Annual Report and Audited Financial Statements 2023

BH Macro Limited

Annual Report and Audited Financial Statements 2023

LEI: 549300ZOFF0Z2CM87C29

(Classified Regulated Information, under DTR 6 Annex 1 section 1.1)

The Company has today, in accordance with DTR 6.3.5, released its Annual Report and Audited financial statements for the year ended 31 December 2023. The Report will shortly be available from the Company’s website: www.bhmacro.com.

Chair’s Statement

In the interim report, I stated that 2023 had been a rollercoaster year to date for BH Macro Limited (the “Company”) after the successful equity raising at the beginning of the year. During the first six months of the year, we experienced the greatest reversal in interest rate expectations for 40 years, which had a detrimental impact on the NAV per share performance for Brevan Howard Master Fund Limited (the “Master Fund”). The period also saw the announcement of the merger of two of our largest shareholders, namely, Investec and Rathbones creating a combined entity which held voting rights of 26.08% of the Sterling Class shares and 0.92% of the US Dollar Class shares, as at 14 February 2024. The fear of a significant overhang of stock as a result of the merger contributed to the price of the Company’s shares moving to a significant discount during the year, having started the year at a large premium.

The second half of the year saw a significant reversal in the first half year’s disappointing NAV per share performance, which at June had fallen by slightly more than 6%. Notwithstanding the positive second half of the year in NAV per share performance, the discount on the Company’s shares persisted throughout the remainder of the financial year. No doubt some of this resulted from fears by some investors of selling, resulting from the merger referred to above, but it is worth remembering the words of President Roosevelt that we ‘have nothing to fear, but fear itself’. As your Board, we retain absolute confidence in Brevan Howard Capital Management LP (the “Manager”) as the Company’s manager, and we have the expectation that it will continue to deliver the good returns it demonstrated for more than 20 years. In these circumstances and given the clearance that the Takeover Panel has given that the combined Investec and Rathbones entity is not under any obligation to make sales of the stock, the Company is anticipating it will be able to stand or fall on its NAV per share performance and the relative attractiveness of other investments. The increase in interest rates and the competing attractiveness not just of cash, but other investment vehicles means that it is a challenging environment for macro funds. However, this difficult and volatile environment is one in which historically the Master Fund has flourished.

Whilst the overall return for the NAV per share during the financial year was slightly negative, being -1.81% for the Sterling Class shares and -1.33% for the US Dollar Class shares, the share price return for the financial year was significantly different, being -18.26% for the Sterling Class shares and -16.59% for the US Dollar Class shares. This share price performance is obviously disappointing. Your Board consequently initiated a share buyback programme during December 2023 and the discount narrowed from 13.12% (as at 30 November 2023) to 10.71% (as at 31 December 2023) for the Sterling Class shares, and similarly from 11.90% (as at 30 November 2023) to 11.71% (as at 31 December 2023) for the US Dollar Class shares. Your Board has continued to implement buybacks subsequent to the year end and has the ability to buyback, on an annual basis, 5% of the Company’s shares in issue (disregarding shares held in treasury) as at 31 December in the immediately preceding year without paying any additional fees. The Company is far from being alone in standing at a significant discount. Other closed-ended investment companies saw their discount widen during the course of the year, and for the reasons set out above the Company was no exception.

Against this background, your Board has continued its regular dialogue with the Manager in order to assure itself of the quality of the investment team and supporting systems, operations and infrastructure across the organisation. During the course of 2023, the Manager’s business continued to flourish with assets under management growing from approximately US$30.0 billion to approximately US$36.6 billion and the team being strengthened both at the portfolio manager level and in terms of support staff.

Your Board has remained reassured that these continuing developments in the Manager’s operations are supportive of the Manager’s core activities and are positive for the services which the Manager provides to the Company.

The Company and its Manager have continued to pursue an active program of public communication and investor relations. Up-to-date performance information is provided through NAV per share data published monthly on a definitive basis and weekly on an estimated basis, as well as through monthly reports and shareholder reports. All these reports and further information about the Company are available on the Company's website (www.bhmacro.com).

Your Board is wholly independent of the Brevan Howard group of companies. The Directors are very closely focused on safeguarding the interests of shareholders and believe that the Company observes high standards of corporate governance. During the course of the year, Claire Whittet retired from the Board and as Senior Independent Director on 13 September 2023, after completing 9 years of service and, on your behalf, we thank her for her wise counsel, dedicated contribution and effective engagement with her fellow Board members. The Board continues to operate well with a high level of engagement and a close working relationship between the diverse members of the Board. We are pleased to say that we are in compliance with all current regulations and recommendations relating to Board composition.

The geopolitical and economic environment remains highly uncertain. The conflict in Ukraine continues unabated, and it is unlikely that any solution will be seen in the near term. In the Middle East, the horrific attack by Hamas on Israel and the Israeli response has created even more uncertainty and risk. This has been exacerbated by the Houthi attacks on shipping in the Gulf. For the first time in history a naval blockade can be enforced using relatively easily available drone technology rather than sophisticated and highly expensive naval or air force equipment. It remains unknown what the impact longer term might be on shipping costs and trading routes. At the same time, we are seeing civil disobedience in Europe in relation to the reduction in farm subsidies, particularly in the form of diesel fuel to farmers in Germany and France. The shift of return from capital to labour looks set to continue, increasing costs for companies and potentially putting upward pressure on inflation.

On the political front, Donald Trump appears to be the leader for the Republican nomination for US President and therefore what seemed to be the highly unlikely event of a rerun of a Biden-Trump election campaign now appears to be a near certainty for the US. This has also increased the uncertainty for the global economy and political stability worldwide. Meanwhile, closer to home in Europe both the economic and political outlook are cause for concern. In the UK, the governing Conservative party remains deeply divided and embroiled in internal conflicts despite the forthcoming General Election.

In these circumstances, your Board believes that the Company represents an attractive diversifying investment uncorrelated to both bond and equity markets.

Your Board will continue to work hard in conjunction with the Manager to deliver the best outcome for all shareholders.

Richard Horlick

Chair

27 March 2024

The Directors of the Company during the year and as at the date of signing, all of whom are non-executive, are listed below:

Richard Horlick (Chair)

Richard Horlick is UK resident. He is currently the non-executive chairman of CCLA Investment Management which manages assets for over 38,000 charities and church and local authority funds. He has served on a number of closed- ended fund boards. He has had a long and distinguished career in investment management graduating from Cambridge University in 1980 with an MA in Modern History. After 3 years in the corporate finance department of Samuel Montagu he joined Newton Investment Management in January 1984, where he became a Director and portfolio manager. In 1994, he joined Fidelity International as President of their institutional business outside the US and in 2001 became President and CEO of Fidelity Management Trust Company in Boston which was the Trust Bank for the US Fidelity Mutual fund range and responsible for their defined benefit pension business. In 2003, he joined Schroders Plc as a main board Director and head of investment worldwide. Mr. Horlick was appointed to the Board in May 2019 and was appointed Chair in February 2021.

Caroline Chan

Caroline Chan is a Guernsey resident and has over 30 years’ experience as a corporate lawyer, having retired from private practice in 2020. After studying law at Oxford University, Caroline qualified as an English solicitor with Allen & Overy, working in their corporate teams in London and Hong Kong. On returning to Guernsey in 1998, Caroline qualified as a Guernsey advocate and practised locally, including as a partner with law firms Ogier and Mourant Ozannes. Since retiring from private practice, Caroline has taken on non-executive directorship roles and is Chair of the Board of Governors of The Ladies’ College, Guernsey. She was a member of the Guernsey Competition and Regulatory Authority until March 2023. Ms. Chan was appointed to the Board in December 2022.

Julia Chapman

Julia Chapman is a Jersey resident and a solicitor qualified in England & Wales and in Jersey with over 30 years’ experience in the investment fund and capital markets sector. After working at Simmons & Simmons in London, she moved to Jersey and became a partner of Mourant du Feu & Jeune (now Mourant) in 1999. She was then appointed general counsel to Mourant International Finance Administration (the firm’s fund administration division). Following its acquisition by State Street in April 2010, Julia was appointed European Senior Counsel for State Street’s alternative investment business. In July 2012, Julia left State Street to focus on the independent provision of directorship and governance services to a small number of investment fund vehicles. Mrs. Chapman was appointed to the Board in October 2021.

Bronwyn Curtis

Bronwyn Curtis is a UK resident and Senior Executive with 30 years leadership in finance, commodities, consulting and the media. Her executive roles included Head of Global Research at HSBC Plc, Managing Editor and Head of European Broadcast at Bloomberg LP, Chief Economist of Nomura International, and Global Head of Foreign Exchange and Fixed Income Strategy at Deutsche Bank. She has also worked as a consultant for the World Bank and UNCTAD. Her other current appointments include non-executive member of the Oversight Board of the UK Office for Budget Responsibility, trustee of the Centre for Economic and Policy Research, the Australia-UK Chamber of Commerce and The Times shadow MPC. She is a graduate of the London School of Economics and La Trobe University in Australia where she received a Doctor of Letters in 2017. Bronwyn was awarded an OBE in 2008 for her services to business economics. Mrs. Curtis was appointed to the Board in January 2020 and was appointed Senior Independent Director on 13 September 2023.

John Le Poidevin

John Le Poidevin is Guernsey resident and has over 30 years’ business experience. Mr. Le Poidevin is a graduate of Exeter University and Harvard Business School, a Fellow of the Institute of Chartered Accountants in England and Wales and a former partner of BDO LLP in London where, as Head of Consumer Markets, he developed an extensive breadth of experience and knowledge of listed businesses in the UK and overseas. He is an experienced non-executive who sits on several Plc boards and chairs a number of Audit Committees. He therefore brings a wealth of relevant experience in terms of corporate governance, audit, risk management and financial reporting. Mr. Le Poidevin was appointed to the Board in June 2016.

Director who retired from the Board during the year

Claire Whittet

Claire Whittet is Guernsey resident and has over 40 years’ experience in the financial services industry. After obtaining a MA (Hons) in Geography from the University of Edinburgh, Mrs. Whittet joined the Bank of Scotland for 19 years and undertook a wide variety of roles. She moved to Guernsey in 1996 and was Global Head of Private Client Credit for Bank of Bermuda before joining Rothschild & Co Bank International Limited in 2003, initially as Director of Lending and latterly as Managing Director and Co-Head until May 2016 when she became a non-executive Director, until retiring in July 2023. She is an ACIB member of the Chartered Institute of Bankers in Scotland, a Chartered Banker, a member of the Chartered Insurance Institute and holds an IoD Director’s Diploma in Company Direction. She is an experienced non-executive director of a number of listed investment and private equity funds. Until her recent retirement, and after serving for 9 years, she chaired a listed fund and is Senior Independent Director on others. Mrs. Whittet was appointed to the Board in June 2014 and retired from the Board on 13 September 2023.

Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges

The following summarises the Directors’ current directorships in other public companies:

	Exchange
Richard Horlick
Riverstone Energy Limited	London
VH Global Sustainable Energy Opportunities Plc	London
Caroline Chan
NextEnergy Solar Fund Limited*	London
Julia Chapman
GCP Infrastructure Investments Limited	London
Henderson Far East Income Limited	London
The International Stock Exchange Group Limited	The International Stock Exchange
Bronwyn Curtis
Pershing Square Holdings Limited	London and Euronext Amsterdam
Scottish American Investment Company Plc	London
TwentyFour Income Fund Limited	London
John Le Poidevin
International Public Partnerships Limited	London
Super Group (SGHC) Limited	New York
TwentyFour Income Fund Limited	London

* Effective from 1 April 2024

Strategic Report

For the year ended 31 December 2023

The Directors submit to the Shareholders their Strategic Report of the Company for the year ended 31 December 2023.

The Strategic Report provides a review of the business for the financial year and describes how risks are managed. In addition, the report outlines key developments and the financial performance of the Company during the financial year and the position at the end of the year, and discusses the main factors that could affect the future performance and financial position of the Company.

BUSINESS MODEL AND STRATEGY

Investment Objective and Company Structure

The Company is organised as a feeder fund that invests solely in the ordinary Sterling and US Dollar-denominated Class B shares issued by the Master Fund – a Cayman Islands open-ended investment company, which has as its investment objective the generation of consistent long-term appreciation through active leveraged trading and investment on a global basis. Further details on the Company’s investment objective and policy can be found in the Directors’ Report.

Sources of Cash and Liquidity Requirements

As the Master Fund is not expected to pay dividends, the Company expects that the primary source of its future liquidity will depend on the periodic redemption of shares from the Master Fund and borrowings in accordance with its leverage policies.

BUSINESS ENVIRONMENT

Principal Risks and Uncertainties

The Board is responsible for the Company’s system of internal controls and for reviewing its effectiveness. The Board is satisfied that by using the Company’s risk matrix in establishing the Company’s system of internal controls, while monitoring the Company’s investment objective and policy, the Board has carried out a robust assessment of the principal and emerging risks and uncertainties facing the Company. The principal and emerging risks and uncertainties which have been identified and the steps which are taken by the Board to mitigate them are as follows:

• Investment Risks: The Company is exposed to the risk that the Master Fund’s portfolio fails to perform in line with the Company’s objectives if it is inappropriately invested or markets move adversely. The Board reviews reports from the Manager, which has total discretion over portfolio allocation, at each quarterly Board meeting, paying particular attention to this allocation and to the performance and volatility of underlying investments;

• Operational and Cyber Security Risks: The Company is exposed to the risks arising from any failure of systems and controls in the operations of the Manager, Northern Trust International Fund Administration Services (Guernsey) Limited (the “Administrator”) and Computershare Investor Services (Guernsey) Limited (the “Registrar”), or from the unavailability of any of the Manager, the Administrator or the Registrar for whatever reason, including those arising from cyber security issues. The Board receives regular reports from each of those parties on cyber security and annual independent third-party reporting on their respective internal controls;

• Accounting, Legal and Regulatory Risks: The Company is exposed to risk if it fails to comply with the regulations of the UK Listing Authority or the Guernsey Financial Services Commission and/or any other applicable regulatory and legislative matters, or if it fails to maintain accurate or timely accounting records and published financial information. The Administrator provides the Board with regular internal control and compliance reports and reports on changes in regulations and accounting requirements;

• Financial Risks: The financial risks faced by the Company include market, credit and liquidity risk. These risks and the controls in place to mitigate them are reviewed at each quarterly Board meeting;

• Geopolitical Risks: Elevated levels of global inflation, recessionary risks and the current conflicts in Ukraine and the Middle East have led to greater economic uncertainty, variability and volatility. Whilst the Master Fund has no material direct exposure to Russia, Ukraine or Belarus, the Board has also made enquiries of key service providers in respect of any impact from Russia’s invasion of Ukraine and the related instability in world markets and has been assured that none of the service providers have operations in the region or are in any way impacted in terms of their ability to continue to supply their services to the Company; and

• Climate Change and ESG Risks: The Company has no employees and does not own any physical assets and is therefore not directly exposed to climate change risk. The Manager monitors developments in this area and industry best practice on behalf of the Board, where appropriate, and regularly assesses the trading activity of the underlying Master Fund and sub-funds to ascertain whether environmental, social and governance (“ESG”) factors are appropriate or applicable to such funds. The Board has also made enquiries of key service providers in respect of their assessment of how climate change and ESG risk impacts their own operations and has been assured that this has no impact on their ability to continue to supply their services to the Company.

