Limited 3.3%
Brewin Nominees Limited 3.0%
% holding
in class
Significant Shareholders
US Dollar Shares
Vidacos Nominees Limited 16.6%
Hero Nominees Limited 14.8%
Euroclear Nominees Limited 13.5%
Luna Nominees Limited 6.4%
Aurora Nominees Limited 5.5%
Lynchwood Nominees Limited 4.5%
CGWL Nominees Limited 4.0%
Rathbone Nominees Limited 3.2%
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
13 September 2024
Statement of Directors’ Responsibility in respect of the Interim Report and
Unaudited Financial Statements
We confirm to the best of our knowledge that: • these Interim
Unaudited Financial Statements have been prepared in accordance with United
States Generally Accepted Accounting Principles and give a true and fair view
of the assets, liabilities, financial position and profit or loss;
and • these Interim Unaudited Financial Statements include
information detailed in the Chair’s Statement, the Directors’ Report, the
Manager’s Report and the Notes to the Interim Unaudited Financial
Statements, which provides a fair review of the information required by: (a)
DTR 4.2.7R of the Disclosure Guidance and Transparency Rules, being an
indication of important events that have occurred during the first six months
of the financial year and their impact on these Interim Unaudited Financial
Statements and a description of the principal risks and uncertainties for the
remaining six months of the year; and (b) DTR 4.2.8R of the Disclosure
Guidance and Transparency Rules, being related-party transactions that have
taken place in the first six months of the current financial year and that
have materially affected the financial position or performance of the Company
during that period and any changes in the related-party transactions described
in the last Annual Audited Financial Statements that could materially affect
the financial position or performance of the Company. The Directors are
responsible for the maintenance and integrity of the corporate and financial
information included on the Company’s website and for the preparation and
dissemination of financial statements. Legislation in Guernsey governing the
preparation and dissemination of the financial statements may differ from
legislation in other jurisdictions. Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
13 September 2024
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 depreciated by -1.54% in
the first half of 2024 and the NAV per share of the GBP shares depreciated by
-1.10%.
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 -1.54
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 -1.10
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 28 June 2024.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Quarterly and Annual contribution (%) to the performance of the NAV per Share
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
Q2 2024 0.27 0.77 0.13 0.04 -0.25 -0.42 0.00 0.54
YTD 2024 -3.46 1.11 0.17 0.05 -0.06 0.65 0.00 -1.54
Data as at 28 June 2024.
Quarterly and YTD figures are calculated by BHCM as at 28 June 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
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
YTD 2024 -3.55 1.07 0.17 0.05 -0.08 0.65 0.60 -1.10
Data as at 28 June 2024.
Quarterly and YTD figures are calculated by BHCM as at 28 June 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
Entering 2024, we looked for slowing US growth, better balance between supply
and demand in the labour market, and continued moderation in wage and price
inflation. In the event, growth and the labour market did slow as the first
half of the year unfolded, but there was a widespread surge in inflation in
Q1. Higher inflation pushed back the Federal Reserve’s plans to dial back
the degree of monetary policy restraint.
With the Federal Reserve (“Fed”) unexpectedly on hold, the exchange value
of the US dollar continued to appreciate. The Fed’s surprisingly hawkish
stance put the Bank of Japan (“BoJ”) in an especially awkward position. If
the BoJ maintains easy monetary policy, then there is less support for the
exchange value of the Yen, which has steadily lost value. If the BoJ raises
rates, there is more support for the Yen but higher interest rates make debt
service more costly and slows the economy. Throughout the first half of the
year, the BoJ and the Ministry of Finance tried to navigate the macro tensions
by exiting negative interest-rate policy, providing hints of further rate
hikes, and foreign exchange intervention.
China faces similar tensions. The exchange value of the Renminbi is closely
pegged to the US dollar. As the US dollar appreciates, the People’s Bank of
China (“PBOC”) must seek to defend the peg, which limits policymakers’
flexibility to respond to weakness in the domestic economy with lower interest
rates. Investors widely expect that the PBOC can defend the peg but that it
may at some point revalue the Renminbi in order to stimulate the
growth-oriented export sector.
