BH Macro Limited

BH MACRO LIMITED
INTERIM MANAGEMENT STATEMENT
30 SEP 09

ADV01867 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE

Your attention is drawn to the disclaimer at the beginning of this presentation 
© Brevan Howard Asset Management LLP (2009). All Rights Reserved.

Important Legal Information and Disclaimer

BH Macro Limited (the "Company"), is a feeder fund to Brevan Howard Master Fund Limited ("BHMF"). Brevan Howard Asset Management LLP ("BHAM") has supplied certain of the following information regarding BH Macro Limited's performance. BHAM is authorised and regulated by the Financial Services Authority.

The material relating to the Company included in this report is provided for information purposes only and does not constitute an invitation or offer to subscribe for or purchase shares in the Company. This material is not intended to provide a sufficient basis on which to make an investment decision. Information and opinions presented in this material relating to the Company, and BHMF, have been obtained or derived from sources believed by BHAM to be reliable, but BHAM makes no representation as to their accuracy or completeness. Estimated results, performance or achievements may materially differ from any actual results, performance or achievements. Except as required by applicable law, the Company and BHAM expressly disclaim any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise. All investments are subject to risk. Prospective investors are advised to seek expert legal, financial, tax and other professional advice before making any investment decisions.

You should note that, if you invest in the Company, 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. BHAM neither provides investment advice to, nor receives and transmits orders from, investors in the Company nor does it carry on any other activities with or for such investors that constitute "MiFID or equivalent third country business" for the purposes of the FSA Rules.

PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS

BH MACRO LIMITED

Interim Management Statement 30 Sep 09

         T +44 (0)20 7022 6250  www.brevanhoward.com 

Overview and Objective

BH Macro Limited is a closed-ended investment company, registered and incorporated in Guernsey on 17 January 2007 (registration number 46235). The Company invests substantially all of its assets (net of short-term working capital) in the ordinary shares of Brevan Howard Master Fund Limited. The Company was admitted to the Main Market of the London Stock Exchange on 14 March 2007.

This Interim Management Statement covers the period from 1 July 2009 to 30 September 2009

Company Size

The total net assets of the Company are summarised as follows (USD mm):

Share Capital

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

Performance Review  

The share price* of each share class of the Company is summarised as follows:

Source: Bloomberg

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

* 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. 

Source: Underlying BHMF Net Asset Value data is provided by the Administrator of BHMF, International Fund Services (Ireland) Limited. The Company's Net Asset and Net Asset Value per Share data is provided by the Company's Administrator, Northern Trust International Fund Administration Services (Guernsey) Limited. The Company's Net Asset and Net Asset Value data in this report is unaudited and net of all investment management fees (2% annual management fee and 20% performance fee) and all other fees and expenses payable by the Company. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.  

Further detail of monthly performance information and the outlook of the Company and BHMF can be obtained from the Company's monthly newsletters, copies of which are to be found on the Company's website: www.bhmacro.com

Investment Profile

The change to the investment profile (by asset class) of BHMF is summarised as follows:

Material Events and Transactions

Trigger of class closure resolutions 

The Board of the Company announced in October that the discount control provisions contained in the Company's articles of association have been triggered for the Company's USD and Euro share classes. 

Accordingly, the Company is now required by its articles of association to convene a class meeting of each of the USD and Euro share classes to consider a Class Closure Resolution (as such term is defined in the Company's articles of association) to approve arrangements for the discontinuation of such classes. The Class Closure Resolution for each class is a special resolution which will require not less than 75 per cent. of the total voting rights cast on the resolution to be in favour in order to become effective.  

The Company intends to convene an Extraordinary General Meeting on the same date as the class meetings to propose amendments to the Company's articles of association, including in relation to the discount management arrangements as they apply to all share classes. The Board of the Company will recommend to holders of the USD and Euro classes to vote against approval of the Class Closure Resolutions and will recommend to all shareholders to vote in favour of the amendments to the articles of association. Further details, including reasons to vote against the Class Closure Resolutions and in favour of the amendments to the articles of association, will be included in a circular to be sent to shareholders. 

Discount Management

In the period between 1 July 2009 and 30 September 2009 the Company did not purchase any shares on the market in accordance with its ongoing discount management policy.

Enquiries

Northern Trust International Fund Administration Services (Guernsey) Limited

Harry Rouillard +44 (0) 1481 74 5315