Board Diversity

When appointing new directors and reviewing the Board composition, the Board considers, amongst other factors, diversity, balance of skills, knowledge, gender and experience. At 31 December 2023, the Board believes that it was fully compliant in terms of Listing Rules LR 9.8.6R(9) and LR 14.3.33R(1) in relation to board diversity. There have been no changes to board composition since that date. We have set out additional details in the table below:

Name	Gender Identity	Ethnicity
Richard Horlick	Male	White British
Caroline Chan	Female	White Asian British
Julia Chapman	Female	White British
Bronwyn Curtis	Female	White European
John Le Poidevin	Male	White British

Environmental, Social and Governance (ESG) Factors

The Company does not have employees, it does not own physical assets and its Board is formed exclusively of non-executive Directors. As such, the Company does not undertake any material activity which would directly affect the environment.

On a regular basis, the Manager assesses the trading activity of the investment funds it manages, including the Master Fund, to ascertain whether ESG factors are appropriate or applicable to such funds. Most ESG principles have been envisaged in the context of equity or corporate fixed income investment and therefore are not readily applicable to most types of instruments traded by the Master Fund.

The Manager continues to monitor developments in this area and seeks to implement industry best practice where applicable. The Manager is a signatory to the UN Principles for Responsible Investment and on a regular basis, assesses the trading activities of the Master Fund as to whether ESG, the UN principles and sustainability risks under the EU Sustainable Finance Disclosure Regulations are appropriate, relevant, or applicable to the Master Fund, considering the structure of relevant Brevan Howard managed funds and the applicable trading universe.

The Administrator is a wholly-owned indirect subsidiary of Northern Trust Corporation, which has adopted the UN Global Compact principles, specifically: implementing a precautionary approach to addressing environmental issues through effective programmes, undertaking initiatives that demonstrate the acknowledgement of environmental responsibility, promoting and using environmentally sustainable technologies, and UN Sustainable Development Goals, specifically: using only energy efficient appliances and light bulbs, avoiding unnecessary use and waste of water, implementing responsible consumption and production, and taking action to reduce climate change.

POSITION AND PERFORMANCE

Packaged Retail and Insurance Based Investment Products (“PRIIPs”)

From 1 January 2021, the Company became subject to the UK version of Regulation (EU) No 1286/2014 on key information documents for PRIIPs, which is part of UK law by virtue of the European Union (Withdrawal) Act 2018, as amended and supplemented from time to time, including by the Packaged Retail and Insurance-based Investment Products (Amendment) (EU Exit) Regulations 2019 (the “UK PRIIPs Laws”). In accordance with the requirements of the UK PRIIPs Laws, the Manager published the latest standardised three-page Key Information Document (a “KID”) for the Company’s Sterling shares and another for its US Dollar shares on 27 April 2023 (based on data as at 31 December 2022). Each KID is available on the Company’s website https://www.bhmacro.com/regulatory-disclosures/ and will be updated at least every 12 months.

The Manager is the PRIIPs manufacturer for each KID and the Company is not responsible for the information contained in each KID. The process for calculating the risks, cost and potential returns is prescribed by regulation. The figures in the KID, relating to the relevant share class, may not reflect the expected returns for that share class of the Company and anticipated returns cannot be guaranteed.

Performance

Key Performance Indicators (“KPIs”)

At each quarterly Board meeting, the Directors consider a number of performance measures to assess the Company’s success in achieving its objectives. Below are the main KPIs which have been identified by the Board for determining the progress of the Company:

1. NAV

The Company’s NAV per share has appreciated from £1.00* per Sterling share and US$1.00* per US Dollar share at launch to £4.11 per Sterling share and US$4.27 per US Dollar share at the 2023 financial year end. This increase in NAV per share is largely attributable to the Company’s long-term growth strategy and returns. The Directors and the Manager are confident that the current strategy will continue to return positive levels of growth over the long-term.

* The launch price is adjusted by a factor of 10 to reflect the 10 for 1 share sub-division, which occurred on 7 February 2023.

2. Share Prices, Discount/Premium

The Company’s shares traded at an average discount of 3.27% and 2.46% to NAV for its Sterling shares and US Dollar shares respectively for the year ended 31 December 2023.

3. Ongoing Charges

The Company’s ongoing charges ratio for the financial year ended 2023 as compared to the ongoing charges ratio for the financial year ended 2022 has decreased from 6.11% to 2.16% on the Sterling shares and decreased from 6.16% to 2.14% on the US Dollar shares, primarily due to changes in the level of the Manager’s performance fee as a result of relative performance.

The Company reports an aggregated view of the charges for both the Sterling shares and US Dollar shares. Further details are in the Directors’ Report.

(Loss)/Gain per Share

Total (loss)/gain per share is based on the net total loss on ordinary activities after tax of £32,535,028 for the Sterling share class and a net loss of US$1,540,012 for the US Dollar share class (2022: gains of £195,693,403 and US$ 19,301,255 respectively).

These calculations are based on the weighted average number of shares in issue for the year ended 31 December 2023, resulting in 353,094,861 Sterling shares and 28,097,148 US Dollar shares (2022: Sterling shares: 28,620,989 and US Dollar shares: 2,722,649). The 10 for 1 share sub-division approved at the EGM held on 6 February 2023 has been applied throughout the year for the 2023 weighted average share figures, but not for the 2022 weighted average share figures.

	Year ended 31.12.23 Per share	'000	Year ended 31.12.22 Per share	'000
Net total (loss)/gain for Sterling Shares	(9.21p)	(£32,535)	683.74p	£195,693
Net total (loss)/gain for US Dollar Shares	(5.48c)	(US$1,540)	708.91c	US$19,301

NAV

The NAV per Sterling share, as at 31 December 2023 was £4.11 based on net assets of £1,527,458,326, divided by the number of Sterling shares in issue of 372,024,149 (2022: £41.81*).

The NAV per US Dollar share, as at 31 December 2023 was US$4.27 based on net assets of US$127,481,611 divided by the number of US Dollar shares in issue of 29,856,472 (2022: US$43.28*).

* The NAV per share as of 31 December 2022 is not adjusted by a factor of 10 to reflect the 10 for 1 share sub- division, which occurred on 7 February 2023.

Dividends

No dividends were paid during the year (2022: US$Nil).

Viability Statement

The investment objective of the Company is to seek to generate consistent long-term capital appreciation through an investment policy of investing all of its assets (net of funds required for its short-term working capital) in the Master Fund.

The Directors have assessed the viability of the Company over the three-year period to 31 December 2026. The Viability Statement covers a period of three years, which the Directors consider sufficient given the inherent uncertainty of the investment world and the specific risks to which the Company is exposed.

The continuation of the Company in its present form is largely dependent on the management agreement between the Company and the Manager (the “Management Agreement”) remaining in place. The Management Agreement was, as at the 2022 financial year end, generally terminable on three months’ notice by either party save for certain exceptions. This was changed in January 2023 to a twelve month notice period save for certain exceptions. To ensure that the Company maintains a constructive and informed relationship with the Manager, the Directors meet regularly with the Manager to review the Master Fund’s performance, and through the Management Engagement Committee, the Directors review the Company’s relationship with the Manager and the Manager’s performance and effectiveness. The Directors currently know of no reason why either the Company or the Manager might serve notice of termination of the Management Agreement over the period of this Viability Statement.

The Company’s assets exceed its liabilities by a considerable margin. Furthermore, the majority of the Company’s most significant expenses, being the fees owing to the Manager and to the Administrator, fluctuate by reference to the Company’s investment performance and NAV. The Company is able to meet its expenses by redeeming shares in the Master Fund as necessary, as and when required to enable the Company to meet its ordinary course operating expenses.

The Company’s investment performance depends upon the performance of the Master Fund and the Manager as manager of the Master Fund. The Directors, in assessing the viability of the Company, pay particular attention to the risks facing the Master Fund. The Manager operates a risk management framework, which is intended to identify, measure, monitor, report and, where appropriate, mitigate key risks identified by it or its affiliates in respect of the Master Fund.

The Company’s shares largely traded at a premium up until the middle of 2023, since when, in common with the broader investment trust sector, the shares have traded at a discount. In the event of any downward pressure on the Company’s share prices, the Company is able to consider resuming active discount management actions, including share buybacks, so that as far as possible the share prices would more closely reflect the Company’s underlying performance; such actions should help to mitigate the risk of class closure resolutions being triggered after that date. Share buybacks commenced during December 2023 and have continued through into 2024. The Company is able to meet the costs of share buybacks by redeeming shares in the Master Fund. Pursuant to the Management Agreement, there are restrictions on the amount of Master Fund shares which the Company may redeem in a given period; and the Company may incur fees to the Manager in certain circumstances. The Company is also subject to the Shareholders’ authority for Share purchases in the market approved at the AGM held in September 2023. The Company may redeem up to five per cent of the Company’s holding of Master Fund shares on a monthly basis to fund its on-market share buybacks; and it may, no more than once a year, on three months’ notice, redeem part of its interest in the Master Fund representing up to 10 per cent of each class of the Company’s shares held in the Master Fund, to the extent required to enable the Company to make an annual redemption offer (as defined in the Articles). Refer to notes 2 and 8 in the Audited Financial Statements for details of the Company’s discount management mechanisms.

The Directors have carried out a robust assessment of the risks and, on the assumption that the risks are managed or mitigated in the ways noted above, the Directors have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the three-year period of their assessment.

Section 172, Companies Act 2006

Although the Company is domiciled and resident in Guernsey, the Board has considered the guidance set out in the Association of Investment Companies (the “AIC”) Code in relation to Section 172 of the Companies Act 2006 in the UK. Section 172 of the Companies Act requires that the Directors of the Company act in the way they consider, in good faith, is most likely to promote the success of the Company for the benefit of all stakeholders, including suppliers, customers and Shareholders.

Key Service Providers

The Company does not have any employees and, as such, the Board delegates responsibility for its day-to-day operations to a number of key service providers. The activities of each service provider are closely monitored by the Board and they are required to report to the Board at set intervals.

In addition, a formal review of the performance of each service provider is carried out once a year by the Management Engagement Committee.

The Manager

The Manager is a leading and well-established hedge fund manager. In exchange for its services, a fee is payable as detailed in note 4 to the Audited Financial Statements.

The Board considers that, under the Company’s current investment objective, the interests of Shareholders, as a whole, are best served by the ongoing appointment of the Manager.

Administrator and Corporate Secretary

Northern Trust International Fund Administration Services (Guernsey) Limited is the Administrator and the Company’s corporate secretary (the “Corporate Secretary”). Further details on fee structure are included in note 4 to the Audited Financial Statements.

Signed on behalf of the Board by:

Richard Horlick Chair

John Le Poidevin Director

27 March 2024

Directors’ Report

31 December 2023

The Directors submit their Report together with the Company’s Audited Statement of Assets and Liabilities, Audited Statement of Operations, Audited Statement of Changes in Net Assets, Audited Statement of Cash Flows and the related notes for the year ended 31 December 2023. The Directors’ Report together with the Audited Financial Statements and their related notes (the “Financial Statements”) give a true and fair view of the financial position of the Company. They have been prepared in accordance with United States Generally Accepted Accounting Principles (“US GAAP”) and are in agreement with the accounting records.

The Company

BH Macro Limited is a limited liability closed-ended investment company which was incorporated in Guernsey on 17 January 2007 and then admitted to the Official List of the London Stock Exchange ("LSE") later that year.

The Company’s ordinary shares are issued in Sterling and US Dollars.

Investment Objective and Policy

The Company is organised as a feeder fund that invests all of its assets (net of short-term working capital requirements) directly in the Master Fund, a hedge fund in the form of a Cayman Islands open-ended investment company, which has as its investment objective the generation of consistent long-term appreciation through active leveraged trading and investment on a global basis. The Master Fund is managed by Brevan Howard Capital Management LP, the Company’s Manager.

The Master Fund has flexibility to invest in a wide range of instruments including, but not limited to, debt securities and obligations (which may be below investment grade), bank loans, listed and unlisted equities, other collective investment schemes, currencies, commodities, digital assets, futures, options, warrants, swaps and other derivative instruments. The underlying philosophy is to construct strategies, often contingent in nature, with superior risk/return profiles, whose outcome will often be crystallised by an expected event occurring within a pre-determined period of time.

The Master Fund employs a combination of investment strategies that focus primarily on economic change and monetary policy and market inefficiencies.

The Company may employ leverage for the purposes of financing share purchases or buy-backs, satisfying working capital requirements or financing further investment into the Master Fund, subject to an aggregate borrowing limit of 20% of the Company’s NAV, calculated as at the time of borrowing. Borrowing by the Company is in addition to leverage at the Master Fund level, which has no limit on its own leverage.

Results and Dividends

The results for the year are set out in the Audited Statement of Operations. The Directors do not recommend the payment of a dividend.

Share Capital

On 23 January 2023, the Board announced the commencement of its initial issue (the “Initial Issue”), comprising of the initial placing (the “Placing”), intermediaries offer (the “Intermediaries Offer”) and offer for subscription (the “Offer for Subscription”), together with an issuance programme for subsequent issues, which remained open until 23 January 2024 (the “Issuance Programme”), in respect of the issue of up to an aggregate of 220 million shares (based on a 10:1 share sub-division); the issue of circular for an EGM, which was held on 6 February 2023, in relation to the Initial Issue, Issuance Programme and share sub-division; and details of amendments to the Management Agreement, including terms of the Company's investment in the Master Fund, in order to reflect the increased investment of the Company in the Master Fund as a result of the Initial Issue and the Issuance Programme. Further details are disclosed in notes 2 and 5 to the Audited Financial Statements.

