Monthly Shareholder Report - September 2015

		BH MACRO LIMITED MONTHLY SHAREHOLDER REPORT: September 2015 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 Listings: London Stock Exchange (Premium Listing) NASDAQ Dubai - USD Class (Secondary listing) Bermuda Stock Exchange (Secondary 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:	$1,656 mm¹
	1. Estimated as at 30 September 2015 by BHM's administrator, Northern Trust.
Summary Information	BH Macro Limited NAV per Share (estimated as at 30 September 2015)
	Share Class NAV (USD mm) NAV per Share USD Shares 375.3 $20.69 EUR Shares 107.9 €20.83 GBP Shares 1,173.0 £21.57
	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 -0.66* 0.35*
	EUR Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2007 0.05 0.70 0.02 2.26 2.43 3.07 5.65 -0.08 2.85 0.69 18.95 2008 9.92 6.68 -2.62 -2.34 0.86 2.84 1.28 0.98 -3.30 2.79 3.91 -0.45 21.65 2009 5.38 2.67 1.32 0.14 3.12 -0.82 1.33 0.71 1.48 1.05 0.35 0.40 18.36 2010 -0.30 -1.52 0.03 1.48 0.37 1.39 -1.93 1.25 1.38 -0.35 -0.34 -0.46 0.93 2011 0.71 0.57 0.78 0.52 0.65 -0.49 2.31 6.29 0.42 -0.69 1.80 -0.54 12.84 2012 0.91 0.25 -0.39 -0.46 -1.89 -2.20 2.40 0.97 1.94 -0.38 0.90 1.63 3.63 2013 0.97 2.38 0.31 3.34 -0.10 -2.98 -0.82 -1.55 0.01 -0.53 1.34 0.37 2.62 2014 -1.40 -1.06 -0.44 -0.75 -0.16 -0.09 0.74 0.18 3.88 -1.80 0.94 -0.04 -0.11 2015 3.34 -0.61 0.40 -1.25 0.94 -0.94 0.28 -0.84 -0.69* 0.56*
	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 -0.65* 0.81*
	Source: Fund NAV data is provided by the administrator of the Fund, International Fund Services (Ireland) Limited. 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 fees (2% annual management fee and 20% performance fee) and all other fees and expenses payable by BHM. In addition, the Fund is subject to an operational services fee of 50bps per annum. 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. *Estimated by BHCM as at 30 September 2015 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
ASC 820 Asset Valuation Categorisation*	Brevan Howard Master Fund Limited
	Unaudited estimates as at 30 September 2015
	% of Gross Market Value* Level 1 70.7 Level 2 28.5 Level 3 0.8
	Source: BHCM * These estimates are unaudited and have been calculated by BHCM using the same methodology as that used in the most recent audited financial statements of the Fund. These estimates are subject to change. 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.
Performance Review	The information in this section has been provided to BHM by BHCM. FX trading overall was down 45 basis points in September. Losses came mainly from short positions in China FX and from a tactical positioning in JPY. The Fund made modest gains from tactical short positions across a range of currencies (incl.  AUD, CAD, SGD and TWD) against the USD. Equity trading was a small detractor during the month, mainly from weakness in Asian indices as well as from declining levels of option volatility in Europe. Small gains were generated from short positions in US equity indices. Interest rate trading during the month was approximately flat. Profits were generated from long positioning in European interest rates as well as European asset swaps, but asset swap spreads in the US narrowed sharply resulting in offsetting losses. Further small losses resulted from interest rate positioning in emerging markets. The performance attribution above is derived from estimates calculated by BHCM, based on total performance data provided by the Fund’s administrator, International Fund Services (Ireland) Limited and risk estimates, estimated as at 30 September 2015. Performance by Asset Class Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by asset group Rates FX Commodity Credit Equity Discount Management Total September -0.03 -0.45 -0.06 -0.07 -0.11 0.06 -0.66 Q1 2015 -0.34 2.21 -0.16 0.15 1.01 0.04 2.90 Q2 2015 0.48 -1.16 -0.05 -0.18 -0.46 0.00 -1.37 Q3 2015 -0.24 -0.04 -0.01 -0.17 -0.80 0.12 -1.12 YTD 2015 -0.09 0.99 -0.22 -0.20 -0.26 0.16 0.35 Monthly, quarter-to-date and year-to-date figures are calculated by BHCM as at 30 September 2015, based on total performance data for each period provided by the Fund's administrator, International Fund Services (Ireland) Limited. Figures rounded to two decimal places. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Performance by Strategy Group Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by strategy group Macro Rates FX EMG Equity Commodity Credit Systematic Discount Management Total September -0.79 0.34 -0.06 -0.17 0.00 -0.00 -0.05 0.00 0.06 -0.66 Q1 2015 1.66 0.66 0.13 -0.04 0.03 -0.01 0.39 0.03 0.04 2.90 Q2 2015 -1.17 -0.02 0.10 -0.12 -0.00 -0.00 -0.12 -0.03 0.00 -1.37 Q3 2015 -1.37 0.54 -0.08 -0.14 -0.00 -0.00 -0.19 0.00 0.12 -1.12 YTD 2015 -0.91 1.19 0.15 -0.29 0.03 -0.01 0.08 0.00 0.16 0.35 Monthly, quarter-to-date and year-to-date figures are calculated by BHCM as at 30 September 2015, based on total performance data for each period provided by the Fund's administrator, International Fund Services (Ireland) Limited. Figures rounded to two decimal places. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Methodology and Definition of Monthly Contribution to Performance: 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) “Rates”: developed interest rates markets “FX”: global FX forwards and options “EMG”: global emerging markets “Equity”: global equity markets including indices and other derivatives “Commodity”: liquid commodity futures and options “Credit”: corporate and asset-backed indices, bonds and CDS “Systematic”: rules-based futures trading “Discount Management”: buyback activity for discount management purposes
Manager's Market Review and Outlook	The information in this section has been provided to BHM by BHCM
	US Questions about the strength and durability of the US expansion emerged in September. Markets feared that weakness in the global outlook, lower equity prices, and wider credit spreads would begin to metastasize into the US economy. Those fears were partly affirmed by the weak jobs numbers in September and downward revisions to August. Payroll gains averaged a sub-par 140,000 in the last two months. While the unemployment rate at 5.1% retained its prior gains and sits in the neighborhood of full employment, the participation rate renewed its downward decline after having been stable for several months. During the expansion, the labour market has occasionally taken a breather, so it will be interesting to see whether this repeats that pattern or is a signal of something worse. Indicators for growth have been a mixed bag, with strength in consumption and weakness in manufacturing and trade. On the positive side, car sales were very strong in September. Part of the strength owed to the calendar configuration; even so, the average through August and September suggests households are confident in making big-ticket purchases. By contrast, manufacturing appears to be teetering on the edge of recession, pulled down by a combination of declines in the energy sector and exporters who face weak demand from abroad and less competitive pricing because of the appreciation in the US dollar. The September trade numbers showed exports dropping and slicing GDP tracking into the low 2% range for the current quarter. Inflation looks to have bottomed out at the end of the summer. Headline prices are about flat and core PCE inflation ticked up to 1.3%. Over the coming months, barring further shocks to consumer energy prices and import prices, base effects will put some upward pressure on the year-over-year inflation rates. In conclusion, the Federal Reserve looks wise to have decided at its September meeting to wait and see how the economy unfolds for the rest of the year. There is still some likelihood of a rate hike in December. However, the onus is on the labour market data to firm, inflation to get a little better, and market sentiment not to get materially worse. EMU In September, the picture of the euro area economy depicted by business surveys was somewhat contradictory, the Composite Purchasing Managers’ Index “(PMI”) showed some moderate loss of momentum, falling by 0.7 points to a still robust 53.6 level, while the European Commission and the Ifo surveys were more resilient around levels close to cyclical highs. Actual activity data, available to August were consistent depicting some loss of momentum in manufacturing and exports, on the one hand, and still buoyant consumption on the other as industrial production started to suffer from the slowdown in external growth. Looking ahead, these tendencies are poised to persist, with weak external demand stemming from emerging economies and, possibly, the consequences of the Volkswagen scandal weakening industrial activity, but easy monetary policy and low energy prices are supporting domestic demand. In terms of prices, inflation showed a renewed decline, with the Harmonised Index of Consumer Prices (“HICP”) inflation rate falling back into negative territory in September, to -0.1% y/y from +0.1% y/y in August on the back of lower energy prices. Indeed, core inflation stabilised at 0.9% y/y. Speaking in front of the European Parliament’s Economic and Monetary Affairs Committee, ECB’s President Mario Draghi took the opportunity to repeat the ECB’s readiness to act