After the first quarter’s inflation shock in the US, inflation slowed
noticeably across the board in Q2. Core Personal Consumption Expenditures
(“PCE”) inflation is on track to fall faster during the rest of the year
than the Fed anticipated in its June Federal Open Market Committee
(“FOMC”) Summary of Economic Projections. The labour market is weakening
by more than the Fed anticipated as well, with the unemployment rate currently
at 4.1% compared with the Fed’s median projection of 4.0% in Q4. Finally,
growth is slowing from the torrid pace set last year to a trend-like pace.
The foundation for Fed rate cuts is being rebuilt on more solid ground. The
Fed has been in wait-and-see/confidence-building mode all year. The shift
toward confidence about a rate-cutting cycle appears to be taking hold around
the July FOMC meeting. Policymakers are hinting that September will be the
start of a recalibration in rates that dials back the degree of monetary
policy restriction. The risks are two-sided. If the economy weakens further,
then faster and more rate cuts are warranted. Alternatively, if inflation
reappears, then a dramatic reversal in the stance of monetary policy is
possible.
In summary, all three parts of the US macro outlook are moving in a consistent
direction. Looking forward, this ‘cross-validation’ reinforces our
confidence about the outlook. After several years of one-sided inflation
risks, the risks to growth and inflation have moved into balance. That is a
major strategic change in the macro landscape which necessitates a similarly
major change in US monetary policy strategy with global implications.
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.
13 September 2024
Independent Review Report to BH Macro Limited
Conclusion
We have been engaged by BH Macro Limited (the “Company”) to review the
financial statements in the half-yearly financial report for the six months
ended 30 June 2024 of the Company, which comprises the unaudited statement of
assets and liabilities, the unaudited statement of operations, the unaudited
statement of changes in net assets, the unaudited statement of cash flows and
the related explanatory notes.
Based on our review, nothing has come to our attention that causes us to
believe that the financial statements in the half-yearly financial report for
the period ended 30 June 2024 do not give a true and fair view of the
financial position of the Company as at 30 June 2024 and of its financial
performance and its cash flows for the six month period then ended, in
accordance with U.S. generally accepted accounting principles and the
Disclosure Guidance and Transparency Rules (“the DTR”) of the UK’s
Financial Conduct Authority (“the UK FCA”).
Scope of review
We conducted our review in accordance with International Standard on Review
Engagements (UK) 2410 Review of Interim Financial Information Performed by the
Independent Auditor of the Entity (“ISRE (UK) 2410”) issued by the
Financial Reporting Council for use in the UK. A review of interim financial
information consists of making enquiries, primarily of persons responsible for
financial and accounting matters, and applying analytical and other review
procedures. We read the other information contained in the half-yearly
financial report and consider whether it contains any apparent misstatements
or material inconsistencies with the information in the financial statements.
A review is substantially less in scope than an audit conducted in accordance
with International Standards on Auditing (UK) and consequently does not enable
us to obtain assurance that we would become aware of all significant matters
that might be identified in an audit. Accordingly, we do not express an audit
opinion.
Conclusions relating to going concern
Based on our review procedures, which are less extensive than those performed
in an audit as described in the Scope of review section of this report,
nothing has come to our attention to suggest that the directors have
inappropriately adopted the going concern basis of accounting or that the
directors have identified material uncertainties relating to going concern
that are not appropriately disclosed.
This conclusion is based on the review procedures performed in accordance with
ISRE (UK) 2410. However future events or conditions may cause the Company to
cease to continue as a going concern, and the above conclusions are not a
guarantee that the Company will continue in operation.
Directors’ responsibilities
The half-yearly financial report is the responsibility of, and has been
approved by, the directors. The directors are responsible for preparing the
interim financial report in accordance with the DTR of the UK FCA.
The financial statements included in this interim report have been prepared in
accordance with U.S. generally accepted accounting principles.