On 6 February 2023, following the EGM, the Company announced that (i) the Board was empowered to allot and issue, in aggregate, up to 220 million new shares of no par value in the Company designated as Sterling shares or US Dollar shares, as if the pre-emption provisions of the Company’s articles of incorporation (“Articles”) did not apply; and (ii) each existing share would be sub-divided into 10 shares of the same currency class and with the same rights and subject to the same restrictions as the then existing shares of the same currency class, in the capital of the Company, with the sub-divided shares to be admitted to listing the following day. These resolutions superseded the relevant resolutions adopted at the 2022 Annual General Meeting.

On 13 February 2023, the completion of the Initial Issue was announced. A total of 72,378,000 Sterling shares and 746,400 US Dollar shares were issued in the Initial Issue at a price per share equal, respectively, to 431.5 pence per Sterling share and US$4.47 per US Dollar share, raising gross proceeds of approximately £312.3m for the Sterling share class and US$3.3m for the US Dollar share class.

At the Annual General Meeting held on 13 September 2023, Shareholders approved an Ordinary Resolution to allow the Directors to have the power to issue further shares totalling 124,568,816 Sterling shares and 9,862,449 US Dollar shares, respectively. Shareholders at the Annual General Meeting also approved a Special Resolution that authorised the maximum number of shares that may be purchased on-market by the Company until the next Annual General Meeting, being 56,024,199 Sterling shares and 4,435,587 US Dollar shares.

In December 2023, the Company bought back 1,504,277 Sterling shares on the London Stock Exchange with prices ranging from £3.48 to £3.67 per share. The Company did not buy-back any US Dollar class shares. The purchased shares were then held in Treasury.

The number of shares in issue at the year end is disclosed in note 5 of the Audited Financial Statements.

Going Concern

The Directors, having considered the Principal and Emerging Risks and Uncertainties to which the Company is exposed and on the assumption that these are managed or mitigated as noted, are not aware of any material uncertainties which may cast significant doubt upon the Company’s ability to continue as a going concern and, accordingly, consider that it is appropriate that the Company continues to adopt the going concern basis of accounting for these Audited Financial Statements.

The Board continues to monitor the ongoing impact of various geopolitical events, including elevated levels of global inflation, recessionary risks and the ongoing conflicts in Ukraine and the Middle East. The Board has concluded that the biggest threat to the Company remains the failure of a key service provider to maintain business continuity and resiliency. The Board has assessed the measures in place by key service providers to maintain business continuity and, so far, has not identified any significant issues that affect the Company. The financial position of the Company has not been negatively impacted by these geopolitical events either. For these reasons, the Board is confident that these events have not impacted the going concern assessment of the Company.

The Board

The Board of Directors has overall responsibility for safeguarding the Company’s assets, for the determination of the investment policy of the Company, for reviewing the performance of the service providers and for the Company’s activities. The Directors, all of whom are non-executive, are listed in the Board Members section.

The Articles provide that, unless otherwise determined by ordinary resolution, the number of Directors shall not be less than two.

The Board meets at least four times a year and between these formal meetings, there is regular contact with the Manager, the Corporate Broker and the Administrator. The Directors are kept fully informed of investment and financial controls, and other matters that are relevant to the business of the Company are brought to the attention of the Directors. The Directors also have access to the Administrator and, where necessary in the furtherance of their duties, to independent professional advice at the expense of the Company.

For each Director, the tables below set out the number of Board meetings and Audit Committee meetings they were entitled to attend during the year ended 31 December 2023 and the number of such meetings attended by each Director.

Scheduled Board Meetings	Held	Attended
Richard Horlick	4	4
Caroline Chan	4	4
Julia Chapman	4	4
Bronwyn Curtis	4	4
John Le Poidevin	4	4
Claire Whittet*	3	3
Audit Committee Meetings	Held	Attended
John Le Poidevin	4	4
Caroline Chan	4	4
Julia Chapman	4	4
Bronwyn Curtis	4	4
Claire Whittet*	3	3
Remuneration and Nomination Committee Meetings	Held	Attended
Caroline Chan	1	1
Julia Chapman	1	1
Bronwyn Curtis	1	1
Richard Horlick	1	1
John Le Poidevin	1	1
Claire Whittet*	N/A	N/A
Management Engagement Committee Meetings	Held	Attended
Julia Chapman	1	1
Caroline Chan	1	1
Bronwyn Curtis	1	1
Richard Horlick	1	1
John Le Poidevin	1	1
Claire Whittet*	N/A	N/A

*Claire Whittet retired from the Board on 13 September 2023.

In addition to these scheduled meetings, 16 ad-hoc committee meetings were held during the year ended 31 December 2023, which were attended by those Directors available at the time.

The Board has reviewed the composition, structure and diversity of the Board, succession planning, the independence of the Directors and whether each of the Directors has sufficient time available to discharge their duties effectively. The Board confirms that it believes that it has an appropriate mix of skills and backgrounds, that all of the Directors are considered to be independent in accordance with the provisions of the AIC Code and that all Directors have the time available to discharge their duties effectively.

The Chair’s and the Directors’ tenures are limited to nine years, which is consistent with the principles listed in the UK Corporate Governance Code.

Notwithstanding that some of the Directors sit on the boards of a number of other listed investment companies, the Board notes that each appointment is non-executive and that listed investment companies generally have a lower level of complexity and time commitment than trading companies. Furthermore, the Board notes that attendance of all Board and Committee meetings during the year is high and that each Director has always shown the time commitment necessary to discharge fully and effectively their duties as a Director.

Directors’ Interests

The Directors had the following interests in the Company, held either directly or beneficially:

		Sterling Shares
				31.12.23		31.12.22
Richard Horlick				200,000		20,000
Caroline Chan				11,587		Nil
Julia Chapman				6,260		626
Bronwyn Curtis				33,174		1,000
John Le Poidevin				75,620		5,482
Claire Whittet1				N/A		1,500
					US Dollar Shares
					31.12.23		31.12.22
Richard Horlick					20,000		Nil
Caroline Chan					Nil		Nil
Julia Chapman					Nil		Nil
Bronwyn Curtis					Nil		Nil
John Le Poidevin					Nil		Nil
Claire Whittet1					N/A		Nil

1 All units are held through a Retirement Annuity Trust Scheme, jointly owned by Mrs Whittet and her husband. Mrs Whittet retired from the Board on 13 September 2023.

Due to the 10:1 share sub-division, which was approved at the EGM held on 6 February 2023 (as mentioned in the Directors’ Report), the following changes were made to the Directors’ shareholdings in the Company:

Richard Horlick, 20,000 Sterling shares cancelled, 200,000 Sterling shares issued;

Julia Chapman, 626 Sterling shares cancelled, 6,260 Sterling shares issued;

Bronwyn Curtis, 1,000 Sterling shares cancelled, 10,000 Sterling shares issued;

John Le Poidevin, 5,482 Sterling shares cancelled, 54,820 Sterling shares issued; and

Claire Whittet, 1,500 Sterling shares cancelled, 15,000 Sterling shares issued.

On 13 February 2023, the Board participated in the Initial Issue for the following amounts:

Richard Horlick, US$89,400 of US Dollar shares (20,000 shares);

Caroline Chan, £50,000 of Sterling shares (11,587 shares); Bronwyn

 Curtis, £100,000 of Sterling shares (23,174 shares);

John Le Poidevin, £90,000 of Sterling shares (20,800 shares); and

Claire Whittet, £35,000 of Sterling shares (8,111 shares).

Directors’ Indemnity

Directors’ and Officers’ liability insurance cover is in place in respect of the Directors.

The Directors entered into indemnity agreements with the Company which provide, subject to the provisions of the Companies (Guernsey) Law, 2008, for an indemnity for Directors in respect of costs which they may incur relating to the defence of proceedings brought against them arising out of their positions as Directors, in which they are acquitted, or judgement is given in their favour by the Court. The agreement does not provide for any indemnification for liability which attaches to the Directors in connection with any negligence, unfavourable judgements and breach of duty or trust in relation to the Company.

Corporate Governance

To comply with the UK Listing Regime, the Company must comply with the requirements of the UK Corporate Governance Code. The Company is also required to comply with the Code of Corporate Governance issued by the Guernsey Financial Services Commission.

The Company is a member of the AIC and by complying with the AIC Code it is deemed to comply with both the UK Corporate Governance Code and the Guernsey Code of Corporate Governance.

To ensure ongoing compliance with the principles and the recommendations of the AIC Code, the Board receives and reviews a report from the Corporate Secretary, at each quarterly meeting, identifying whether the Company is in compliance and recommending any changes that are necessary.

The Company has complied with the requirements of the AIC Code and the relevant provisions of the UK Corporate Governance Code, except as set out below.

The UK Corporate Governance Code includes provisions relating to:

• the role of the chief executive;
• executive directors’ remuneration;
• the need for an internal audit function; and
• a whistle-blowing policy.

For the reasons explained in the UK Corporate Governance Code, the Board considers these provisions are not relevant to the position of the Company as it is an externally managed investment company with a Board formed exclusively of non-executive Directors. The Company has therefore not reported further in respect of these provisions. The Company does not have employees, hence no whistle-blowing policy is necessary. However, the Directors have satisfied themselves that the Company’s service providers have appropriate whistle-blowing policies and procedures and seek regular confirmation from the service providers that nothing has arisen under those policies and procedures which should be brought to the attention of the Board.

The Company has adopted a policy that the composition of the Board of Directors is at all times such that (i) a majority of the Directors are independent of the Manager and any company in the same group as the Manager (the “Manager’s Group”); (ii) the Chair of the Board of Directors is free from any conflicts of interest and is independent of the Manager’s Group; and (iii) no more than one director, partner, employee or professional adviser to the Manager’s Group may be a Director of the Company at any one time.

The Company has adopted a Code of Directors’ dealings in securities.

The Company’s risk appetite and risk exposure and the effectiveness of its risk management and internal control systems are reviewed by the Audit Committee and by the Board at their meetings. The Board believes that the Company has adequate and effective systems in place to identify, mitigate and manage the risks to which it is exposed.

For new appointments to the Board, a specialist independent recruitment firm is engaged as and when appropriate, nominations are sought from the Directors and from other relevant parties and candidates are then interviewed by the Directors. The current Board has a breadth of experience relevant to the Company, and the Directors believe that any changes to the Board’s composition can be managed without undue disruption. An induction programme is provided for newly-appointed Directors.

In line with the AIC Code, Article 21.3 of the Company’s Articles requires all Directors to retire at each Annual General Meeting. At the Annual General Meeting of the Company on 13 September 2023, Shareholders re-elected all the then incumbent Directors of the Company, except for Claire Whittet, who retired from the Board and did not seek re-election on the same date.

The Board, through the Remuneration and Nomination Committee, regularly reviews its composition and believes that the current appointments provide an appropriate range of skill, experience and diversity.

Each of the Board, the Audit Committee, the Management Engagement Committee and the Remuneration and Nomination Committee undertakes an evaluation of their own performance and that of individual Directors on an annual basis. In order to review their effectiveness, the Board and its Committees carry out a process of formal self- appraisal. The Board and the Committees consider how they function as a whole and review the individual performance of their members. This process is conducted by the Chair of each Committee reviewing the relevant Directors’ performance, contribution and commitment to the Company.

The Senior Independent Director takes the lead in evaluating the performance of the Chair. Prior to her retirement from the Board on 13 September 2023, Claire Whittet served as Senior Independent Director. Bronwyn Curtis was appointed Senior Independent Director on the same date.

Board Performance

The performance of the Board and that of each individual Director is scheduled for external evaluation every three years, the most recent of which was completed in 2022.

The Board carries out an annual internal evaluation of its performance in years when an external evaluation is not taking place. There were no matters of note in the last annual internal evaluation.

The Board needs to ensure that the Audited Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company’s performance, business model and strategy. In seeking to achieve this, the Directors have set out the Company’s investment objective and policy and have explained how the Board and its delegated Committees operate and how the Directors review the risk environment within which the Company operates and sets appropriate risk controls. Furthermore, throughout the Annual Report, the Board has sought to provide further information to enable Shareholders to better understand the Company’s business and financial performance.

Policy to Combat Fraud, Bribery and Corruption

The Board has adopted a formal policy to combat fraud, bribery and corruption. The policy applies to the Company and to each of its Directors. Furthermore, the policy is shared with each of the Company’s service providers.

In respect of the UK Criminal Finances Act 2017, which introduced a new corporate criminal offence of ‘failing to take reasonable steps to prevent the facilitation of tax evasion’, the Board confirms that it is committed to preventing the facilitation of tax evasion and takes all reasonable steps to do so.

Social and Environmental Issues

The Board also keeps under review developments involving other social and environmental issues, such as modern slavery, and will report on those to the extent they are considered relevant to the Company’s operations. Further explanation of these issues is detailed in the Strategic Report under 'Climate Change and ESG Risks'.

Ongoing Charges

The ongoing charges (the “Ongoing Charges”) represent the Company’s management fee and all other operating expenses, excluding finance costs, performance fees, share issue or buyback costs and non-recurring legal and professional fees, expressed as a percentage of the average of the daily net assets during the year.

Ongoing Charges for the years ended 31 December 2023 and 31 December 2022 have been prepared in accordance with the AIC’s recommended methodology.

The following table presents the Ongoing Charges for each share class of the Company for the years ended 31 December 2023 and 31 December 2022.

31.12.23
	Sterling		US Dollar
	Shares		Shares
Company – Ongoing Charges	1.59%		1.56%
Master Fund – Ongoing Charges	0.57%		0.58%
Performance fees	-		-
Ongoing Charges plus performance fees	2.16%		2.14%
31.12.22
		Sterling	US Dollar
		Shares	Shares
Company – Ongoing Charges		1.68%	1.74%
Master Fund – Ongoing Charges		0.20%	0.22%
Performance fees		4.23%	4.20%
Ongoing Charges plus performance fees		6.11%	6.16%

The Master Fund’s ongoing charges represent the portion of the Master Fund’s operating expenses which have been allocated to the Company. The Company invests substantially all of its investable assets in ordinary Sterling and US Dollar-denominated Class B shares issued by the Master Fund. These shares are not subject to management fees and performance fees within the Master Fund. The Master Fund’s operating expenses include an operational services fee payable to the Manager of 1/12 of 0.5% per month of the prevailing Master Fund NAV attributable to the Company’s investment in the Master Fund.

