Monthly Shareholder Report - May 2018

		BH MACRO LIMITED MONTHLY SHAREHOLDER REPORT: MAY 2018 YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT

BH Macro Limited	Overview
Manager: Brevan Howard Capital Management LP (“BHCM”) Administrator: Northern Trust International Fund Administration Services (Guernsey) Limited (“Northern Trust”) Corporate Broker: J.P. Morgan Cazenove Listing: London Stock Exchange (Premium Listing)	BH Macro Limited (“BHM”) is a closed-ended investment company, registered and incorporated in Guernsey on 17 January 2007 (Registration Number: 46235). BHM invests all of its assets (net of short-term working capital) in the ordinary shares of Brevan Howard Master Fund Limited (the “Fund”). BHM was admitted to the Official List of the UK Listing Authority and to trading on the Main Market of the London Stock Exchange on 14 March 2007.
	Total Assets:	$505 mm¹
	1. As at 31 May 2018. Source: BHM's administrator, Northern Trust.
Summary Information	BH Macro Limited NAV per Share (Calculated as at 31 May 2018)
	Share Class NAV (USD mm) NAV per Share USD Shares 65.7 $23.82 GBP Shares 439.7 £23.49
	BH Macro Limited NAV per Share % Monthly Change
	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 10.20
	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 6.86 -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 9.43
	Source: Fund NAV data is provided by the administrator of the Fund, International Fund Services (Ireland) Limited (“IFS”). BHM NAV and NAV per Share data is provided by BHM’s administrator, Northern Trust. BHM NAV per Share % Monthly Change is calculated by BHCM. BHM NAV data is unaudited and net of all investment management and all other fees and expenses payable by BHM. In addition, the Fund is subject to an operational services fee. With effect from 1 April 2017, the management fee is 0.5% per annum. BHM’s investment in the Fund is subject to an operational services fee of 0.5% per annum. No management fee or operational services fee is charged in respect of performance related growth of NAV for each class of share in excess of its level on 1 April 2017 as if the tender offer commenced by BHM on 27 January 2017 had completed on 1 April 2017. 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. Data as at 31 May 2018 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

