BH Macro Limited Investor Statement - 30 June 2017

 
TIDMBHMG TIDMBHMU 
 
BH Macro Limited 
                            INVESTOR STATEMENT 
                            For the quarter ended 30 June 2017 
 
                            YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT 
                            © Brevan Howard Capital Management LP (2017). All Rights Reserved. 
 
 
 
 
 
 
 
 
 
 
 
 
Overview and Objective This Investor Statement covers the period of 1 April 2017 to 30 June 2017 
                       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   30 June    31 March    Change in   30 June 2017   31 March 
                                      2017        2017      Net Assets  In Currency      2017 
                                    Currency    Currency     31 March    Class (mm)  In Currency 
                                    USD (mm)    USD (mm)    2017 to 30                Class (mm) 
                                                            June 2017 
                                                            Currency: 
                                                             USD (mm) 
 
                       USD Shares     61.3        210.3       -149.0        61.3        210.3 
 
                       GBP Shares     390.9       612.7       -221.9       300.9        490.0 
 
                       EUR Shares*      -         33.5        -33.5          -           31.3 
 
                          Total       452.2       856.6       -404.4         -            - 
 
 
                       *As previously announced by the Company, the Company determined that all 
                       remaining shares in the Euro share class be converted into Sterling shares 
                       effective as of 29 June 2017 and all Euro shares held by the Company in 
                       treasury were cancelled on that date.  The Euro share class has been 
                       closed and its listing has been cancelled. 
 
                       Source: Northern Trust International Fund Administration Services 
                       (Guernsey) Limited ("Northern Trust") 
 
                       Figures are rounded to one decimal place. 
 
Share Capital          The number of shares in issue in each share class of BHM is summarised as 
                       follows: 
 
                        Share Class   30 June 2017    31 March 2017 
 
                        USD Shares      2,849,663       9,944,059 
 
                        GBP Shares     13,995,456      22,429,359 
 
                        EUR Shares          -           1,474,935 
 
                       Source: Northern Trust 
 
 
 
Performance            The closing share price* of each share class of BHM is summarised 
Review                 as follows: 
 
                        Share Class   30 June 2017    31 March 2017 
 
                        USD Shares        19.05           20.27 
                           (US$) 
 
                        GBP Shares        19.15           21.20 
                            (GBP) 
 
                        EUR Shares          -             20.40 
                            (EUR) 
 
                       Source: Bloomberg 
 
                       The NAV per share* of each share class of BHM is summarised as 
                       follows: 
 
                        Share Class    30 June 2017    31 March 2017 
 
                        USD Shares        21.53            21.15 
                           (US$) 
 
                        GBP Shares        21.50            21.84 
                            (GBP) 
 
                        EUR Shares          -              21.25 
                            (EUR) 
 
                       * 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, International 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, 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: 
 
                       By: 
 
                       Name: Jonathan Wrigley 
 
                       Title: Group Head of Finance 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 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. 
 
PDF Version: http://content.prnewswire.com/documents/ 
PRNUK-2807171210-17C5_BMA_-_Investor_Statement_-_June_2017_CC.pdf 
 
 
 
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July 28, 2017 07:13 ET (11:13 GMT)