Audit Committee

The Company’s Audit Committee conducts formal meetings at least three times a year for the purpose, amongst others, of considering the appointment, independence and effectiveness of the audit and remuneration of the auditors, and to review and recommend the annual statutory accounts and interim report to the Board of Directors. It is chaired by John Le Poidevin and comprises Bronwyn Curtis, Julia Chapman and Caroline Chan. Claire Whittet also served on the Audit Committee until her retirement from the Board on 13 September 2023. The Terms of Reference of the Audit Committee are available on the Company’s website (www.bhmacro.com) or from the Administrator.

Management Engagement Committee

The Board has established a Management Engagement Committee with formal duties and responsibilities. The Management Engagement Committee meets formally at least once a year, is chaired by Julia Chapman and comprises all members of the Board.

The function of the Management Engagement Committee is to ensure that the Company’s Management Agreement is competitive and reasonable for the Shareholders, along with the Company’s agreements with all other third-party service providers (other than KPMG Channel Islands Limited (the “Independent Auditor”)). The Management Engagement Committee also monitors the performance of all service providers on an annual basis and writes to each service provider regarding their Business Continuity Plans. To date, all services have proved to be robust and there has been no disruption to the Company. The Terms of Reference of the Management Engagement Committee are available from the Administrator.

The details of the Manager’s fees and notice period are set out in note 4 to the Audited Financial Statements.

The Board continuously monitors the performance of the Manager and a review of the Manager is conducted by the Management Engagement Committee annually.

The Manager has wide experience in managing and administering investment companies and has access to extensive investment management resources.

At its meeting on 13 September 2023, the Management Engagement Committee concluded that the continued appointment of each of the Manager, the Administrator, the Company’s UK and Guernsey legal advisers, the Registrar and the Corporate Broker on the terms agreed was in the interests of the Company’s Shareholders as a whole. At the date of this report, the Board continues to be of the same opinion.

Remuneration and Nomination Committee

The Board established a Remuneration and Nomination Committee on 17 June 2022 with formal duties and responsibilities. The Remuneration and Nomination Committee meets formally at least once a year. It was chaired by Bronwyn Curtis until 13 September 2023, after which, Caroline Chan became Chair, and the Committee comprises all members of the Board.

The function of the Remuneration and Nomination Committee is to:

• regularly review the structure, size and composition of the Board and make recommendations to the Board with regard to any changes that are deemed necessary;
• identify, from a variety of sources, candidates to fill Board vacancies as and when they arise with a continued focus on Board diversity;
• assess and articulate the time needed to fulfil the role of the Chair and of a non-executive director, and undertake an annual performance evaluation to ensure that all the members of the Board have devoted sufficient time to their duties, and also to review their contribution to the work of the Board and the breadth of experience of the Board as a whole; and
• annually review the levels of remuneration of each of the Chair of the Board, the Chair of the Audit Committee, the Chair of each other Board committee and other non-executive directors having regard to the maximum aggregate remuneration that may be paid under the Company’s Articles.

Internal Controls

Responsibility for the establishment and maintenance of an appropriate system of internal control rests with the Board and to achieve this, a process has been established which seeks to:

• review the risks faced by the Company and the controls in place to address those risks;
• identify and report changes in the risk environment;
• identify and report changes in the operational controls;
• identify and report on the effectiveness of controls and errors arising; and
• ensure no override of controls by the Manager, the Administrator and the Company’s other service providers.

A report is tabled and discussed at each Audit Committee meeting, and reviewed at least once a year by the Board, setting out the Company’s risk exposure and the effectiveness of its risk management and internal control systems. The Board believes that the Company has adequate and effective systems in place to identify, mitigate and manage the risks to which it is exposed.

In order to recognise any new risks that could impact the Company and ensure that appropriate controls are in place to manage those risks, the Audit Committee undertakes a regular review of the Company’s risk matrix. This review took place on two occasions during the year.

The Board has delegated the management of the Company and the administration, corporate secretarial and registrar functions, including the independent calculation of the Company’s NAV and the production of the Annual Report and Audited Financial Statements, which are independently audited. Whilst the Board delegates these functions, it remains responsible for the functions it delegates and for the systems of internal control. Formal contractual agreements have been put in place between the Company and the providers of these services. On an ongoing basis, Board reports are provided at each quarterly Board meeting by the Manager, the Corporate Broker, the Administrator and Corporate Secretary and the Registrar. A representative from the Manager is asked to attend these meetings.

In common with most investment companies, the Company does not have an internal audit function. All of the Company’s management functions are delegated to the Manager, the Administrator and Corporate Secretary and the Registrar which have their own internal audit and risk assessment functions.

Further reports are received from the Administrator in respect of compliance, LSE continuing obligations and other matters. The reports were reviewed by the Board. No material adverse findings were identified in these reports.

International Tax Reporting

For purposes of the US Foreign Account Tax Compliance Act, the Company registered with the US Internal Revenue Services (“IRS”) as a Guernsey reporting Foreign Financial Institution (“FFI”), received a Global Intermediary Identification Number (5QHZVI.99999.SL.831), and can be found on the IRS FFI list.

The Common Reporting Standard (“CRS”) is a global standard for the automatic exchange of financial account information developed by the Organisation for Economic Co-operation and Development (“OECD”). The Company made its latest report for CRS to the Director of Income Tax on 30 June 2023.

Relations with Shareholders

The Board welcomes Shareholders’ views and places great importance on communication with the Company’s Shareholders. The Board receives regular reports on the views of Shareholders and the Chair and other Directors are available to meet Shareholders, with a number of such meetings taking place during the year. The Company provides weekly unaudited estimates of NAV, month end unaudited estimates and unaudited final NAVs. The Company also provides a monthly newsletter. These are published via RNS and are also available on the Company’s website. Risk reports of the Master Fund are also available on the Company’s website.

The Manager maintains regular dialogue with institutional Shareholders, the feedback from which is reported to the Board. Shareholders who wish to communicate with the Board should contact the Administrator in the first instance.

Having reviewed the Financial Conduct Authority’s restrictions on the retail distribution of non-mainstream pooled investments, the Company, after taking legal advice, announced on 15 January 2014 that it is outside the scope of those restrictions, so that its shares can continue to be recommended by UK authorised persons to ordinary retail investors.

In accordance with the AIC Code, when 20 per cent or more of Shareholder votes have been cast against a Board recommendation for a resolution, the Company should explain, when announcing voting results, what actions it intends to take to consult Shareholders in order to understand the reasons behind the result. An update on the views received from Shareholders and actions taken should be published no later than six months after the Shareholder meeting. The Board should then provide a final summary in the Annual Report and, if applicable, in the explanatory notes to resolutions at the next Shareholders’ meeting, on what impact the feedback has had on the decisions the Board has taken and any actions or resolutions now proposed. During the year, no resolution recommended by the Board received 20 per cent or more votes against it.

Significant Shareholders

As at 21 March 2024, the following Shareholders had significant shareholdings in the Company:

			% holding
			in class
Significant Shareholders
Sterling Shares
Ferlim Nominees Limited			15.7%
Rathbone Nominees Limited			8.9%
Smith & Williamson Nominees Limited			8.0%
Cheviot Capital (Nominees) Limited			6.1%
Lion Nominees Limited			4.8%
Vidacos Nominees Limited			4.5%
Pershing Nominees Limited			4.3%
Vestra Nominees Limited			3.7%
Nortrust Nominees Limited			3.4%
Brewin Nominees Limited			3.2%
HSBC Global Custody Nominee (UK) Limited			3.2%
			% holding
			in class
Significant Shareholders
US Dollar Shares
Hero Nominees Limited			14.5%
Euroclear Nominees			12.8%
Vidacos Nominees			11.8%
Luna Nominees Limited			4.6%
CGWL Nominees Limited			3.8%
Aurora Nominees Limited			3.4%
Lynchwood Nominees Limited			3.0%
Rathbone Nominees Limited			3.0%

Signed on behalf of the Board by:

Richard Horlick

Chair

John Le Poidevin

Director

27 March 2024

Statement of Directors’ Responsibility in respect of the Annual Report and Audited Financial Statements

The Directors are responsible for preparing the Annual Report and Audited Financial Statements in accordance with applicable law and regulations.

The Companies (Guernsey) Law, 2008 requires the Directors to prepare financial statements for each financial year. They have resolved to prepare the financial statements in accordance with accounting principles generally accepted in the United States of America.

The Directors, by law, must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of the Company and of its profit or loss for that year. In preparing these financial statements, the Directors are required to:

• select suitable accounting policies and then apply them consistently;
• make judgements and estimates that are reasonable, relevant and reliable;
• state whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the financial statements;
• assess the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to the going concern basis; and
• use the going concern basis of accounting unless liquidation is imminent.

The Directors are responsible for keeping proper accounting records that are sufficient to show and explain the Company’s transactions and disclose with reasonable accuracy at any time the financial position of the Company and enable them to ensure that its financial statements comply with the Companies (Guernsey) Law, 2008. They are responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company and to prevent and detect fraud and other irregularities.

The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company’s website. Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

RESPONSIBILITY STATEMENT OF THE DIRECTORS IN RESPECT OF THE ANNUAL FINANCIAL REPORT

We confirm that to the best of our knowledge:

• so far as each of the Directors is aware, there is no relevant audit information of which the Company’s Independent Auditor is unaware, and each has taken all the steps they ought to have taken as a Director to make themselves aware of any relevant information and to establish that the Company’s Independent Auditor is aware of that information;
• the financial statements, prepared in accordance with the applicable set of accounting standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and
• each of the Chair’s Statement, the Strategic Report, the Directors’ Report and the Manager’s Report includes a fair review of the development and performance of the business and the position of the Company, together with a description of the principal risks and uncertainties that it faces.

We consider the Annual Report and Audited Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company’s position and performance, business model and strategy.

Signed on behalf of the Board by:

Richard Horlick

Chair

John Le Poidevin

Director

27 March 2024

Directors’ Remuneration Report

31 December 2023

Introduction

An ordinary resolution for the approval of the Directors’ Remuneration Report in the Company’s annual audited financial statements for the year ended 31 December 2022, was passed by the Shareholders at the Annual General Meeting held on 13 September 2023.

Remuneration policy

A Remuneration and Nomination Committee was established on 17 June 2022. Prior to this, the Board as a whole considered matters relating to the Directors’ remuneration. No advice or services were provided by any external person in respect of its consideration of the Directors’ remuneration.

The Company’s policy is that the fees payable to the Directors should reflect the time spent by the Directors on the Company’s affairs and the responsibilities borne by the Directors and be sufficient to attract, retain and motivate Directors of a quality required to run the Company successfully. The Chair of the Board is paid a higher fee in recognition of his additional responsibilities, as are the Chairs of the various Board committees and the Senior Independent Director. The policy is to review fee rates periodically, although such a review will not necessarily result in any changes to the rates, and account is taken of fees paid to Directors of comparable companies.

There are no long-term incentive schemes provided by the Company and no performance fees are paid to Directors.

No Director has a service contract with the Company but each of the Directors is appointed by a letter of appointment which sets out the main terms of their appointment. The Directors were appointed to the Board for an initial term of three years and Article 21.3 of the Company’s Articles requires, as does the AIC Code, that all of the Directors retire at each Annual General Meeting. At the Annual General Meeting of the Company on 13 September 2023, Shareholders re-elected all the Directors, except for Claire Whittet, who retired from the Board and did not seek re-election. Director appointments can also be terminated in accordance with the Articles. Should Shareholders vote against a Director standing for re-election, the Director affected will not be entitled to any compensation. There are no set notice periods and a Director may resign by notice in writing to the Board at any time.

Directors are remunerated in the form of fees, payable quarterly in arrears, to the Director personally.

No other remuneration or compensation was paid or payable by the Company during the year to any of the Directors apart from the reimbursement of allowable expenses.

Directors’ fees

Until 30 June 2022, the Company’s Articles limited the fees payable to Directors in aggregate to £400,000 per annum. The annual Directors’ fees were: £70,000 for Richard Horlick, the Chair; £55,000 for John Le Poidevin, the Chair of the Audit Committee; £50,000 for Claire Whittet, as Chair of the Management Engagement Committee and the Senior Independent Director and £45,000 for all other Directors.

The annual Directors’ fees from 1 July 2022 have been:

Role	Fee per annum £
Board Chair	90,000
Audit Committee Chair	65,000
Management Engagement Committee Chair	55,000
Remuneration and Nomination Committee Chair	55,000
Senior Independent Director	55,000
All other Directors	50,000

The annual aggregate limit of fees payable to Directors is £800,000 per annum. The Remuneration and Nomination Committee carried out a review of the fees at the most recent meeting, held on 7 December 2023, where it was concluded that no changes should be made.

The fees payable by the Company in respect of each of the Directors who served during the year ended 31 December 2023 and the year ended 31 December 2022 were as follows:

	Year ended	Year ended
	31.12.23 £	31.12.22 £
Richard Horlick	90,000	80,000
Caroline Chan*	51,586	3,562
Julia Chapman	55,000	50,000
Bronwyn Curtis	55,000	50,000
John Le Poidevin	65,000	60,000
Claire Whittet**	38,801	52,500
Total	355,387	296,062

* Caroline Chan was appointed to the Board on 6 December 2022 at a fee of £50,000 p.a. Following her appointment as Chair of the Remuneration and Nomination Committee, her fee was increased to £55,000 p.a.

** Claire Whittet retired from the Board on 13 September 2023.

Caroline Chan

Remuneration and Nomination Committee Chair

27 March 2024

Report of the Audit Committee

31 December 2023

We present the Audit Committee’s (the “Committee”) Report for 2023, setting out the Committee’s structure and composition, principal duties and key activities during the year. As in previous years, the Committee has reviewed the Company’s financial reporting, the independence and effectiveness of the Independent Auditor and the internal control and risk management systems of the service providers.

Structure and Composition

The Committee is chaired by John Le Poidevin and its other members are Bronwyn Curtis, Julia Chapman and Caroline Chan. Claire Whittet served on the Audit Committee until her retirement from the Board on 13 September 2023.

Appointment to the Committee is for a period of up to three years which may be extended for two further three-year periods, provided that the majority of the Committee remains independent of the Manager. John Le Poidevin is currently serving his third term, Bronwyn Curtis is serving her second term and Julia Chapman and Caroline Chan are serving their first terms.