In preparing the half-yearly financial report, the directors are responsible
for 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.
Our responsibility
Our responsibility is to express to the Company a conclusion on the financial
statements in the half-yearly financial report based on our review. Our
conclusion, including our conclusions relating to going concern, are based on
procedures that are less extensive than audit procedures, as described in the
scope of review paragraph of this report.
The purpose of our review work and to whom we owe our responsibilities
This report is made solely to the Company in accordance with the terms of our
engagement letter to assist the Company in meeting the requirements of the DTR
of the UK FCA. Our review has been undertaken so that we might state to the
Company those matters we are required to state to it in this 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 for our review work,
for this report, or for the conclusions we have reached.
Deborah Smith
For and on behalf of KPMG Channel Islands Limited
Chartered Accountants
Guernsey
13 September 2024
Unaudited Statement of Assets and Liabilities
As at 30 June 2024
30.06.24 (Unaudited) 31.12.23 (Audited) 30.06.23 (Unaudited)
US$'000 US$'000 US$'000
Assets
Investment in the Master Fund (note 3) 1,900,791 2,038,614 1,968,663
Master Fund redemption proceeds receivable 23,073 20,697 4,073
Prepaid expenses 99 47 122
Cash and bank balances denominated in Sterling 26,497 18,367 15,742
Cash and bank balances denominated in US Dollars 2,172 1,284 736
Total assets 1,952,632 2,079,009 1,989,336
Liabilities
Performance fees payable (note 4) - 2 2
Management fees payable (note 4) 2,522 2,771 2,580
Repurchases in respect of the tender offer payable - 1,477 -
Accrued expenses and other liabilities 181 148 132
Directors' fees payable 103 - -
Administration fees payable (note 4) 151 80 77
Total liabilities 2,957 4,478 2,791
Net assets 1,949,675 2,074,531 1,986,545
Number of shares in issue (note 5)
Sterling shares 356,434,651 372,024,149 374,357,176
US Dollar shares 28,506,709 29,856,472 28,840,946
Net asset value per share (notes 7 and 9)
Sterling shares £4.06 £4.11 £3.93
US Dollar shares US$4.20 US$4.27 US$4.08
See accompanying Notes to the Interim Unaudited Financial Statements.
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
13 September 2024
Unaudited Statement of Operations
For the period from 1 January 2024 to 30 June 2024
01.01.24 to 30.06.24 (Unaudited) US$'000 01.01.23 to 31.12.23 (Audited) US$'000 01.01.23 to 30.06.23 (Unaudited) US$'000
Net investment gain allocated from the Master Fund
Interest income 56,146 99,983 39,647
Dividend and other income (net of withholding tax:
30 June 2024: US$11,911; 31 December 2023: US$94,653; 30 June 2023: US$16,182) 306 5,176 862
Expenses (39,288) (91,827) (31,170)
Net investment gain allocated from the Master Fund 17,164 13,332 9,339
Company income
Bank interest income 274 792 496
Foreign exchange gains (note 3) - 108,508 100,563
Total Company income 274 109,300 101,059
Company expenses
Performance fees (note 4) - 2 2
Management fees (note 4) 14,705 29,579 14,393
Other expenses 324 969 314
Directors' fees 202 442 228
Administration fees (note 4) 151 303 148
Foreign exchange losses (note 3) 15,801 - -
Total Company expenses 31,183 31,295 15,085
Net investment (loss)/gain (13,745) 91,337 95,313
Net realised and unrealised gain/(loss) on investments allocated from the Master Fund
Net realised gain/(loss) on investments 3,641 188,681 (14,667)
Net unrealised loss on investments (40,069) (213,524) (109,132)
Net realised and unrealised loss on investments allocated from the Master Fund (36,428) (24,843) (123,799)
Net (decrease)/increase in net assets resulting from operations (50,173) 66,494 (28,486)
See accompanying Notes to the Interim Unaudited Financial Statements.