should the inflation outlook weaken “more fundamentally than they projected at present”, emphasising that “more time was needed to determine in particular whether the loss of growth momentum in emerging markets was of a temporary or permanent nature”. On the political side, the main focus remained to work on finding a common European response to the ongoing refugee crisis. The regional Catalan elections in Spain saw the Pro-independence parties – the ‘Together for Yes’ alliance and the small anti-capitalist Candidatura de Unidad Popular (“CUP”) party– securing 72 of 135 seats in the parliament. With 47.8% of the votes, the two Catalan parties however fell short of gaining an absolute majority. In Portugal, the incumbent centre-right coalition led by Portuguese Prime Minister Pedro Passos Coelho finished ahead, without securing an outright majority in parliament. UK Since April 2015, manufacturing surveys have been pointing towards stagnant output in the sector. Actual output data has affirmed this, with manufacturing production recording a decline of -0.8% y/y in August. The most recent manufacturing surveys continue to point to little, or no growth in the manufacturing sector. Moreover, the latest trade figures show that goods exports fell -9.2% m/m in July, on the back of stronger sterling and weak external demand. In contrast, the services sector continues to perform well, currently growing at a robust pace of 2.8% y/y in July. However, the most recent survey on services activity has shown signs of potential moderation. Growth in retail sales volumes, which was previously supported by subdued pricing, has moderated from a very high pace. Although it is expected that this slow-down in momentum is set to continue, growth in retail sales volumes should continue to be supported by solid consumer credit growth, high consumer confidence and increasing wages. Housing and construction activity continues to fare well. Mortgage lending has picked up in pace in recent months, although it is still growing at well below pre-crisis levels. Most housing activity surveys remain fairly robust. The UK economy has been growing at a solid pace of around 2-2.5%, but more recent data and surveys suggest that growth will be in the bottom end of this range in Q3. Tighter fiscal policy (as announced in July), weaker global demand and a higher exchange rate may also cause a further slowdown in economic growth in the coming quarters. After experiencing a prolonged downtrend throughout most of 2014, the unemployment rate has stopped falling and has been hovering between 5.5% and 5.6% over the past 6 months to July. Similarly, employment growth has subsided from a high pace, and the claimant count has stopped falling. Conversely, wage inflation has resumed its upward climb, recording a rate of 3.2% y/y in July, the highest pace since the crisis. At the Bank of England’s (“BoE”) most recent Monetary Policy Committee (“MPC”) meeting, again, only 1 member voted for an increase in interest rates, while the remaining 8 voted to hold interest rates unchanged. While some members suggest that the recent increase in wage inflation, combined with robust economic growth, should gesture the MPC to begin raising rates in the near future, other members argue that the inflationary effects of wage inflation will be tempered by the recent higher growth in productivity. The minutes of the meeting also highlighted growing downside risks to global growth stemming from China. Moreover, while it is known that the higher exchange rate will continue to weigh on inflation, various members appear to disagree with regards to the magnitude and timing of the pass-through effects from the exchange rate. Headline inflation again went into negative territory last month at -0.1% y/y in September and core inflation 1.0% y/y (both well below the target of 2%).  In addition, given that the Federal Reserve did not begin tightening monetary policy in September, there does not appear to be an imminent need for the BoE to raise interest rates yet. Japan The Bank of Japan (“BoJ”) left policy unchanged at its October meeting, citing an improved inflation trend outside of energy and a moderate recovery in domestic demand.  In commentary afterwards, Governor Kuroda didn’t betray any hints of upcoming additional accommodation.   At this point last year, he also didn’t suggest any changes to policy, only to see the BoJ increase accommodation at the next meeting. Consumer prices excluding energy have accelerated.  The western core consumer price index (“CPI”), which excludes food and energy costs, has risen 0.1% or 0.2% in six of the last seven months, and the 12-month change has moved up 0.4 percentage points in the last four months.  