ASC 820 Asset Valuation Categorisation on a non look-through basis* ASC 820 Asset Valuation Categorisation on a look-through basis* Performance Review	Brevan Howard Master Fund Limited
	Unaudited as at 31 May 2018
	% of Gross Market Value* Level 1 66.9 Level 2 22.9 Level 3 0.0 At NAV 10.2 Source: BHCM * This data is unaudited and has been calculated by BHCM using the same methodology as that used in the most recent audited financial statements of the Fund. The relative size of each category is subject to change. Sum may not total 100% due to rounding. Level 1: This represents the level of assets in the portfolio which are priced using unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. Level 2: This represents the level of assets in the portfolio which are priced using either (i) quoted prices that are identical or similar in markets that are not active or (ii) model-derived valuations for which all significant inputs are observable, either directly or indirectly in active markets. Level 3: This represents the level of assets in the portfolio which are priced or valued using inputs that are both significant to the fair value measurement and are not observable directly or indirectly in an active market. At NAV: This represents the level of assets in the portfolio that are invested in other Brevan Howard funds and priced or valued at NAV. % of Gross Market Value* Level 1 74.7 Level 2 25.3 Level 3 0.0 Source: BHCM * This data reflects the combined ASC 820 levels of the Fund and the underlying allocations in which the Fund is invested, proportional to each of the underlying allocation’s weighting in the Fund’s portfolio. The data is unaudited and has been calculated by BHCM using the same methodology as that used in the most recent audited financial statements of the Fund and any underlying funds (as the case may be). The relative size of each category is subject to change. Sum may not total 100% due to rounding. Level 1: This represents the level of assets in the portfolio which are priced using unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. Level 2: This represents the level of assets in the portfolio which are priced using either (i) quoted prices that are identical or similar in markets that are not active or (ii) model-derived valuations for which all significant inputs are observable, either directly or indirectly in active markets. Level 3: This represents the level of assets in the portfolio which are priced or valued using inputs that are both significant to the fair value measurement and are not observable directly or indirectly in an active market. The information in this section has been provided to BHM by BHCM. In May 2018, gains were generated across a range of markets and strategies including European, US and UK interest rates and government bond trading. Foreign exchange, credit and equity index trading also contributed positively over the month. The performance review and attributions are derived from data calculated by BHCM, based on total performance data for each period provided by the Fund’s administrator (IFS) and risk data provided by BHCM, as at 31 May 2018.
Manager's Market Review and Outlook Enquiries	Performance by Asset Class Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by asset class as at 31 May 2018 2018 Rates FX Commodity Credit Equity Total May 2018 7.33 0.83 0.01 0.20 0.02 8.41 Q1 2018 0.93 -0.20 0.01 -0.06 -0.07 0.58 QTD 2018 8.60 0.73 0.02 0.09 0.12 9.57 YTD 2018 9.61 0.52 0.04 0.04 0.04 10.20 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 “Commodity”: commodity futures and options “Credit”: corporate and asset-backed indices, bonds and CDS “Equity”: equity markets including indices and other derivatives Performance by Strategy Group Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by strategy group as at 31 May 2018 2018 Macro Systematic Rates FX Equity Credit EMG Commodity Total May 2018 5.78 0.01 1.29 0.29 -0.00 -0.04 1.08 -0.00 8.41 Q1 2018 0.87 0.02 -0.46 -0.09 -0.00 -0.03 0.28 -0.00 0.58 QTD 2018 5.98 0.01 2.10 0.37 -0.00 -0.07 1.10 -0.00 9.57 YTD 2018 6.91 0.03 1.63 0.28 -0.00 -0.09 1.39 -0.00 10.20 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Methodology and Definition of Contribution to Performance: Strategy Group attribution is approximate and has been derived by allocating each trader book in the Fund to a single category. In cases where a trader book has activity in more than one category, the most relevant category has been selected. The above strategies are categorised as follows: “Macro”: multi-asset global markets, mainly directional (for the Fund, the majority of risk in this category is in rates) “Systematic”: rules-based futures trading “Rates”: developed interest rates markets “FX”: global FX forwards and options “Equity”: global equity markets including indices and other derivatives “Credit”: corporate and asset-backed indices, bonds and CDS “EMG”: global emerging markets “Commodity”: liquid commodity futures and options The information in this section has been provided to BHM by BHCM US The US economy reaccelerated in Q2. The labour market was notably strong in May, real gross domestic product (“GDP”) growth is tracking around 4% (annual rate), and core personal consumption expenditures (“PCE”) inflation is just below 2%. Payroll employment surged about 225,000 in May, and the unemployment rate declined to 3.75%, a nearly 50 year low. While it may be that the economy’s long-run sustainable unemployment rate is below the Federal Reserve’s (“Fed”) estimate of 4.5%, this kind of labour market momentum promises to strain the economy’s capacity for stable prices. Real GDP growth has been paced by a resurgence in consumer spending, moderate business investment, and a surprising improvement in net exports. Taking the first half of the year as a whole, growth appears to be approximately 3% at an annual rate, far above estimates of potential growth. With fiscal stimulus eventually kicking in, the second half of the year should see continued strength. Core PCE inflation was 1.8% in the latest reading, and is likely to edge up to 2% over the summer. At its June meeting, the Federal Reserve raised the target range for federal funds to 1.75%-2%, finally bringing real interest rates near zero. With estimates of the neutral fund rates as low as zero, some policy makers are beginning to urge caution about further rate increases. However, other policy makers believe modestly restrictive policy will be necessary in order to slow the economy. Chairman of the Federal Reserve, Jerome Powell, charted a fairly neutral course between these two camps in his press conference, promising a gradual pace of rate hikes so long as the economy is not reacting badly. In its new Summary of Economic projections, the median policy maker now sees four total rate hikes this year and a little faster pace of rate hikes afterwards to a modestly restrictive policy stance in 2019 and 2020. Meanwhile, it appears the economy is already operating above potential with inflation close to target. Developments in Washington looked increasingly disruptive for markets and the economy. President Trump unveiled sizable tariffs on Chinese goods, and the Chinese responded in kind immediately. Trade and geopolitical tensions were extended to traditional allies in the G7 and especially Canada and Mexico. Given Congressional deadlines and the Mexican election, hopes for a North American Free Trade Agreement (“NAFTA”) deal in 2018 have died. Political influences on markets are probably going to heat up going into the important midterm elections in November. UK