Unaudited Statement of Changes in Net Assets
For the period from 1 January 2024 to 30 June 2024
01.01.24 to 30.06.24 (Unaudited) US$'000 01.01.23 to 31.12.23 (Audited) US$'000 01.01.23 to to 30.06.23 (Unaudited) US$'000
Net (decrease)/increase in net assets resulting from operations
Net investment (loss)/gain (13,745) 91,337 95,313
Net realised gain/(loss) on investments allocated from the Master Fund 3,641 188,681 (14,667)
Net unrealised loss on investments allocated from the Master Fund (40,069) (213,524) (109,132)
(50,173) 66,494 (28,486)
Share capital transactions
Issue of new shares
Sterling shares - 379,021 379,021
US Dollar shares - 3,336 3,336
Share issue costs
Sterling shares - (7,761) (7,707)
US Dollar shares - (67) (67)
Purchase of shares into treasury
Sterling shares (74,683) (6,940) -
US Dollar shares - - -
Total share capital transactions (74,683) 367,589 374,583
Net (decrease)/increase in net assets (124,856) 434,083 346,097
Net assets at the beginning of the period/year 2,074,531 1,640,448 1,640,448
Net assets at the end of the period/year 1,949,675 2,074,531 1,986,545
See accompanying Notes to the Interim Unaudited Financial Statements.
Unaudited Statement of Cash Flows
For the period from 1 January 2024 to 30 June 2024
01.01.24 to 30.06.24 (Unaudited) 01.01.23 to 31.12.23 (Audited) 01.01.23 to 30.06.23 (Unaudited)
US$'000 US$'000 US$'000
Cash flows from operating activities
Net (decrease)/increase in net assets resulting from operations (50,173) 66,494 (28,486)
Adjustments to reconcile net (decrease)/increase in net assets resulting from operations to net cash generated from/(used in) operating activities:
Net investment gain allocated from the Master Fund (17,164) (13,332) (9,339)
Net realised (gain)/loss on investments allocated from the Master Fund (3,641) (188,681) 14,667
Net unrealised loss on investments allocated from the Master Fund 40,069 213,524 109,132
Purchase of investment in the Master Fund - (365,214) (365,214)
Proceeds from sale of investment in the Master Fund 100,668 101,862 77,711
Foreign exchange losses/(gains) 15,801 (108,508) (100,563)
Increase in prepaid expenses (52) (4) (79)
Decrease in performance fees payable (2) (62,259) (62,259)
Decrease in management fees payable (249) (1,453) (1,644)
Increase/(decrease) in accrued expenses and other liabilities 33 (68) (81)
Increase/(decrease) in Directors' fees payable 103 (14) (14)
Increase in administration fees payable 71 14 11
Net cash generated from/(used in) operating activities 85,464 (357,639) (366,158)
Cash flows from financing activities
Purchase of own shares into treasury (76,160) (5,463) -
Proceeds from share issue - 382,357 382,357
Share issue costs - (7,828) (7,773)
Net cash (used in)/generated from financing activities (76,160) 369,066 374,584
Change in cash 9,304 11,427 8,426
Cash, beginning of the period/year 19,651 7,910 7,910
Effect of exchange rate fluctuations (286) 314 142
Cash, end of the period/year 28,669 19,651 16,478
Cash, end of the period/year
Cash and bank balances denominated in Sterling 1 26,497 18,367 15,742
Cash and bank balances denominated in US Dollars 2,172 1,284 736
28,669 19,651 16,478
Supplemental disclosure of non-cash financing activities
1 Cash and bank balances in Sterling (GBP'000) 20,958 14,408 12,383
See accompanying Notes to the Interim Unaudited Financial Statements.
Notes to the Interim Unaudited Financial Statements
For the period from 1 January 2024 to 30 June 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 Interim Unaudited Financial Statements of the Company should be
read in conjunction with the Interim Unaudited Financial Statements of the
Master Fund which can be found on the Company’s website, www.bhmacro.com.