The Committee conducts formal meetings at least three times a year. The table in the Directors’ Report sets out the number of Committee meetings held during the year ended 31 December 2023 and the number of such meetings attended by each committee member. The Independent Auditor is invited to attend those meetings at which the annual and interim reports are considered. The Independent Auditor and the Committee will meet together without representatives of either the Administrator or the Manager being present if the Committee considers this to be necessary.

Principal Duties

The role of the Committee includes:

•      monitoring the integrity of the published Financial Statements of the Company;
• reviewing and reporting to the Board on the significant issues and judgements made in the preparation of the Company’s published Financial Statements (having regard to matters communicated by the Independent Auditor), significant financial returns to regulators and other financial information;
• monitoring and reviewing the quality and effectiveness of the Independent Auditor and their independence;
• considering and making recommendations to the Board on the appointment, reappointment, replacement and remuneration to the Company’s Independent Auditor; and
• monitoring and reviewing the internal control and risk management systems of the service providers.
• The complete details of the Committee’s formal duties and responsibilities are set out in the Committee’s Terms of Reference, which can be obtained from the Company’s Administrator.

The independence and objectivity of the Independent Auditor is reviewed by the Committee, which also reviews the terms under which the Independent Auditor is appointed to perform non-audit services, which includes consideration of the Financial Reporting Council (“FRC”) Revised Ethical Standard 2019. The Committee has also established policies and procedures for the engagement of the Company’s auditor to provide audit, assurance and other services. The services which the Independent Auditor may not provide are any which:

•      places them in a position to audit their own work;
•      creates a mutuality of interest;
•      results in the Independent Auditor functioning as a manager or employee of the Company; or
•      puts the Independent Auditor in the role of advocate of the Company.

Independent Auditor

The audit and any non-audit fees proposed by the Independent Auditor each year are reviewed by the Committee taking into account the Company’s structure, operations and other requirements during the year and the Committee makes recommendations to the Board.

KPMG Channel Islands Limited (“KPMG CI”) has been the Company’s Independent Auditor from the date of the initial listing on the London Stock Exchange. The external audit was most recently tendered for the year ended 31 December 2016, where KPMG CI was re-appointed as auditor following the completion of the tender process.

Key Activities in 2023

The following sections discuss the assessment made by the Committee during the year:

Significant Financial Statement Issues

The Committee’s review of the annual Audited Financial Statements focused on the following area:

The Company’s investment in the Master Fund had a fair value of US$2,038.6 million as at 31 December 2023 and represents substantially all the net assets of the Company. The valuation of the investment is determined in accordance with the Accounting Policies set out in note 3 to the Audited Financial Statements. The Financial Statements of the Master Fund for the year ended 31 December 2023 were audited by KPMG Cayman who issued an unqualified audit opinion dated 26 March 2024. The Audit Committee has reviewed the Financial Statements of the Master Fund and the accounting policies and determined the fair value of the investment as at 31 December 2023 is reasonable.

This matter was discussed during the planning and final stage of the audit and there was no significant divergence of views between the Committee and the Independent Auditor.

The Committee has carried out a robust assessment of the risks to the Company in the context of making the Viability Statement in these Audited Financial Statements. Furthermore, the Committee has concluded it appropriate to continue to prepare the Audited Financial Statements on the going concern basis of accounting.

Effectiveness of the Audit

The Committee held formal meetings with KPMG CI during the course of the year: 1) before the start of the audit to discuss formal planning and to discuss any potential issues and to agree the scope that would be covered; and 2) after the audit work was concluded, to discuss the significant issues including those stated above.

The Committee considered the effectiveness and independence of KPMG CI by using a number of measures, including but not limited to:

•      reviewing the audit plan presented to them before the start of the audit;
•      reviewing and challenging the audit findings report including variations from the original plan;
•      reviewing any changes in audit personnel; and
•      requesting feedback from both the Manager and the Administrator.

Further to the above, during the year ended 31 December 2023, the Committee performed a specific evaluation of the performance of the Independent Auditor. This was supported by the results of questionnaires completed by the Committee covering areas such as the quality of the audit team, business understanding, audit approach and management. There were no significant adverse findings from the 2023 evaluation.

Audit Fees and Safeguards on Non-Audit Services

The table below summarises the remuneration paid by the Company to KPMG CI for audit and non-audit services during the years ended 31 December 2023 and 31 December 2022.

	Year ended	Year ended
	31.12.23 £	31.12.22 £
Annual audit	70,200	65,000
Interim review	35,500	33,000

The Audit Committee has examined the scope and results of the external audit, its cost effectiveness and the independence and objectivity of the Independent Auditor, with particular regard to non-audit fees, and considers KPMG CI, as Independent Auditor, to be independent of the Company. Further, the Committee has obtained KPMG CI’s confirmation that the services provided by other KPMG member firms to the wider Brevan Howard organisation do not prejudice its independence.

FRC Audit Committees and External Audit Minimum Standard

During the year the Audit Committee conducted an assessment of compliance with the FRC Audit Committees and External Audit Minimum Standard, published in May 2023. The Audit Committee was satisfied that its current processes achieved a high level of adherence and where relevant these standards have been incorporated into its Terms of Reference.

Internal Control

The Audit Committee has also reviewed the need for an internal audit function. The Committee has concluded that the systems and procedures employed by the Manager and the Administrator, including their own internal audit functions, currently provide sufficient assurance that a sound system of internal control, which safeguards the Company’s assets, is maintained. An internal audit function specific to the Company is therefore considered unnecessary.

The Committee examined externally prepared assessments of the control environment in place at the Manager and the Administrator, with the Manager providing an International Standard on Assurance Engagements (“ISAE 3402”) report and the Administrator providing a Service Organisation Control (“SOC1”) report. No significant findings have been noted during the year.

Conclusion and Recommendation

After reviewing various reports such as the operational and risk management framework and performance reports from the Manager and the Administrator, consulting where necessary with KPMG CI, and assessing the significant Audited Financial Statements’ issues noted in the Report of the Audit Committee, the Committee is satisfied that the Audited Financial Statements appropriately address the critical judgements and key estimates (both in respect of the amounts reported and the disclosures). The Committee is also satisfied that the significant assumptions used for determining the value of assets and liabilities have been appropriately scrutinised and challenged and are sufficiently robust. At the request of the Board, the Audit Committee considered and was satisfied that the 2023 Annual Report and Audited Financial Statements are fair, balanced and understandable and provide the necessary information for Shareholders to assess the Company’s performance, business model and strategy.

The Independent Auditor reported to the Committee that no unadjusted material misstatements were found in the course of its work. Furthermore, both the Manager and the Administrator confirmed to the Committee that they were not aware of any unadjusted material misstatements including matters relating to the presentation of the Audited Financial Statements. The Committee confirms that it is satisfied that the Independent Auditor has fulfilled its responsibilities with diligence and professional scepticism.

Consequent to the review process on the effectiveness of the independent audit and the review of audit and non-audit services, the Committee has recommended that KPMG CI be reappointed for the coming financial year.

For any questions on the activities of the Committee not addressed in the foregoing, a member of the Audit Committee remains available to attend each Annual General Meeting to respond to such questions.

John Le Poidevin

Audit Committee Chair

27 March 2024

Manager’s Report

Brevan Howard Capital Management LP (“BHCM” or the “Manager”) is the manager of BH Macro Limited (the “Company”) and of Brevan Howard Master Fund Limited (the “Master Fund”). The Company invests all of its assets (net of short-term working capital) in the ordinary shares of the Master Fund.

Performance Review

The NAV per share of the USD shares of the Company depreciated by -1.33% during 2023 and the NAV per share of the GBP shares depreciated by -1.81%.

The month-by-month NAV performance of each currency class of the Company since it commenced operations in 2007 is set out below.

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	6.85	(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	(0.66)	0.82	0.79	0.04	1.17	0.26	0.31	12.43
2019	0.52	(0.88)	2.43	(0.60)	3.53	3.82	(0.78)	1.00	(1.94)	0.47	(1.22)	1.52	7.98
2020	(1.42)	5.49	18.31	0.19	(0.85)	(0.53)	1.74	0.94	(1.16)	(0.02)	0.75	3.04	28.09
2021	1.20	0.32	0.81	0.15	0.25	(1.50)	(0.49)	0.87	0.40	0.27	0.00	0.47	2.76
2022	0.94	1.79	5.39	3.86	1.66	1.05	0.15	2.84	2.12	(0.40)	(1.15)	1.88	21.91
2023	1.20	(0.28)	(4.29)	(0.93)	(1.61)	(0.25)	0.90	0.34	1.12	0.86	(0.42)	1.69	(1.81)

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	(0.57)	0.91	0.90	0.14	1.32	0.38	0.47	14.16
2019	0.67	(0.70)	2.45	(0.49)	3.55	3.97	(0.66)	1.12	(1.89)	0.65	(1.17)	1.68	9.38
2020	(1.25)	5.39	18.40	0.34	(0.82)	(0.54)	1.84	0.97	(1.11)	(0.01)	0.76	3.15	28.89
2021	1.21	0.31	0.85	0.16	0.26	(1.47)	(0.47)	0.86	0.31	0.14	(0.09)	0.59	2.67
2022	0.74	1.77	5.27	3.80	1.09	0.76	0.12	3.11	2.46	(0.50)	(1.09)	2.01	21.17
2023	1.26	(0.30)	(4.11)	(0.88)	(1.54)	(0.15)	0.92	0.34	1.08	0.88	(0.40)	1.69	(1.33)

Source: Master Fund NAV data is provided by the administrator of the Master Fund, State Street Fund Services (Ireland) Limited. The Company’s NAV and NAV per Share data is provided by the Company’s administrator, Northern Trust International Fund Administration Services (Guernsey) Limited.

The Company’s NAV per Share % Monthly Change is calculated by BHCM.

The Company’s NAV data is unaudited and net of all investment management and performance fees and all other fees and expenses payable by the Company. In addition, the Company’s investment in the Master Fund is subject to an operational services fee.

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.

Data as at 29 December 2023.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Quarterly and Annual contribution (%) to the performance of the Company’s USD Shares (net of fees and expenses) by asset class*

This information is given in US$ only, consistent with monthly shareholder reporting for the underlying US$ denominated Master Fund.

	Rates	FX	Commodities	Credit	Equity	Digital Assets	Discount Management	TOTAL
Q1 2023	(1.37)	(0.71)	(0.22)	0.14	(1.25)	0.19	0.04	(3.19)
Q2 2023	(1.37)	(0.54)	(0.34)	(0.07)	(0.11)	(0.14)	0.00	(2.55)
Q3 2023	2.25	0.03	0.07	(0.07)	0.20	(0.14)	0.00	2.36
Q4 2023	2.30	(0.47)	(0.03)	0.23	(0.52)	0.69	0.00	2.18
2023	1.75	(1.68)	(0.52)	0.23	(1.67)	0.60	0.04	(1.33)

Data as at 29 December 2023.

Quarterly and YTD figures are calculated by BHCM as at 29 December 2023, based on performance data for each period provided by the Company’s administrator, Northern Trust. Figures rounded to two decimal places.

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

“Commodities”: commodity futures and options

“Credit”: corporate and asset-backed indices, bonds and CDS “Equity”: equity markets including indices and other derivatives “Digital Assets”: crypto-currencies including derivatives

“Discount Management”: buyback activity or shares from treasury

Performance and Economic Outlook Commentary

The environment for macro trading in the past year was very different to 2022, which was, in terms of performance, one of the best years in our more than 20-year history with the NAV per share of the GBP shares of the Company increasing by 21.91%. This year saw significant challenges and there was a decline in the NAV per share of the GBP shares of the Company of -1.81%.

Macro trading in the first quarter was influenced by the surprising strength of the US economy against a background of widespread recession fears. This caused the Fed to pivot hawkishly and hint at further hikes. Notably, Chair Powell in his March testimony to Congress suggested that interest rates needed to be increased at a faster pace, suggesting a return to 50-basis-point rate increases.

Our macro portfolio managers leaned into this view with a range of positions to benefit from an acceleration of further tightening. In the event, the shock triggered two of the largest bank failures in history. Silicon Valley Bank failed almost immediately and Credit Suisse was resolved just a week later. The dramatic reversal — especially in short-term interest rates, which staged some of their biggest one-day rallies in history — caused these positions to incur losses. Our well-established risk discipline ensured that the positions most affected were cut immediately. The Master Fund was placed in a strong position given the increased uncertainty about the strength of banks more generally and the possibility of a knock-on effect on financial markets.

Over the subsequent quarter, it was unclear whether the US and Euro areas would continue to power ahead or suffer a credit crunch. The interplay between strong economic data with the potential for an ongoing wave of bank failures made for choppy, trendless markets during which our risk levels remained muted. Market liquidity was weak and this, combined with concerns about the financial sector, made us particularly sensitive to tail risks especially those relating to leverage across the wider market. This risk discipline had a material dampening impact on our macro directional risk-taking through to the fourth quarter of the year.

In parallel with this, we conducted a review to seek to ensure that the Master Fund remains optimally positioned to execute on its key objective: that of continuing the exceptional long-term track record produced for investors. As part of this process, we assembled a dedicated team to carry out a comprehensive, critical assessment of the capital allocations within the fund. The team examined a broad range of factors that drives performance, including the unique return and downside characteristics of the underlying trading strategies, and how they interact together. They also scrutinized individual portfolio managers’ performance profiles, their ability to structure convexity and the extent to which they contribute to diversification. This work led to a series of improvements to capital allocations across strategies and portfolio managers, improvements to several trading mandates and the closure of underperforming trading books.

At a high level, the aim of these adjustments is to seek to enhance the Master Fund’s ability to generate highly convex and uncorrelated returns through an improved focus on monetising macro opportunities while protecting the unique return characteristics that distinguish the Fund.

Looking forward, the opportunity set for macro trading looks set to be extremely interesting and macro considerations are likely to matter more than ever to every investor. While it is hard to identify paradigm shifts in real time, the secular stagnation era may have ended. There are three factors that may drive the shift towards structurally higher interest rates and more economic volatility than occurred in the post-Global Financial Crisis period.

First, fiscal and monetary policy are no longer a “free lunch”. Public debt soared in the wake of the pandemic, limiting fiscal space going forward. Central banks suffered reputational damage from missing their inflation mandates, which is likely to make them reluctant to embrace unconventional monetary policy in response to financial market volatility.

Second, China plans to emphasize state-led growth, common prosperity, and national security — a sharp departure from the last 40 years when their free-wheeling economic growth powered the global economy. China’s contribution to reducing global inflation through unfettered trade in recent decades is also likely to diminish, and structurally slower growth in China should result in fewer of its financial reserves being recycled into international markets.