The acceleration is all the more impressive as domestic prices have not received any support from exchange rates, where the broad, trade-weighted yen has been essentially flat in 2015. Neither have they received any support from housing rents, which represent over one-quarter of the western core index.  Also, whatever pass-through there is to core inflation, energy costs have served to push down inflation.  The only cautionary note is that consumer year-ahead inflation expectations have broken out to the downside of their recent range. Activity, however, has been mixed.  Direct measures of consumer demand have been the bright spot recently, with indicators flat to up on balance. However, industrial production has declined as Japan has borne its share of the fallout from the slowdown in China and global manufacturing generally.  Business surveys have also varied.  The latest quarterly Tankan survey has decreased slightly from quarter to quarter, though remains well within the sideways range seen for the better part of two years.  The Shoko-Chukin index of small and medium-sized businesses ran up in October, moving above 50 points for the first time since the consumption tax was raised last year.  On the other hand, the latest reading from the Economy Watchers decreased again, and that index has turned down since peaking in the spring. As a means to regain political momentum, Prime Minister Abe announced the goal to raise gross domestic product (“GDP”) to 600 trillion yen by 2020.  That requires nominal GDP growth to average a little over 3.5% at an annual rate.  This appears optimistic. Real potential GDP is currently at around 0.5%, and GDP inflation is likely to be moderate going forward as the BoJ is targeting 2% consumer price inflation and GDP prices typically run slower than the CPI.  This implies nominal GDP growth closer to 2%, rather than 3.5%. As for more concrete reforms, negotiators reached an agreement on the Trans-Pacific Partnership.  The program still has to be ratified by the participant countries.  Approval by the United States Congress is not assured given the current political environment, even if policy elites in Washington are confident of passage.  China Activity in China has slowed again in August/September, indicating that a promising recovery is likely to be further delayed. The PMIs produced by both Markit (Caixin) and the National Bureau of Statistics have remained weak and the synthetic HSBC Composite PMI fell further from 48.8 in August to 48.0 in September, the lowest level since January 2009. Details of the surveys were mixed, demonstrating that Small and Medium Size Enterprises (“SMEs”) have been hit harder than the large enterprises. Disinflationary pressures intensified, and employment remained in contraction territory. Real activity indicators including industrial production and fixed-asset investment disappointed market expectations in September, while retail sales recovered marginally. In particular, industrial production growth fell further to only 5.7% y/y in September. CPI yearly inflation fell to 1.6% y/y in September, above the 1.8% consensus as food prices normalised, while PPI remained in negative territory at -5.9% y/y, thus providing room for more policy easing. According to trade data in September, the trade surplus stayed as large as US$60bn, above the expected figure of US$48bn. Details of the report were mixed, export growth was at -3.7% y/y, while import growth fell sharply to -20.4% y/y. Currently the pace will have to accelerate to achieve the 7% target. After a short-lived spike in June, the 7-day repo rate fixing fell by nearly 50 bps and it has recently stabilised at 2.4% as the People’s Bank of China (“PBoC”) injected liquidity through various channels. However, the transmission mechanism from interbank market rates to economic growth is less than clear. Credit data in August and September recorded only a marginally better figure after a very poor reading in July, suggesting that demand is still quite weak. During September, the PBoC managed to stabilise the CNY spot between 6.35 to 6.40 following an estimated intervention of US$120bn between August 11 to August 31. In addition, it was also reported to have intervened in the CNH market in order to close the gap between CNY and CNH. The government has tried to convince the market that they would continue to stabilise the exchange rate at the current level.
Enquiries	Northern Trust International Fund Administration Services (Guernsey) Limited Harry Rouillard [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.