At the date of these Interim Unaudited 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 Interim Unaudited 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 Interim
Unaudited 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 Interim Unaudited 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 (announced in January 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
buy-backs. 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 buy-back 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 shall be
treated as amended to provide that the annual buy-back allowance in respect of
the Sterling share class for the calendar year ending 31 December 2024 shall
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 does not alter the annual buy-back 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 Interim Unaudited 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 Interim Unaudited
Financial Statements have been prepared using the going concern basis of
accounting.
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 30 June 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 Unaudited 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
30 June 2024
Sterling 15.19% £6,553.19 215,368 £1,411,349 1,784,368
US Dollar 0.99% US$6,568.75 17,723 US$116,423 116,423
1,900,791
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
30 June 2023
Sterling 15.70% £6,274.95 232,123 £1,456,562 1,851,727
US Dollar 0.99% US$6,279.06 18,622 US$116,936 116,936
1,968,663
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 Interim Unaudited 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 Interim Unaudited 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 Interim Unaudited Financial Statements and the reported
amounts of increases and decreases in net assets from operations during the
reporting period. Actual results could differ from those estimates.
Leverage
The Manager has discretion, subject to the prior approval of a majority of the
independent Directors, to employ leverage for and on behalf of the Company by
way of borrowings to effect share purchases or share buy-backs, to satisfy
working capital requirements and to finance further investments in the Master
Fund.
The Company may borrow up to 20% of its NAV, calculated as at the time of
borrowing. Additional borrowing over 20% of NAV may only occur if approved by
an ordinary resolution of the Shareholders.
Foreign exchange
Transactions reported in the Unaudited 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 Unaudited 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 Unaudited 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 has been 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 NAV. On 23 January 2023, the Management Agreement between the
Company and the Manager was amended. Please see note 2 for further
information.
During the six month period ended 30 June 2024, US$14,704,921 (year ended 31
December 2023: US$29,579,495; six-month period ended 30 June
2023:US$14,392,938) was earned by the Manager as net Management Fees. At 30
June 2024, US$2,521,752 (31 December 2023: US$2,770,618; 30 June 2023:
US$2,579,511) of the Management Fee remained outstanding.
The Manager is also entitled to an annual performance fee for both share
classes. The performance fee is equal to 20% of the appreciation in the NAV
per share of that class during that calculation period which is above the base
NAV per share of that class, other than that arising to the remaining shares
of the relevant class from any repurchase, redemption or cancellation of any
share in the calculation period. The base NAV per share is the greater of the
NAV per share of the relevant class at the time of issue of such share and the
highest NAV per share achieved as at the end of any previous calculation
period.
The Manager will be paid an estimated performance fee on the business day
preceding the last business day of each calculation period. Within 5 business
days of the publication of the final NAV of each class of shares as at the end
of the calculation period, any difference between the actual performance fee
and the estimated amount will be paid to or refunded by the Manager, as
appropriate. Any accrued performance fee in respect of shares which are
converted into another share class prior to the date on which the performance
fee would otherwise have become payable in respect of those shares will
crystallise and become payable on the date of such conversion. The performance
fee is accrued on an ongoing basis and is reflected in the Company’s
published NAV. During the six month period ended 30 June 2024, US$ Nil (year
ended 31 December 2023: US$2,326; six-month period ended 30 June
2023:US$2,322) was earned by the Manager as performance fees. At 30 June 2024,
US$ Nil (31 December 2023: US$2,340; 30 June 2023: US$2,339) 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 and 30 June 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 six month period ended 30
June 2024, US$150,875 (year ended 31 December 2023: US$303,372; six-month
period ended 30 June 2023: US$147,658) was earned by the Administrator as
administration fees. The amounts outstanding are disclosed on the Unaudited
Statement of Assets and Liabilities.
5. Share capital
Issued and authorised share capital
The Company has the power to issue an unlimited number of ordinary shares with
no-par value and an unlimited number of shares with a par value. Shares may be
divided into at least two classes denominated in Sterling and US Dollars.