Finally, there are ongoing wars with the prospect looming for further great power conflict. A new landscape of greater geopolitical tension and competition will mean bigger budget deficits, higher inflation, and greater uncertainty. In this kind of future, investors will have to operate in a more volatile economic environment without the comfort of a fiscal or monetary safety net.

For all of these reasons, a focus on macro factors within portfolios will be essential and the opportunity set for macro trading is likely to be very rich. Brevan Howard is well-positioned to navigate this environment in service to our clients. Brevan Howard wishes to thank shareholders once again for their continued support.

Brevan Howard Capital Management LP, acting by its sole general partner,

Brevan Howard Capital Management Limited.

27 March 2024

Independent Auditor’s Report to the Members of BH Macro Limited

Our opinion is unmodified

We have audited the financial statements of BH Macro Limited (the “Company”), which comprise the Audited Statement of Assets and Liabilities as at 31 December 2023, the Audited Statements of Operations, Changes in Net Assets and Cash Flows for the year then ended, and notes, comprising significant accounting policies and other explanatory information.

In our opinion, the accompanying financial statements:

• give a true and fair view of the financial position of the Company as at 31 December 2023, and of the Company’s financial performance and cash flows for the year then ended;
• are prepared in accordance with U.S. generally accepted accounting principles; and
• comply with the Companies (Guernsey) Law, 2008.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities are described below. We have fulfilled our ethical responsibilities under, and are independent of the Company in accordance with, UK ethical requirements including the FRC Ethical Standard as required by the Crown Dependencies’ Audit Rules and Guidance. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion.

Key audit matters: our assessment of the risks of material misstatement

Key audit matters are those matters that, in our professional judgment, were of most significance in the audit of the financial statements and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by us, including those which had the greatest effect on: the overall audit strategy; the allocation of resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.  In arriving at our audit opinion above, the key audit matter was as follows (unchanged from 2022):

	The risk	Our response
Valuation of Investment in Brevan Howard Master Fund Limited (the “Master Fund”) $2,038,614,000 (2022: $1,628,766,000) Refer to the Report of the Audit Committee and note 3 accounting policy	Basis: The Company, which is a multi-class feeder fund, had invested 98.27% (2022: 99.29%) of its net assets at 31 December 2023 into the ordinary US Dollar and Sterling denominated Class B Shares issued by the Master Fund, which is an open-ended investment company. The Company’s investment holdings in the Master Fund are valued using the respective net asset value per share class as provided by the Master Fund’s independent administrator. Risk: The valuation of the Company’s investment in the Master Fund, given that it represents the majority of the net assets of the Company, is a significant area of our audit.	Our audit procedures included, but were not limited to: Obtained an independent confirmation from the administrator of the Master Fund detailing the net asset value per share for both the US Dollar and Sterling Class B shares and reconciled these to the net asset values used in the valuation of the investment in the Master Fund; Assessed the audit work performed by the auditor of the Master Fund by gaining insight over the work performed on the significant elements of the Master Fund’s net asset value and by holding discussions on key audit findings with the auditor of the Master Fund; and Examined the Master Fund’s coterminous audited financial statements to corroborate the net asset value per share of both the US Dollar and Sterling Class B shares. We also considered the Company’s investment valuation policies as disclosed in note 3 to the financial statements for conformity with U.S. generally accepted accounting principles.

Our application of materiality and an overview of the scope of our audit

Materiality for the financial statements as a whole was set at £29,700,000, determined with reference to a benchmark of net assets of $2,074,531,000, of which it represents approximately 1.5% (2022: 1.5%).

In line with our audit methodology, our procedures on individual account balances and disclosures were performed to a lower threshold, performance materiality, so as to reduce to an acceptable level the risk that individually immaterial misstatements in individual account balances add up to a material amount across the financial statements as a whole. Performance materiality for the Company was set at 75% (2022: 75%) of materiality for the financial statements as a whole, which equates to $22,200,000. We applied this percentage in our determination of performance materiality because we did not identify any factors indicating an elevated level of risk.

We reported to the Audit Committee any corrected or uncorrected identified misstatements exceeding $1,485,000, in addition to other identified misstatements that warranted reporting on qualitative grounds. 

Our audit of the Company was undertaken to the materiality level specified above, which has informed our identification of significant risks of material misstatement and the associated audit procedures performed in those areas as detailed above. 

Going concern

The directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Company or to cease its operations, and as they have concluded that the Company’s financial position means that this is realistic. They have also concluded that there are no material uncertainties that could have cast significant doubt over its ability to continue as a going concern for at least a year from the date of approval of the financial statements (the “going concern period”).

In our evaluation of the directors’ conclusions, we considered the inherent risks to the Company’s business model and analysed how those risks might affect the Company’s financial resources or ability to continue operations over the going concern period. The risks that we considered most likely to affect the Company’s financial resources or ability to continue operations over this period were:

• Availability of capital to meet operating costs and other financial commitments; and
• The likelihood of a share class closure or liquidation resolution votes being triggered.

We considered whether these risks could plausibly affect the liquidity in the going concern period by comparing severe, but plausible downside scenarios that could arise from these risks individually and collectively against the level of available financial resources indicated by the Company’s financial forecasts.

We considered whether the going concern disclosure in note 3 to the financial statements gives a full and accurate description of the directors' assessment of going concern.

Our conclusions based on this work:

• we consider that the directors' use of the going concern basis of accounting in the preparation of the financial statements is appropriate;
• we have not identified, and concur with the directors' assessment that there is not, a material uncertainty related to events or conditions that, individually or collectively, may cast significant doubt on the Company's ability to continue as a going concern for the going concern period; and
• we have nothing material to add or draw attention to in relation to the directors' statement in the notes to the financial statements on the use of the going concern basis of accounting with no material uncertainties that may cast significant doubt over the Company's use of that basis for the going concern period, and that statement is materially consistent with the financial statements and our audit knowledge.

However, as we cannot predict all future events or conditions and as subsequent events may result in outcomes that are inconsistent with judgements that were reasonable at the time they were made, the above conclusions are not a guarantee that the Company will continue in operation.

Fraud and breaches of laws and regulations – ability to detect

Identifying and responding to risks of material misstatement due to fraud

To identify risks of material misstatement due to fraud (“fraud risks”) we assessed events or conditions that could indicate an incentive or pressure to commit fraud or provide an opportunity to commit fraud. Our risk assessment procedures included:

• enquiring of management as to the Company’s policies and procedures to prevent and detect fraud as well as enquiring whether management have knowledge of any actual, suspected or alleged fraud;
• reading minutes of meetings of those charged with governance; and
• using analytical procedures to identify any unusual or unexpected relationships.

As required by auditing standards, we perform procedures to address the risk of management override of controls, in particular the risk that management may be in a position to make inappropriate accounting entries. On this audit we do not believe there is a fraud risk related to revenue recognition because the Company’s revenue streams are simple in nature with respect to accounting policy choice, and are easily verifiable to external data sources or agreements with little or no requirement for estimation from management. We did not identify any additional fraud risks.

We performed procedures including

• Identifying journal entries and other adjustments to test based on risk criteria and comparing any identified entries to supporting documentation; and
• incorporating an element of unpredictability in our audit procedures.

Identifying and responding to risks of material misstatement due to non-compliance with laws and regulations

We identified areas of laws and regulations that could reasonably be expected to have a material effect on the financial statements from our sector experience and through discussion with management (as required by auditing standards), and from inspection of the Company’s regulatory and legal correspondence, if any, and discussed with management the policies and procedures regarding compliance with laws and regulations. As the Company is regulated, our assessment of risks involved gaining an understanding of the control environment including the entity’s procedures for complying with regulatory requirements.

The Company is subject to laws and regulations that directly affect the financial statements including financial reporting legislation and taxation legislation and we assessed the extent of compliance with these laws and regulations as part of our procedures on the related financial statement items.

The Company is subject to other laws and regulations where the consequences of non-compliance could have a material effect on amounts or disclosures in the financial statements, for instance through the imposition of fines or litigation or impacts on the Company’s ability to operate. We identified financial services regulation as being the area most likely to have such an effect, recognising the regulated nature of the Company’s activities and its legal form. Auditing standards limit the required audit procedures to identify non-compliance with these laws and regulations to enquiry of management and inspection of regulatory and legal correspondence, if any. Therefore if a breach of operational regulations is not disclosed to us or evident from relevant correspondence, an audit will not detect that breach.

Context of the ability of the audit to detect fraud or breaches of law or regulation

Owing to the inherent limitations of an audit, there is an unavoidable risk that we may not have detected some material misstatements in the financial statements, even though we have properly planned and performed our audit in accordance with auditing standards. For example, the further removed non-compliance with laws and regulations is from the events and transactions reflected in the financial statements, the less likely the inherently limited procedures required by auditing standards would identify it. 

In addition, as with any audit, there remains a higher risk of non-detection of fraud, as this may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal controls. Our audit procedures are designed to detect material misstatement. We are not responsible for preventing non-compliance or fraud and cannot be expected to detect non-compliance with all laws and regulations.

Other information

The directors are responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our auditor's report thereon. Our opinion on the financial statements does not cover the other information and we do not express an audit opinion or any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Disclosures of emerging and principal risks and longer term viability

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ disclosures in respect of emerging and principal risks and the viability statement, and the financial statements and our audit knowledge. we have nothing material to add or draw attention to in relation to:

• the directors’ confirmation within the Viability Statement that they have carried out a robust assessment of the emerging and principal risks facing the Company, including those that would threaten its business model, future performance, solvency or liquidity;
• the emerging and principal risks disclosures describing these risks and explaining how they are being managed or mitigated;
• the directors’ explanation in the Viability Statement as to how they have assessed the prospects of the Company, over what period they have done so and why they consider that period to be appropriate, and their statement as to whether they have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the period of their assessment, including any related disclosures drawing attention to any necessary qualifications or assumptions.

We are also required to review the Viability Statement, under the Listing Rules. Based on the above procedures, we have concluded that the above disclosures are materially consistent with the financial statements and our audit knowledge.

Corporate governance disclosures

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ corporate governance disclosures and the financial statements and our audit knowledge.

Based on those procedures, we have concluded that each of the following is materially consistent with the financial statements and our audit knowledge:

• the directors’ statement that they consider that the annual report and financial statements taken as a whole is fair, balanced and understandable, and provides the information necessary for shareholders to assess the Company’s position and performance, business model and strategy;
• the section of the annual report describing the work of the Audit Committee, including the significant issues that the audit committee considered in relation to the financial statements, and how these issues were addressed; and
• the section of the annual report that describes the review of the effectiveness of the Company’s risk management and internal control systems.

We are required to review the part of Corporate Governance Statement  relating to the Company’s compliance with the provisions of the UK Corporate Governance Code specified by the Listing Rules for our review. We have nothing to report in this respect. 

We have nothing to report on other matters on which we are required to report by exception

We have nothing to report in respect of the following matters where the Companies (Guernsey) Law, 2008 requires us to report to you if, in our opinion:

• the Company has not kept proper accounting records; or
• the financial statements are not in agreement with the accounting records; or
• we have not received all the information and explanations, which to the best of our knowledge and belief are necessary for the purpose of our audit.

Respective responsibilities

Directors' responsibilities

As explained more fully in their statement, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; assessing the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and using the going concern basis of accounting unless liquidation is imminent.

Auditor's responsibilities

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue our opinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does not guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements. 

A fuller description of our responsibilities is provided on the FRC’s website at www.frc.org.uk/auditorsresponsibilities.

The purpose of this report and restrictions on its use by persons other than the Company's members as a body

This report is made solely to the Company’s members, as a body, in accordance with section 262 of the Companies (Guernsey) Law, 2008.  Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.

 

Deborah Smith

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants and Recognised Auditors

Guernsey

 

27 March 2024

Audited Statement of Assets and Liabilities

As at 31 December 2023

	31.12.23 US$'000	31.12.22 US$'000
Assets
Investment in the Master Fund (note 3)	2,038,614	1,628,766
Master Fund redemption proceeds receivable	20,697	70,411
Prepaid expenses	47	43
Cash and bank balances denominated in Sterling	18,367	7,271
Cash and bank balances denominated in US Dollars	1,284	639
Total assets	2,079,009	1,707,130
Liabilities
Performance fees payable (note 4)	2	62,261
Management fees payable (note 4)	2,771	4,224
Purchase of shares into treasury payable	1,477	-
Accrued expenses and other liabilities	148	117
Directors' fees payable	-	14
Administration fees payable (note 4)	80	66
Total liabilities	4,478	66,682
Net assets	2,074,531	1,640,448
Number of shares in issue (note 5)
Sterling shares	372,024,149	30,156,454*
US Dollar shares	29,856,472	2,858,135*
Net asset value per share (notes 7 and 9)
Sterling shares	£4.11	£41.81*
US Dollar shares	US$4.27	US$43.28*

See accompanying Notes to the Audited Financial Statements.

Signed on behalf of the Board by:

 

 

 

Richard Horlick

Chair

 

 

 

John Le Poidevin

Director

27 March 2024

* The Number of Shares In Issue and Net Asset Value Per Share as of 31 December 2022 are not adjusted by a factor of 10 to reflect the 10 for 1 share sub-division approved at the EGM held on 6 February 2023.

Audited Statement of Operations

For the year ended 31 December 2023

	01.01.23 to 31.12.23 US$'000	01.01.22 to 31.12.22 US$'000
Net investment gain/(loss) allocated from the Master Fund
Interest income	99,983	14,309
Dividend and other income (net of withholding tax:
31 December 2023: US$94,653; 31 December 2022: US$127,840)	5,176	6,166
Expenses	(91,827)	(24,561)
Net investment gain/(loss) allocated from the Master Fund	13,332	(4,086)
Company income
Bank interest income	792	32
Foreign exchange gains (note 3)	108,508	-
Total Company income	109,300	32
Company expenses
Performance fees (note 4)	2	63,844
Management fees (note 4)	29,579	23,776
Other expenses	969	1,063
Directors' fees	442	366
Administration fees (note 4)	303	241
Foreign exchange losses (note 3)	-	149,089
Total Company expenses	31,295	238,379
Net investment gain/(loss)	91,337	(242,433)
Net realised and unrealised (loss)/gain on investments allocated from the Master Fund
Net realised gain on investments	188,681	118,371
Net unrealised (loss)/gain on investments	(213,524)	236,140
Net realised and unrealised (loss)/gain on investments allocated from the Master Fund	(24,843)	354,511
Net increase in net assets resulting from operations	66,494	112,078

See accompanying Notes to the Audited Financial Statements.

