REG-BH Macro Limited: Investor Statement - March 2023

BH MacroAnnouncement

28/04/2023 17:15

BH MACRO LIMITED INVESTOR STATEMENT

Overview and Objective

This Investor Statement covers the period of 1 January 2023 to 31 March 2023
and is being circulated to satisfy the quarterly account statement obligations
of the commodity pool operator of BH Macro Limited ("BHM") pursuant to CFTC
Regulation 4.7.

Company Size

The total net assets of BHM are summarised as follows:

 Share Class    31 March 2023    31 December  2022   Change in Net Assets 31 March 2023 – 31 December 2022         31 March 2023            31 December  2022      
              Currency USD (mm)  Currency USD (mm)                     Currency USD (mm)                     In Currency of Class (mm)  In Currency of Class (mm)  
 USD Shares         121.2              123.6                                  -2.4                                     121.2                      123.6            
 GBP Shares         1869.0             1516.8                                352.2                                     1511.6                     1261.0           
 Total              1990.2             1640.5                                349.7                                       -                          -              

Source: Northern Trust International Fund Administration Services (Guernsey)
Limited (“Northern Trust”)

Figures are rounded to one decimal place.

Share Capital(1)

The number of shares in issue in each share class of BHM is summarised as
follows:

 Share Class  31 March 2023  31 December 2022  
 USD Shares     28,932,914     2,858,131 (1)   
 GBP Shares    374,280,163    30,156,472 (1)   

Source: Northern Trust

Performance Review(2)

The closing share price* of each share class of BHM is summarised as follows:

 Share Class       31 March 2023  31 December 2022  
 USD Shares (US$)       4.31          45.20 (2)     
 GBP Shares (£)         4.19          44.90 (2)     

Source: Bloomberg

The NAV per share* of each share class of BHM is summarised as follows:

 Share Class       31 March 2023  31 December 2022  
 USD Shares (US$)       4.19          43.27 (2)     
 GBP Shares (£)         4.04          41.81 (2)     

(2) The closing share price of each share class are not directly comparable as
at 31 December 2022 and 31 March 2023. The NAV per share of each share class
are not directly comparable as at 31 December 2022 and 31 March 2023.  On 7
February 2023 each then existing GBP Share was sub-divided into ten
sub-divided GBP Shares and each then existing USD Share was sub-divided into
ten sub-divided USD Shares. To compare the closing share price (or the NAV per
share) of each share class over the period (31 December 2022 to 31 March 2023)
please divide the closing share price (or the NAV per share) as at 31 December
2022 by ten and then compare the resulting closing share price (or the
resulting NAV per share) figure with the closing share price (or the NAV per
share) figure as at 31 March 2023.    

*NAV performance is provided for information purposes only. Shares in BHM do
not necessarily trade at a price equal to the prevailing   NAV per Share.

Source: BHM’s Net Asset Value per Share data is provided by BHM’s
Administrator, Northern Trust, and is based on the Fund’s (as defined below)
Net Asset Value data provided by the Administrator of the Fund, State Street
Fund Services (Ireland) Limited. BHM’s Net Asset Value data in this report
is unaudited and net of all investment management fees and all other fees and
expenses payable by BHM. In addition, BHM’s investment in the Fund is
subject to an operational services fee.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Further details of monthly performance information and the outlook of Brevan
Howard Master Fund Limited (the “Fund”) and BHM can be obtained from
BHM’s Shareholder Reports, copies of which can be found on BHM’s website:
www.bhmacro.com

To the best of my knowledge and belief, the information detailed in this
statement is accurate and complete:

Name: Jonathan Hughes

Title: Chief Financial Officer and Authorised Signatory

Brevan Howard Capital Management Limited as general partner of Brevan Howard
Capital Management LP, the manager and commodity pool operator of BH Macro
Limited.

Important Legal Information and Disclaimer

BH Macro Limited (“BHM") is a feeder fund investing in Brevan Howard Master
Fund Limited (the "Fund").  Brevan Howard Capital Management LP acting
through its general partner Brevan Howard Capital Management Limited
(“BHCM”) has supplied certain information herein regarding BHM’s and the
Fund’s performance and outlook.  BHCM is regulated by the Jersey Financial
Services Commission as a fund services business and is the commodity pool
operator of BHM.

The material relating to BHM and the Fund included in this investor statement
is provided for information purposes only, does not constitute an invitation
or offer to subscribe for or purchase shares in BHM or the Fund and is not
intended to constitute “marketing” of either BHM or the Fund as such term
is understood for the purposes of the Alternative Investment Fund Managers
Directive as it has been implemented in the UK and states of the European
Economic Area. This material is not intended to provide a sufficient basis on
which to make an investment decision.

Tax treatment depends on the individual circumstances of each investor in BHM
and may be subject to change in the future. Returns may increase or decrease
as a result of currency fluctuations.

You should note that, if you invest in BHM, your capital will be at risk and
you may therefore lose some or all of any amount that you choose to invest.
This material is not intended to constitute, and should not be construed as,
investment advice.  All investments are subject to risk. You are advised to
seek expert legal, financial, tax and other professional advice before making
any investment decisions.

THE VALUE OF INVESTMENTS CAN GO DOWN AS WELL AS UP.  YOU MAY NOT GET BACK THE
AMOUNT ORIGINALLY INVESTED AND YOU MAY LOSE ALL OF YOUR INVESTMENT.  PAST
PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS.

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