Further issues of shares may be made in accordance with the Articles of
Incorporation (the “Articles”). Shares may be issued in differing currency
classes of ordinary redeemable shares. The following tables show the movement
in ordinary shares.
For the period from 1 January 2024 to 30 June 2024
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2024 372,024,149 29,856,472
Share conversions 1,114,324 (1,349,763)
Purchase of shares into Treasury (16,703,822) -
In issue at 30 June 2024 356,434,651 28,506,709
Number of treasury shares
In issue at 1 January 2024 1,504,277 -
Shares purchased and held in Treasury during the period:
On market purchases* 16,703,822 -
In issue at 30 June 2024 18,208,099 -
Percentage of class 4.86% -
*On market purchases for the period ended 30 June 2024.
Number of shares Cost
Treasury shares purchased Cost (US$) (in currency)
US Dollar shares - - -
Sterling shares 16,703,822 74,683,493 £59,062,940
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.
Treasury shares Number of shares purchased Cost (US$) Cost (in currency)
US Dollar shares - - -
Sterling shares 1,504,277 6,939,943 £5,457,432
For the period from 1 January 2023 to 30 June 2023
Sterling shares US Dollar shares
Number of ordinary shares
In issue at 1 January 2023 30,156,454 2,858,135
Share conversions 110,756 (131,449)
Net issue of new shares from Share Sub- Division 271,711,966 25,367,860
Issue of new shares 72,378,000 746,400
In issue at 30 June 2023 374,357,176 28,840,946
Number of
Treasury shares shares purchased Cost (US$) Cost (in currency)
US Dollar shares - - -
Sterling shares - - -
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 period ended 30
June 2024, the Company purchased 16,703,822 (31 December 2023: 1,504,277)
Sterling share class to be held in Treasury. No shares were held in Treasury
throughout the period ended 30 June 2023.
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 Interim Unaudited Financial Statements. Income tax and related
interest and penalties would be recognised by the Company as tax expenses in
the Unaudited 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 buy-back allowance and
the 2024 arrangements agreed with the Manager.
Market purchases
Until October 2016, the Company regularly utilised its ability to make market
purchases of its shares as part of the discount management programme, funded
by the Company redeeming underlying shares in the Master Fund. As a condition
of the April 2017 Tender Offer, this was suspended until 1 April 2019 and for
much of the period since that date, the Company’s shares have traded at a
premium or minimal discount to NAV. 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
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 period ending June 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 period ended 30 June 2024 were 12.66% and 12.63% respectively.
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 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 30 June 2024 and other performance
information derived from the Interim Unaudited 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.
30.06.24 Sterling shares £ 30.06.24 US Dollar shares US$
Per share operating performance
Net asset value at beginning of the period 4.11 4.27
Income from investment operations
Net investment loss 2 - -
Net realised and unrealised loss on investment (0.08) (0.08)
Other capital items 3 0.03 0.01
Total loss (0.05) (0.07)
Net asset value, end of the period 4.06 4.20
Total loss before performance fees (1.10%) (1.54%)
Performance fees - -
Total loss after performance fees (1.10% ) (1.54% )
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 period from 1 January 2024 to 30 June 2024. An individual Shareholder’s
loss may vary from these losses based on the timing of their purchase or sale
of shares.
30.06.24 Sterling shares £'000 30.06.24 US Dollar shares US$'000
Supplemental data
Net asset value, end of the period 1,447,320 119,832
Average net asset value for the period 1,458,512 122,078
30.06.24 Sterling shares 30.06.24 US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses 4 0.78% 0.78%
Master Fund expenses 5 0.45% 0.44%
Master Fund interest expenses 6 1.55% 1.54%
Performance fees - -
2.78% 2.76%
Net investment gain before performance fees 2 0.10% 0.10%
Net investment gain after performance fees 2 0.10% 0.10%
31.12.23 Sterling shares £ 31.12.23 US Dollar shares US$
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%)
Performance fees - -
Total loss after performance fees (1.81% ) (1.33% )
Total loss reflects the net return for an investment made at the beginning of
the year and is calculated as the change in the NAV per ordinary share during
the year from 1 January 2023 to 31 December 2023. An individual
Shareholder’s return may vary from these returns based on the timing of
their purchase or sale of shares.