Audited Statement of Changes in Net Assets

For the year ended 31 December 2023

	01.01.23 to 31.12.23 US$'000	01.01.22 to 31.12.22 US$'000
Net increase in net assets resulting from operations
Net investment gain/(loss)	91,337	(242,433)
Net realised gain on investments allocated from the Master Fund	188,681	118,371
Net unrealised (loss)/gain on investments allocated from the Master Fund	(213,524)	236,140
	66,494	112,078
Issue of new shares
Sterling shares	379,021	218,027
US Dollar shares	3,336	12,615
Share issue costs
Sterling shares	(7,761)	-
US Dollar shares	(67)	-
Purchase of shares into treasury
Sterling shares	(6,940)	-
US Dollar shares	-	-
Total share capital transactions	367,589	230,642
Net increase in net assets	434,083	342,720
Net assets at the beginning of the year	1,640,448	1,297,728
Net assets at the end of the year	2,074,531	1,640,448

See accompanying Notes to the Audited Financial Statements.

Audited Statement of Cash Flows

For the year ended 31 December 2023

	01.01.23 to 31.12.23 US$'000	01.01.22 to 31.12.22 US$'000
Cash flows from operating activities
Net increase in net assets resulting from operations	66,494	112,078
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities:
Net investment (gain)/loss allocated from the Master Fund	(13,332)	4,086
Net realised gain on investments allocated from the Master Fund	(188,681)	(118,371)
Net unrealised loss/(gain) on investments allocated from the Master Fund	213,524	(236,140)
Purchase of investment in the Master Fund	(365,214)	(221,798)
Proceeds from sale of investment in the Master Fund	101,862	11,008
Foreign exchange (gains)/losses	(108,508)	149,089
(Increase)/decrease in prepaid expenses	(4)	251
(Decrease)/increase in performance fees payable	(62,259)	56,056
(Decrease)/increase in management fees payable	(1,453)	972
Decrease in accrued expenses and other liabilities	(68)	(137)
(Decrease)/increase in Directors' fees payable	(14)	14
Decrease in combination fees receivable	-	1,749
Increase in administration fees payable	14	15
Net cash used in operating activities	(357,639)	(241,128)
Cash flows from financing activities
Purchase of own shares into treasury	(5,463)	-
Proceeds from share issue	382,357	230,642
Share issue costs	(7,828)	-
Net cash generated from financing activities	369,066	230,642
Change in cash	11,427	(10,486)
Cash, beginning of the year	7,910	16,430
Effect of exchange rate fluctuations	314	1,966
Cash, end of the year	19,651	7,910
Cash, end of the year
Cash and bank balances denominated in Sterling 1	18,367	7,271
Cash and bank balances denominated in US Dollars	1,284	639
	19,651	7,910
Supplemental disclosure of non-cash financing activities
1. Cash and bank balances in Sterling (GBP'000)	14,408	6,045

See accompanying Notes to the Audited Financial Statements.

Notes to the Audited Financial Statements

For the year ended 31 December 2023

1.    The Company

BH Macro Limited (the “Company”) is a limited liability closed-ended investment company which was incorporated in Guernsey on 17 January 2007 and admitted to the Official List of the London Stock Exchange (“LSE”) later that year.

The Company’s ordinary shares are issued in Sterling and US Dollars.

2.    Organisation

The Company is organised as a feeder fund and seeks to achieve its investment objective by investing all of its investable assets, net of short-term working capital requirements, in the ordinary Sterling and US Dollar-denominated Class B shares issued by Brevan Howard Master Fund Limited (the “Master Fund”) and, as such, the Company is directly and materially affected by the performance and actions of the Master Fund.

The Master Fund is an open-ended investment company with limited liability formed under the laws of the Cayman Islands on 22 January 2003. The investment objective of the Master Fund is to generate consistent long-term appreciation through active leveraged trading and investment on a global basis. The Master Fund employs a combination of investment strategies that focus primarily on economic change and monetary policy and market inefficiencies. The underlying philosophy is to construct strategies, often contingent in nature with superior risk/return profiles, whose outcome will often be crystallised by an expected event occurring within a pre-determined period of time. New trading strategies will be added as investment opportunities present themselves.

As such, the Audited Financial Statements of the Company should be read in conjunction with the Audited Financial Statements of the Master Fund which can be found on the Company’s website, www.bhmacro.com.

At the date of these Audited Financial Statements, there were four other feeder funds in operation in addition to the Company that invest all of their assets (net of working capital) in the Master Fund. Furthermore, other funds managed by the Manager invest some of their assets in the Master Fund as at the date of these Audited Financial Statements.

Off-Balance Sheet, market and credit risks of the Master Fund’s investments and activities are discussed in the notes to the Master Fund’s Audited Financial Statements. The Company’s investment in the Master Fund exposes it to various types of risk, which are associated with the financial instruments and markets in which the Brevan Howard underlying funds invest.

Market risk represents the potential loss in value of financial instruments caused by movements in market factors including, but not limited to, market liquidity, investor sentiment and foreign exchange rates.

The Manager

Brevan Howard Capital Management LP (the “Manager”) is the manager of the Company. The Manager is a Jersey limited partnership, the general partner of which is Brevan Howard Capital Management Limited, a Jersey limited company (the “General Partner”). The General Partner is regulated in the conduct of fund services business by the Jersey Financial Services Commission pursuant to the Financial Services (Jersey) Law, 1998 and the Orders made thereunder.

The Manager also manages the Master Fund and in that capacity, as at the date of these Audited Financial Statements, has delegated the function of investment management of the Master Fund to Brevan Howard Asset Management LLP, Brevan Howard (Hong Kong) Limited, Brevan Howard Investment Products Limited, Brevan Howard US Investment Management LP, Brevan Howard Private Limited, Brevan Howard (Tel Aviv) Limited and BH-DG Systematic Trading LLP.

On 23 January 2023, the Company announced the commencement of an offer of new ordinary shares (the “Initial Issue”), comprising a placing, an intermediaries offer and an offer for subscription, together with an issuance programme for subsequent issues, which remained open until 23 January 2024 (the “Issuance Programme”). The Company also announced the issue of a new prospectus and a circular to Shareholders (the “Circular”), in connection with the Issuance Programme.

In order to reflect the increased investment of the Company in the Master Fund, the Company and the Manager agreed to a number of amendments to the Management Agreement, including the terms on which the Company's investment in the Master Fund could be redeemed in order to provide the Manager with more operational certainty regarding the Company's investment in the Master Fund. Certain of these changes, which did not require Shareholder approval, were as follows:

The Company will ordinarily be required to provide 12 months' notice of the redemption of all or some of its investment in the Master Fund, except as may be required to fund the Company's specific working capital requirements and, up to a maximum amount equal to five per cent of each class of the Company's holding of Master Fund shares every month, to finance on-market share buy-backs. As such, any redemption of all or part of the Company's investment in the Master Fund on a winding up of the Company or to finance a tender offer or a class closure resolution will be required to be on 12 months' notice. In those cases, the Company would only receive the proceeds of redemption from the Master Fund (and, therefore, Shareholders would only receive payment from the Company) after the redemption date at the end of the 12 month notice period and the Company (and, therefore, Shareholders) would remain exposed to the investment performance of the Master Fund in the intervening period to that redemption date.

In other changes to the Management Agreement, the circumstances in which the Company can terminate the Management Agreement and redeem its investment in the Master Fund on less than 12 months' notice includes certain "cause" events affecting the Manager, in which case the Company would be entitled to terminate the Management Agreement on 90 days' notice and redeem its investment in the Master Fund on three months' notice.

The annual buy-back allowance fee arrangements introduced in 2021 will continue to apply in respect of repurchases and redemptions by the Company of its shares of each class in excess of a number equal to five per cent of shares in issue of the relevant class at the end of the prior calendar year.

See also note 8 for further details relating to redemptions from the Master Fund for discount management mechanisms.

3. Significant accounting policies

These Audited Financial Statements, which give a true and fair view, are prepared in accordance with United States Generally Accepted Accounting Principles and comply with the Companies (Guernsey) Law, 2008. The functional and reporting currency of the Company is US Dollars.

As further described in the Directors’ Report, these Audited Financial Statements have been prepared using the going concern basis of accounting.

The Board continues to monitor the ongoing impact of various geopolitical events, including elevated levels of global inflation, recessionary risks and the ongoing conflicts in Ukraine and the Middle East. The Board has concluded that the biggest threat to the Company remains the failure of a key service provider to maintain business continuity and resiliency. The Board has assessed the measures in place by key service providers to maintain business continuity and, so far, has not identified any significant issues that affect the Company. The financial position of the Company has not been negatively impacted by these geopolitical events. For these reasons, the Board is confident that these events have not impacted the going concern assessment of the Company.

The Company is an investment company which has applied the provisions of Accounting Standards Codification (“ASC”) 946.

The following are the significant accounting policies adopted by the Company:

Valuation of investments

The Company records its investment in the Master Fund at fair value. Fair value is determined as the Company’s proportionate share of the Master Fund’s capital, which approximates fair value. At 31 December 2023, the Company was the sole investor in the Master Fund’s ordinary Sterling and US Dollar Class B shares as disclosed in the table below. Within the table below, the Company’s investment in each share class in the Master Fund is included, with the overall total investment shown in the Audited Statement of Assets and Liabilities.

	Percentage of	NAV per Share	Shares held in the Master Fund	Investment in Master Fund	Investment in Master Fund
	Master Fund's capital	(Class B)	(Class B)	CCY '000	US$'000
31 December 2023
Sterling	15.58%	£6,614.07	226,847	£1,500,386	1,912,542
US Dollar	1.03%	US$6,620.65	19,041	US$126,072	126,072
					2,038,614
31 December 2022
Sterling	15.03%	£6,634.79	188,704	£1,252,014	1,506,049
US Dollar	1.22%	US$6,606.92	18,573	US$122,717	122,717
					1,628,766

ASC Topic 820 defines fair value as the price that the Company would receive upon selling a security in an orderly transaction to an independent buyer in the principal or most advantageous market of the security.

The valuation and classification of securities held by the Master Fund is discussed in the notes to the Master Fund’s Audited Financial Statements which are available on the Company’s website, www.bhmacro.com.

Income and expenses

The Company records monthly its proportionate share of the Master Fund’s income, expenses and realised and unrealised gains and losses. In addition, the Company accrues its own income and expenses.

Use of estimates

The preparation of the Audited Financial Statements in accordance with United States Generally Accepted Accounting Principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of these Audited Financial Statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

  Leverage

The Manager has discretion, subject to the prior approval of a majority of the independent Directors, to employ leverage for and on behalf of the Company by way of borrowings to effect share purchases or share buy-backs, to satisfy working capital requirements and to finance further investments in the Master Fund.

The Company may borrow up to 20% of its NAV, calculated as at the time of borrowing. Additional borrowing over 20% of NAV may only occur if approved by an ordinary resolution of the Shareholders.

Foreign exchange

Transactions reported in the Audited Statement of Operations are translated into US Dollar amounts at the date of such transactions. Assets and liabilities denominated in foreign currencies are translated into US Dollars at the exchange rate at the reporting date. The share capital and other capital reserves are translated at the historic rate ruling at the date of the transaction.

Investment securities and other assets and liabilities of the Sterling share class are translated into US Dollars, the Company's reporting currency, using exchange rates at the reporting date. The Audited Statement of Operations’ items of the Sterling share class are converted into US Dollars using the average exchange rate. Exchange differences arising on translation are included in foreign exchange gains/losses in the Audited Statement of Operations. This foreign exchange adjustment has no effect on the value of net assets allocated to the individual share classes.

Cash and bank balances

Cash and bank balances comprise demand deposits.

Allocation of results of the Master Fund

Net realised and unrealised gains/losses of the Master Fund are allocated to the Company’s share classes based upon the percentage ownership of the equivalent Master Fund class.

Treasury shares

Where the Company has purchased its own share capital, the consideration paid, which includes any directly attributable costs, has been recognised as a deduction from equity Shareholders’ funds through the Company’s reserves.

Where such shares have been subsequently sold or reissued to the market, any consideration received, net of any directly attributable incremental transaction costs, is recognised as an increase in equity Shareholders’ funds through the share capital account. Where the Company cancels treasury shares, no further adjustment is required to the share capital account of the Company at the time of cancellation. Shares held in treasury are excluded from calculations when determining NAV per share as detailed in note 7 and in the ‘Financial highlights’ in note 9.

Refer to note 8 for details of sales of shares from treasury or purchases by the Company of its share capital.

4. Management Agreement and administration agreement

Management fee and performance fee

The Company has entered into the Management Agreement with the Manager to manage the Company’s investment

portfolio. The Management Fee charged to the Company is reduced by the Company’s share of management fees incurred by the Master Fund through any underlying investments of the Master Fund that share the same manager as the Company. Effective from 1 July 2021, the Management Fee charged has been 1/12 of 1.5% per month of the NAV. The investment in the Class B shares of the Master Fund is not subject to management fees, but is subject to an operational services fee payable to the Manager of 1/12 of 0.5% per month of the NAV. On 23 January 2023, the Management Agreement between the Company and the Manager was amended. Please see note 2 for further information.

During the year ended 31 December 2023, US$29,579,495 (year ended 31 December 2022: US$23,776,341) was earned by the Manager as net Management Fees. At 31 December 2023, US$2,770,618 (31 December 2022: US$4,224,444) of the Management Fee remained outstanding.

The Manager is also entitled to an annual performance fee for both share classes. The performance fee is equal to 20% of the appreciation in the NAV per share of that class during that calculation period which is above the base NAV per share of that class, other than that arising to the remaining shares of the relevant class from any repurchase, redemption or cancellation of any share in the calculation period. The base NAV per share is the greater of the NAV per share of the relevant class at the time of issue of such share and the highest NAV per share achieved as at the end of any previous calculation period.

The Manager will be paid an estimated performance fee on the business day preceding the last business day of each calculation period. Within 5 business days of the publication of the final NAV of each class of shares as at the end of the calculation period, any difference between the actual performance fee and the estimated amount will be paid to or refunded by the Manager, as appropriate. Any accrued performance fee in respect of shares which are converted into another share class prior to the date on which the performance fee would otherwise have become payable in respect of those shares will crystallise and become payable on the date of such conversion. The performance fee is accrued on an ongoing basis and is reflected in the Company’s published NAV. During the year ended 31 December 2023, US$2,326 (year ended 31 December 2022: US$63,843,904) was earned by the Manager as performance fees. At 31 December 2023, US$2,340 (31 December 2022: US$62,261,207) of the fee remained outstanding.

