Transaction in Own Shares

BH Macro Limited (the "Company")
(a closed-ended collective investment scheme established as a company with limited liability under the laws of Guernsey with registered number 46235)

Transaction in Own Shares
20 September 2016

BH Macro Limited (the Company) announces today it has purchased the following number of its ordinary shares on the London Stock Exchange from J.P. Morgan Securities plc:

Ordinary Shares: - Share Class	Sterling	Dollar	Euro
Date of purchase:	20 September 2016	20 September 2016	20 September 2016
Number of ordinary shares purchased:	23,524	31,374	203
Lowest price per share	18.88	18.39	18.23
Highest price per share	18.98	18.40	18.23
Trading venue	London	London	London
Aggregate volume per date per trading venue:	23,524	31,374	203
Weighted average price per day per trading venue:	18.9374	18.3996	18.23

The Company intends to hold the purchased shares in treasury.

Following the above share transactions of the relevant Euro, US Dollar and Sterling Shares, the total number of shares in issue in each share class of the Company will be as follows:

Ordinary Shares in issue (excluding Treasury)	Ordinary Shares held in Treasury
22,065,714 Sterling Shares	2,151,875 Sterling Shares
2,158,873 Euro Shares	234,079 Euro Shares
10,587,526 Dollar Shares	1,149,917 Dollar Shares