31.12.23 Sterling shares £'000 31.12.23 US Dollar shares US$'000
Supplemental data
Net asset value, end of the year 1,527,458 127,482
Average net asset value for the year 1,485,598 122,970
31.12.23 Sterling shares 31.12.23 US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses 4 1.59% 1.57%
Master Fund expenses 5 1.41% 0.83%
Master Fund interest expenses 6 3.28% 3.32%
Performance fees - -
6.28% 5.72%
Net investment loss before performance fees 2 (0.91% ) (0.22% )
Net investment loss after performance fees 2 (0.91% ) (0.22% )
Total loss reflects the net loss for an investment made at the beginning of
the year and is calculated as the change in the NAV per ordinary share during
the period from 1 January 2023 to 30 June 2023. An individual Shareholder’s
loss may vary from these losses based on the timing of their purchase or sale
of shares.
30.06.23 Sterling shares £ 30.06.23 US Dollar shares US$
Per share operating performance
Net asset value at beginning of the period 1 4.18 4.33
Income from investment operations
Net investment loss 2 (0.01) (0.01)
Net realised and unrealised loss on investment (0.24) (0.18)
Other capital items 3 - (0.06)
Total loss (0.25) (0.25)
Net asset value, end of the period 1 3.93 4.08
Total loss before performance fees (6.09% ) (5.65% )
Performance fees - -
Total loss after performance fees (6.09% ) (5.65% )
30.06.23 Sterling shares £'000 30.06.23 US Dollar shares US$'000
Supplemental data
Net asset value, end of the period 1,469,990 117,749
Average net asset value for the period 1,468,214 121,222
30.06.23 Sterling shares 30.06.23 US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses 4 0.78% 0.78%
Master Fund expenses 5 0.41% 0.42%
Master Fund interest expenses 6 1.20% 1.23%
Performance fees - -
2.39% 2.43%
Net investment loss before performance fee 2 (0.27% ) (0.23% )
Net investment loss after performance fees 2 (0.27% ) (0.23% )
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 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 or period as
compared to the NAV per share at the beginning of the year/period.
4 Company expenses are as disclosed in the Unaudited 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
The fees payable by the Company in respect of each of the Directors who served
during the period ended 30 June 2024, the year ended 31 December 2023 and the
period ended 30 June 2023, were as follows:
Period ended Year ended Period ended
30.06.24 £ 31.12.23 £ 30.06.23 £
Richard Horlick 45,000 90,000 45,000
Caroline Chan* 27,500 51,586 25,000
Julia Chapman 27,500 55,000 27,500
Bronwyn Curtis 27,500 55,000 27,500
John Le Poidevin 32,500 65,000 32,500
Claire Whittet** - 38,801 27,500
Total 160,000 355,387 185,000
* 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.
11. Subsequent events
On 2 July 2024, the Company completed the share conversion for the 31 May 2024
share conversion date, issuing 216,228 Sterling shares and cancelling 266,010
US Dollar shares.
On 2 August 2024, the Company completed the share conversion for the 30 June
2024 share conversion date, issuing 8,142 US Dollar Shares and cancelling
6,669 Sterling Shares.
On 3 September 2024, the Company completed the share conversion for the 31
July 2024 share conversion date, issuing 15,729 US Dollar Shares and
cancelling 12,308 Sterling Shares.
The Company purchased the following shares into Treasury.
Sterling Class shares
Number of
Month shares bought Highest Price point Lowest Price point
£ £
July 2024 965,746 3.71 3.63
August 2024 2,036,946 3.83 3.63
September 2024 923,431 3.68 3.56
Total 3,926,123
There were no purchases of US Dollar Class ordinary shares after the period
end.
