Scale Back of Tender Offer

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, DIRECTLY OR INDIRECTLY, IN OR INTO, THE UNITED STATES, AUSTRALIA, CANADA OR JAPAN

Scale back of Tender Offer

BH Macro Limited (the "Company")

(an authorised closed-ended collective investment scheme established as a company with limited liability under the laws of Guernsey with registration number 46235)

3 June 2016

In relation to the tender offer to shareholders (the “Tender Offer”) for up to 25 per cent. of the issued shares of each class of the Company (the “Available Shares”) the Company today announces the scale back procedures that it has undertaken in order to fulfil the tenders received in excess of the number of Available Shares.

In respect of tenders received for:

1. Euro shares at a 5 per cent. discount to the net asset value per share as at 31 May 2016 (the “5 per cent. Increment”);
2. Sterling shares at the 5 per cent. Increment; and
3. US Dollar shares at a 6 per cent. discount to the net asset value per share as at 31 May 2016 (the “6 per cent. Increment”),

there are insufficient remaining Available Shares to satisfy, in full, all tenders received from shareholders who have not had 25 per cent. of their shareholding as at the Tender Offer record date (their “Basic Entitlement”) accepted for tender.

Each shareholder tendering Euro shares as part of their Basic Entitlement at the 5 per cent. Increment will have 95.39930 per cent. of their shares tendered in respect of their remaining Basic Entitlement satisfied. The scale back percentage has been calculated by dividing the number of remaining Euro shares that are available for tender by the number of Euro shares tendered by shareholders in respect of their remaining Basic Entitlement at the 5% Increment and the percentage has been adjusted to ensure that all available Euro shares are utilised to settle tenders from shareholders. Any tender which would have resulted in a fractional entitlement has been rounded down to the nearest whole number.

Each shareholder tendering Sterling shares as part of their Basic Entitlement at the 5 per cent. Increment will have 32.61368 per cent. of their shares tendered in respect of their remaining Basic Entitlement satisfied. The scale back percentage has been calculated by dividing the number of remaining Sterling shares that are available for tender by the number of Sterling shares tendered by shareholders in respect of their remaining Basic Entitlement at the 5% Increment and the percentage has been adjusted to ensure that all available Sterling shares are utilised to settle tenders from shareholders. Any tender which would have resulted in a fractional entitlement has been rounded down to the nearest whole number.

Each shareholder tendering US Dollar shares as part of their Basic Entitlement at the 6 per cent. Increment will have 31.10356 per cent. of their shares tendered in respect of their remaining Basic Entitlement satisfied. The scale back percentage has been calculated by dividing the number of remaining US Dollar shares that are available for tender by the number of US Dollar shares tendered by shareholders in respect of their remaining Basic Entitlement at the 6% Increment and the percentage has been adjusted to ensure that all available US Dollar shares are utilised to settle tenders from shareholders. Any tender which would have resulted in a fractional entitlement has been rounded down to the nearest whole number.

The Company has instructed its registrar to release all unsuccessfully tendered shares from escrow such that they are returned to the CREST accounts of the relevant shareholders week commencing 6 June 2016.

Expected timetable

Final tender prices for each class of share and repurchase date for successfully tendered shares announced	Final week of June 2016
Settlement through CREST of, and despatch of cheques for, the Tender Offer consideration, as appropriate	by 8 July 2016

All references are to London time.  

Enquiries

Brevan Howard:

Dan Riggs
020 7022 6236

J.P. Morgan Cazenove:

William Simmonds
020 7742 4000

Northern Trust:

Sharon Williams
01481 745436

Important notices

J.P. Morgan Securities plc, which conducts its UK investment banking activities as J.P. Morgan Cazenove ("J.P. Morgan Cazenove"), which is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authority and the Financial Conduct Authority in the United Kingdom, is acting exclusively for the Company and no-one else in connection with the Tender Offer and will not be responsible to anyone other than the Company for providing the protections afforded to customers of J.P. Morgan Cazenove or for providing advice in relation to the Tender Offer or any matter referred to herein.

This announcement does not constitute an offer or solicitation to acquire or sell any securities in the Company. Any acceptance or other response to the Tender Offer should be made on the basis of the information contained in the Circular. The Tender Offer will not be extended into any jurisdiction where to do so may be unlawful or which may otherwise subject the Company or any other person to any unduly onerous obligation. 

This announcement is not for distribution in or into the United States, Canada, Australia or Japan or any other jurisdiction in which its distribution may be unlawful. This announcement is not an offer of securities for sale in the United States or elsewhere. The securities of the Company have not been and will not be registered under the United States Securities Act of 1933, as amended (the “Securities Act”), and may not be offered or sold in the United States unless registered under the Securities Act or pursuant to an exemption from such registration. The Company has not been and will not be registered under the US Investment Company Act of 1940, as amended, and investors are not entitled to the benefits of that Act. There has not been and there will be no public offering of the Company’s securities in the United States.

This announcement includes statements that are, or may be deemed to be, ‘‘forward-looking statements’’. These forward-looking statements can be identified by the use of forward-looking terminology, including the terms ‘‘believes’’, ‘‘estimates’’, ‘‘anticipates’’, ‘‘expects’’, ‘‘intends’’, ‘‘may’’, ‘‘will’’ or ‘‘should’’ or, in each case their negative or other variations or comparable terminology. These forward-looking statements include matters that are not historical facts. They appear in a number of places throughout this announcement and include statements regarding the intentions, beliefs or current expectations of the Company. By their nature, forward-looking statements involve risks and uncertainties because they relate to events and depend on circumstances that may or may not occur in the future. Forward-looking statements are not guarantees of future performance. The investment performance, financial condition and prospects of the Company may change. Except as required by law or applicable regulation, the Company does not undertake any obligation to update any forward-looking statements, even though the situation of the Company may change in the future. All of the information presented in this announcement, and particularly the forward-looking statements, is qualified by these cautionary statements.

END