Consistent with the moderation in European growth, activity in the UK has moderated according to recent data. The latest estimates from the Office for National Statistics (“ONS”) showed that GDP grew 0.1% q/q in Q1, markedly slower compared to the 0.4% pace seen in Q4. Some of the weakness appeared to be temporary; for example construction was particularly weak, detracting 0.2ppts from GDP, and was likely reflective of the higher than usual snowfall. However, growth in both the services and manufacturing sectors were also more modest compared to recent history. So far, the outlook for growth in Q2 is mixed; the headline measure of the composite Purchasing Managers’ Index (“PMI”) has bounced back to the levels seen in March. However, surveys on new orders have remained muted. Moreover, hard data so far has not been encouraging for Q2 growth. Manufacturing production fell 1.4% m/m in April, whilst construction output only rose 0.5% m/m, a modest outcome given the 6% fall over the prior three months. In addition, UK exports have fallen in recent months, and are now down 7% from the peak in September, resulting in a trade balance of £-5.3bn in April. More encouragingly, consumer confidence rose 2pts to -7 in April and retail sales rose 2.7% over the two months to May. Meanwhile, the housing market has remained relatively soft, as has been the case since the Brexit referendum. House prices continue to grow around 2% y/y, down from the 6-7% pace seen in 2015 and the first half of 2016. Overall, data suggests that the pace of growth has moderated compared to the relatively resilient pace seen in 2017. Despite less buoyant activity data, the labour market has continued to perform well, with employment growing 1.4% y/y as of April 2018, and unemployment remaining stable at a multi-decade low of 4.2%. The improvement in the labour market has also been finally matched by improved wage growth data; average weekly earnings (excluding bonuses) are now growing at a pace of 2.8% 3m/12m. Surveys related to pay growth, including wage settlements and recruitment difficulties, also suggest that underlying wages may continue to improve. Meanwhile, headline inflation and core inflation, which excludes volatile items like food and energy, were unchanged in May at 2.4% y/y and 2.1% y/y respectively. At the Bank of England’s (“BoE”) most recent Monetary Policy Committee (“MPC”) meeting in June, three members voted to raise the official bank rate a further 0.25% whilst the six person majority voted to keep rates unchanged at 0.5% (the BoE’s chief economist, Andy Haldane, joined the other two members who voted for a rate rise in the previous meeting). The moderation in recent data had dissuaded the majority of MPC members from voting for a rate rise, but the MPC’s judgement is that the slowdown was temporary and growth should resume its 0.4% q/q pace from Q2. As such, the monetary policy statement concluded that if the economy were to develop broadly in line with the May Inflation Report projections, ‘an ongoing tightening of monetary policy over the forecast period would be appropriate to return inflation sustainably to its target at a conventional horizon’. Should economic data align with its view, the MPC would probably raise the official bank rate as soon as August. Meanwhile, the Brexit process continues to cloud the outlook for the United Kingdom. No solution has yet been agreed regarding the difficulties surrounding the Irish border. EMU Activity indicators released in May continued to indicate that the downshift recorded by EMU GDP, from 2.8% annualised in H2 2017, to 1.5% in Q1 2018, was part of a persistent process, rather than a temporary slowdown induced by transient and noisy factors. Indeed, the EMU Composite PMI fell in May by another full point to 54.1, a level which is 3 points lower than the average of Q1, driven down by both Manufacturing and Business Services. Actual activity indicators, available for the month of April, signalled similar dynamics to business surveys, as industrial production and car registrations exerted a drag, only partially offset by a recovery in construction and retail sales. On the inflation front, May data saw a rebound from the April lows for both headline Harmonised Index of Consumer Prices, from 1.3% to 1.9% y/y, and core inflation, from 0.7% to 1.1% y/y, led by both a jump in energy prices and the last leg of the Easter effect. However, averaging April/May, core inflation still stood at a low level of 0.9% y/y, which is not encouraging on the underlying price dynamics converging to the European Central Bank (“ECB”) target anytime soon. At its June meeting the ECB unveiled a number of measures. Firstly, it extended the quantitative easing programme from September to December 2018, but at a slower pace of €15bn of purchases per month. Secondly, it intends to end the programme in December, conditional on the assessment that inflation is on a path of self-sustaining convergence towards the ECB medium term definition of price stability. Finally, and most importantly, it strengthened forward guidance, signalling the intention not to hike interest rates before the summer of 2019. The set of macroeconomic projections which were released in June and represented the backbone of the policy decision, look biased on the high side for both core inflation and growth, thus leaving the ECB a decision at the end of the year on whether to continue with purchases into 2019. Japan The Bank of Japan (“BoJ”) made no changes to its policies coming out of its latest meeting, and there is no indication that any change to its yield curve control policy is likely. Indeed, the statement marked down the assessment of inflation; where previously it was described as around 1%, the assessment now is that it is “in a range of 0.5 to 1%”. While a more accurate description of the 12 month change in core inflation (0.7% through April), it does not elucidate more near-term trends. Western core prices, which exclude all food and energy, have fallen the last two months on a seasonally adjusted basis. Tokyo prices, which lead national prices by a month, have fallen for three straight months. Nonfresh food prices, which have been running faster than Western Core prices, do not indicate a further impetus to core inflation. Energy prices could provide some support to the core rate, which only excludes fresh food prices. However, that support is always fleeting and given that Japan is a net energy importer, it can hardly be described as good news were prices to pick up. Some inflation fundamentals are not backsliding, but neither do they suggest a pick up is likely to happen soon, as would be needed to give any hope of approaching the BoJ’s latest inflation forecast. Inflation expectations inched down, albeit not after rounding, in the latest survey of consumer expectations. The yen has been little changed relative to the dollar in the latest month. Real GDP fell 0.6% at an annual rate in the first quarter, its first decline in over two years, which pulled down measures of the output gap. The Cabinet Office puts activity as only slightly above its potential. High frequency measures of recent activity were mixed. The Economy Watchers index declined almost 2 points to 47.1. That represents a bit of a downside breakout from its range, and is the lowest reading since September 2016. On the other hand, industrial production rose in April, putting the index back on its trend after a swing around the turn of the year. The Company Secretary Northern Trust International Fund Administration Services (Guernsey) Limited [e-mail] [phone]