The Directors have evaluated subsequent events up to 13 September 2024, which
is the date that the Interim Unaudited Financial Statements were approved and
available to be issued and have concluded there are no further items that
require disclosure or adjustment to the Interim Unaudited Financial
Statements.
Historic Performance SummaryAs at 30 June 2024
30.06.24 US$'000 31.12.23 US$'000 31.12.22 US$'000 31.12.21 US$'000 31.12.20 US$'000
Net (decrease)/increase in net assets resulting from operations (50,173) 66,494 112,078 12,010 181,533
Total assets 1,952,632 2,079,009 1,707,130 1,307,490 802,224
Total liabilities (2,957) (4,478) (66,682) (9,762) (41,055)
Net assets 1,949,675 2,074,531 1,640,448 1,297,728 761,169
Number of shares in issue
Sterling shares 356,434,651 372,024,149 30,156,454* 25,864,663* 15,009,868*
US Dollar shares 28,506,709 29,856,472 2,858,135* 2,689,547* 2,191,379*
Net asset value per share
Sterling shares £4.06 £4.11 £41.81* £34.30* £33.38*
US Dollar shares US$4.20 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.
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 period/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 period; and
* ‘B’ is the average NAV per share of the shares of the relevant share
class taken over the 6 month-end NAV Calculation Dates in the period ended 30
June 2024 calculated as the sum of the final NAV of the share class as at each
month-end NAV Calculation Date during the period ended 30 June 2024, divided
by 6.
(Discount)/Premium
If the share price of an investment is lower than the NAV per share, the
shares are said to be trading at a discount. The size of the discount is
calculated by subtracting the share price from the NAV per share 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 buy-backs,
where appropriate. The discount is shown below.
Sterling Shares 30.06.24 31.12.23 US Dollar Shares 30.06.24 31.12.23
Share Price at Period/Year End (A) £3.71 £3.67 US$3.81 US$3.77
NAV per Share (B) £4.06 £4.11 US$4.20 US$4.27
Discount to NAV (A- B)/B (8.62%) (10.71%) (9.29%) (11.71%)
(Loss)/Gain Per Share
(Loss)/gain per share is calculated using the net loss/gain on ordinary
activities after finance costs and taxation (period ended 30 June 2024: a loss
of £25,542,069 and a loss of US$2,039,344; 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 (period ended 30 June 2024: 376,567,685
Sterling shares and 29,227,517 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.
Period ended 30.06.24 Per share '000 Year ended 31.12.23 Per share '000
Net total loss for Sterling shares (6.78p) (£25,542) (9.21p) (£32,535)
Net total loss for US Dollar shares (6.98c) (US$2,039) (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:
Period ended Year ended Period ended Year ended
30.06.24 31.12.23 30.06.24 31.12.23
Average NAV for the period/year (A) £1,458,512,256 £1,485,598,348 US$122,077,677 US$122,970,362
Management Fee* £21,842,252 £22,297,675 US$1,828,066 US$1,846,781
Other Company expenses* £1,001,206 £1,309,986 US$86,556 US$84,979
Total Company Expenses* £22,843,458 £23,607,661 US$1,914,622 US$1,931,760
Expenses allocated from the Master Fund* £8,912,097 £8,445,240 US$740,777 US$703,225
Performance Fee - £471 - US$1,740
Total Expenses (B) £31,755,555 £32,053,372 US$2,655,399 US$2,636,725
Ongoing Charges (B/A) 2.18% 2.16% 2.18% 2.14%
*For comparative purposes, the expenses for the period ended 30 June 2024 have
been annualised.
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 InformationDirectors
Richard Horlick (Chair)
Caroline Chan
Julia Chapman
Bronwyn Curtis
John Le Poidevin
(All Directors are non-executive and independent for the purpose of Listing
Rule 15.2.12-A)
Registered Office
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 3QL
Manager
Brevan Howard Capital Management LP
6th Floor
37 Esplanade
St Helier
Jersey
Channel Islands JE2 3QA
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
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