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 (“BHCM”) has supplied certain information herein regarding BHM’s and the Fund’s performance and outlook.

The material relating to BHM and the Fund included in this report 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. Information and opinions presented in this material relating to BHM and the Fund have been obtained or derived from sources believed to be reliable, but none of BHM, the Fund or BHCM make any representation as to their accuracy or completeness. Any estimates may be subject to error and significant fluctuation, especially during periods of high market volatility or disruption. Any estimates should be taken as indicative values only and no reliance should be placed on them. Estimated results, performance or achievements may materially differ from any actual results, performance or achievements. Except as required by applicable law, BHM, the Fund and BHCM expressly disclaim any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise.

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.

Risk Factors

Acquiring shares in BHM may expose an investor to a significant risk of losing all of the amount invested. Any person who is in any doubt about investing in BHM (and therefore gaining exposure to the Fund) should consult an authorised person specialising in advising on such investments. Any person acquiring shares in BHM must be able to bear the risks involved. These include the following:

• The Fund is speculative and involves substantial risk.

• The Fund will be leveraged and will engage in speculative investment practices that may increase the risk of investment loss. The Fund may invest in illiquid securities.

• Past results of the Fund’s investment managers are not necessarily indicative of future performance of the Fund, and the Fund’s performance may be volatile.

• An investor could lose all or a substantial amount of his or her investment.

• The Fund’s investment managers have total investment and trading authority over the Fund, and the Fund is dependent upon the services of the investment managers.

• Investments in the Fund are subject to restrictions on withdrawal or redemption and should be considered illiquid. There is no secondary market for investors’ interests in the Fund and none is expected to develop.

• The investment managers’ incentive compensation, fees and expenses may offset the Fund’s trading and investment profits.

• The Fund is not required to provide periodic pricing or valuation information to investors with respect to individual investments.

• The Fund is not subject to the same regulatory requirements as mutual funds.

• A portion of the trades executed for the Fund may take place on foreign markets.

• The Fund and its investment managers are subject to conflicts of interest.

• The Fund is dependent on the services of certain key personnel, and, were certain or all of them to become unavailable, the Fund may prematurely terminate.

• The Fund’s managers will receive performance-based compensation. Such compensation may give such managers an incentive to make riskier investments than they otherwise would.

• The Fund may make investments in securities of issuers in emerging markets. Investment in emerging markets involve particular risks, such as less strict market regulation, increased likelihood of severe inflation, unstable currencies, war, expropriation of property, limitations on foreign investments, increased market volatility, less favourable or unstable tax provisions, illiquid markets and social and political upheaval.

The above summary risk factors do not purport to be a complete description of the relevant risks of an investment in shares of BHM or the Fund and therefore reference should be made to publicly available documents and information.