The Master Fund may hold investments in other funds managed by the Manager. To ensure that Shareholders of the Company are not subject to two tiers of fees, the fees paid to the Manager as outlined above are reduced by the Company’s share of any fees paid to the Manager by the underlying Master Fund investments, managed by the Manager.

The notice period for termination of the Management Agreement without cause by either the Company or the Manager is 12 months. The Management Agreement was amended on 23 January 2023. See note 2 for further details.

Administration fee

The Company has appointed Northern Trust International Fund Administration Services (Guernsey) Limited as its administrator and corporate secretary (the “Administrator” and “Corporate Secretary”) pursuant to an administration agreement. The Administrator is paid fees based on the NAV of the Company, payable quarterly in arrears. The fee is at a rate of 0.015% of the average month-end NAV of the Company, subject to a minimum fee of £67,500 per annum. In addition to the NAV-based fee, the Administrator is also entitled to an annual fee of £6,000 (31 December 2022: £6,000) for certain additional administration services. The Administrator is entitled to be reimbursed for out-of-pocket expenses incurred in the course of carrying out its duties as Administrator. During the year ended 31 December 2023, US$303,372 (year ended 31 December 2022: US$240,727) was earned by the Administrator as administration fees. The amounts outstanding are disclosed on the Audited Statement of Assets and Liabilities.

5. Share capital

Issued and authorised share capital

The Company has the power to issue an unlimited number of ordinary shares with no-par value and an unlimited number of shares with a par value. Shares may be divided into at least two classes denominated in Sterling and US Dollars. Further issues of shares may be made in accordance with the Articles of Incorporation (the “Articles”). Shares may be issued in differing currency classes of ordinary redeemable shares including C shares. The following tables show the movement in ordinary shares.

For the year ended 31 December 2023

Sterling shares US Dollar shares

Number of ordinary shares
In issue at 1 January 2023		30,156,454	2,858,135
Share conversions		(717,994)	884,077
Net issue of new shares from Share Sub-Division		271,711,966	25,367,860
Issue of new shares		72,378,000	746,400
Purchase of shares into Treasury		(1,504,277)	-
In issue at 31 December 2023		372,024,149	29,856,472
Number of treasury shares
In issue at 1 January 2023		-	-
On market purchases*		1,504,277	-
In issue at 31 December 2023		1,504,277	-
Percentage of class		0.40%	-
*On market purchases for the year ended 31 December 2023
	Number of shares	Cost	Cost
Treasury shares	purchased	(US$)	(in currency)
US Dollar shares	-	-	-
Sterling shares	1,504,277	6,939,943	£5,457,432
For the year ended 31 December 2022
		Sterling shares	US Dollar shares
Number of ordinary shares
In issue at 1 January 2022		25,864,663	2,689,547
Share conversions		90,641	(110,772)
Issue of new shares		4,201,150	279,360
In issue at 31 December 2022		30,156,454	2,858,135
Number of treasury shares
In issue at 1 January 2022 and at 31 December 2022		-	-
Percentage of class		-	-

Share classes

In respect of each class of shares, a separate class account has been established in the books of the Company. An amount equal to the aggregate proceeds of issue of each share class has been credited to the relevant class account. Any increase or decrease in the NAV of the Master Fund US Dollar shares and Master Fund Sterling shares as calculated by the Master Fund is allocated to the relevant class account in the Company. Each class account is allocated those costs, prepaid expenses, losses, dividends, profits, gains and income which the Directors determine in their sole discretion relate to a particular class.

Voting rights of shares

Ordinary shares carry the right to vote at general meetings of the Company and to receive any dividends attributable to the ordinary shares as a class declared by the Company and, in a winding-up will be entitled to receive, by way of capital, any surplus assets of the Company attributable to the ordinary shares as a class in proportion to their holdings remaining after settlement of any outstanding liabilities of the Company.

As prescribed in the Company’s Articles, the different classes of ordinary shares have different values attributable to their votes. The attributed values have been calculated on the basis of the Weighted Voting Calculation (as described in the Articles) which takes into account the prevailing exchange rates on the date of initial issue of ordinary shares. On a vote, a single US Dollar ordinary share has 0.7606 votes and a single Sterling ordinary share has 1.4710 votes.

Repurchase of ordinary shares

Under the Company’s Articles, Shareholders of a class of shares have the ability to call for repurchase of that class of shares in certain circumstances. At the Annual General Meeting held on 13 September 2023, Shareholders approved a Special Resolution that authorised the maximum number of shares that may be purchased on-market by the Company until the next Annual General Meeting, being 56,024,199 Sterling shares and 4,435,587 US Dollar shares. See note 8 for further details.

Further issue of shares

On 23 January 2023, the Board announced the commencement of its Initial Issue, comprising a placing, an intermediaries offer and an offer for subscription of new ordinary shares of no par value in the capital of the Company, together with the Issuance Programme for subsequent issues, which remained open until 23 January 2024, which could be denominated as Sterling shares or US Dollar shares, at a price per share of the relevant class equal to the latest estimated net asset value per share of the relevant class as at the closing date of the Initial Issue, of the latest estimated NAV per share, plus a premium of two per cent.

At an EGM held on 6 February 2023, resolutions were passed to approve the grant of authority to issue new shares and dis-apply pre-emption rights in respect of shares issued pursuant to the Initial Issue and the Issuance Programme and to sub-divide the Company’s shares, so that each existing share was replaced by ten shares of the same currency class, in order to assist in liquidity of the shares (the “Share Sub-Division”), together with the terms of the Company's investment in the Master Fund, in order to reflect the increased investment of the Company in the Master Fund, as a result of the Initial Issue and the Issuance Programme. These resolutions superseded the September 2022 AGM authorities to issue shares and dis-apply pre-emption rights in respect of the shares issued.

On 7 February 2023, dealings commenced in the shares arising from the Share Sub-Division. The price per share for the Initial Issue was announced, being 431.5 pence for the Sterling class shares and US$4.47 for US Dollar class shares.

On 13 February 2023, the completion of the Initial Issue was announced. A total of 72,378,000 Sterling shares and 746,400 US Dollar shares were issued in the Initial Issue at a price per share equal, respectively, to 431.5 pence per Sterling share  and US$4.47 per US Dollar share, raising gross proceeds of approximately £315 million (based on a US Dollar/Sterling FX spot rate of 1.2113 being the prevailing rate as at 3.00 p.m. on 10 February 2023). Costs attributed to the Initial Issue and Share Sub-Division were US$7,773,233.

As approved by the Shareholders at the Annual General Meeting held on 13 September 2023, the Directors have the power to issue further shares totalling 124,568,816 Sterling shares and 9,862,449 US Dollar shares, respectively. This power is due  to expire fifteen months after the passing of the resolution or on the conclusion of the next Annual General Meeting of the Company, whichever is earlier, unless such power was varied, revoked or renewed prior to that Meeting by a resolution of the Company in general meeting.

Distributions

The Master Fund has not previously paid dividends to its investors. This does not prevent the Directors of the Company from declaring a dividend at any time in the future if the Directors consider payment of a dividend to be appropriate in the circumstances. If the Directors declare a dividend, such dividend will be paid on a per class basis.

As announced on 15 January 2014, the Company intends to be operated in such a manner to ensure that its shares are not categorised as non-mainstream pooled investments. This may mean that the Company may pay dividends in respect of any income that it receives or is deemed to receive for UK tax purposes so that it would qualify as an investment trust if it were UK tax-resident.

Further, the Company will first apply any such income in payment of its Management Fee and performance fees.

Treasury shares are not entitled to distributions. During the year ended 31 December 2023, the Company purchased 1,504,277 Sterling Class shares to be held in Treasury. No shares were held in Treasury throughout the year ended 31 December 2022.

Share conversion scheme

The Company has implemented a share conversion scheme. The scheme provides Shareholders with the ability to

convert some or all of their ordinary shares in the Company of one class into ordinary shares of the other class. Shareholders are able to convert ordinary shares on the last business day of every month. Each conversion will be based on the NAV (note 7) of the shares of the class to be converted.

6. Taxation

Overview

The Company is exempt from taxation in Guernsey under the provisions of the Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989.

Uncertain tax positions

The Company recognises the tax benefits of uncertain tax positions only where the position is more-likely-than- not (i.e. greater than 50%), to be sustained assuming examination by a tax authority based on the technical merits of the position. In evaluating whether a tax position has met the recognition threshold, the Company must presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognise in the Company’s Audited Financial Statements. Income tax and related interest and penalties would be recognised by the Company as tax expenses in the Audited Statement of Operations if the tax positions were deemed not to meet the more- likely-than-not threshold.

The Company analyses all open tax years for all major taxing jurisdictions. Open tax years are those that are open for examination by taxing authorities, as defined by the statute of limitations in each jurisdiction. The Company identifies its major tax jurisdictions as: Guernsey; the Cayman Islands; and foreign jurisdictions where the Company makes significant investments. The Company has no examinations by tax authorities in progress.

The Directors have analysed the Company’s tax positions and have concluded that no liability for unrecognised tax benefits should be recorded related to uncertain tax positions. Further, the Directors are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognised tax benefits will significantly change in the remainder of the year.

7. Publication and calculation of the Company’s Net Asset Value (“NAV”)

The NAV of the Company is equal to the value of its total assets less its total liabilities. The NAV per share of each class will be calculated by dividing the NAV of the relevant class account by the number of shares of the relevant class in issue on that day.

The Company publishes the NAV per share for each class of shares as calculated by the Administrator based in part on information provided by the Master Fund, monthly in arrears, as at each month-end.

The Company also publishes an estimate of the NAV per share for each class of shares as calculated by the Administrator based in part on information provided by the Master Fund, weekly in arrears.

 

8. Discount management programme

The Company has previously implemented a number of methods in order to seek to manage any discount to NAV at which the Company’s shares trade.

Market purchases

Until October 2016, the Company regularly utilised its ability to make market purchases of its shares as part of the discount management programme, funded by the Company redeeming underlying shares in the Master Fund. As a condition of the April 2017 Tender Offer, this was suspended until 1 April 2019 and for much of the period since that date, the Company’s shares have traded at a premium or minimal discount to NAV. Subject to the authority granted by Shareholders at the 2023 AGM (see note 5), from December 2023, market purchases by the Company of the Sterling Class shares resumed, due to the class trading at a discount.

Under the terms of the Management Agreement, the Company may, on one month’s notice, redeem up to 5 per cent of its shares of each class in the Master Fund, in order to fund buybacks.

Please see note 5 for details of shares purchased and held in Treasury.

On 23 January 2023, the Board announced the commencement of its Initial Issue of new ordinary shares of no par value in the capital of the Company, together with the Issuance Programme for subsequent issues, which remained open until 23 January 2024. See note 5 for further details.

Annual offer of partial return of capital

Under the Company’s Articles, once in every calendar year, the Directors have discretion to determine that the Company make an offer of a partial return of capital in respect of such number of shares of the Company in issue as they determine, provided that the maximum amount distributed does not exceed 100% of the increase in NAV of the Company in the prior calendar year.

The Directors have discretion to determine the particular class or classes of shares in respect of which a partial return of capital would be made, the timetable for that partial return of capital and the price at which the shares of each relevant class are to be returned.

The Company is entitled to redeem upon three months’ notice, no more than once per year, a portion of its interest in the Master Fund representing up to 10 per cent of each class of the Company’s holding of Master Fund shares as at the date of the relevant redemption request in connection with any such offer of a partial capital return of capital which is approved by the Directors.

The decision to make a partial return of capital in any particular year and the amount of the return depend, among other things, on prevailing market conditions, the ability of the Company to liquidate its investments to fund the capital return, the success of prior capital returns and applicable legal, regulatory and tax considerations.

Class closure resolutions

If any class of shares trades at an average discount at or in excess of 8% of the monthly NAV in any year from 1 January to 31 December, the Company will hold a class closure vote of the relevant class.

The average discounts to NAV for the Sterling shares and US Dollar Shares for the year ended 31 December 2023 were 3.27% and 2.46% respectively and consequently, no closure vote will be held in 2024.

The arrangements are described more fully in the Company’s principal documents which were approved at the EGM on 24 February 2017.

9. Financial highlights

The following tables include selected data for a single ordinary share of each of the ordinary share classes in issue at 31 December 2023 and other performance information derived from the Audited Financial Statements.

The per share amounts and ratios which are shown reflect the income and expenses of the Company for each class of ordinary share.

	31.12.23 Sterling shares £	31.12.23 US Dollar shares US$
Per share operating performance
Net asset value at beginning of the year1	4.18	4.33
Income from investment operations
Net investment loss 2	(0.04)	(0.01)
Net realised and unrealised (loss)/gain on investment	(0.08)	0.01
Other capital items 3	0.05	(0.06)
Total loss	(0.07)	(0.06)
Net asset value, end of the year	4.11	4.27
Total loss before performance fees	(1.81%)	(1.33%)
Performance fees	-	-
Total loss after performance fees	(1.81% )	(1.33% )

Total loss reflects the net loss for an investment made at the beginning of the year and is calculated as the change in the NAV per ordinary share during the year from 1 January 2023 to 31 December 2023. An individual Shareholder’s loss may vary from these losses based on the timing of their purchase or sale of shares.

	31.12.23 Sterling shares £'000	31.12.23 US Dollar shares US$'000
Supplemental data
Net asset value, end of the year	1,527,458	127,482
Average net asset value for the year	1,485,598	122,970
	31.12.23 Sterling shares	31.12.23 US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses 4	1.59%	1.57%
Master Fund expenses 5	1.41%	0.83%
Master Fund interest expenses 6	3.28%	3.32%
Performance fees	-	-
	6.28%	5.73%
Net investment loss before performance fees 2	(0.91% )	(0.22% )
Net investment loss after performance fees 2	(0.91% )	(0.22% )

	31.12.22 Sterling shares £	31.12.22 US Dollar shares US$
Per share operating performance
Net asset value at beginning of the year1	34.30	35.71
Income from investment operations
Net investment loss 2	(2.44)	(2.50)
Net realised and unrealised gain on investment	8.87	9.22
Other capital items 3	1.08	0.85
Total gain	7.51	7.57
Net asset value, end of the year1	41.81	43.28
Total gain before performance fees	26.78%	25.93%
Performance fees	(4.87%)	(4.76%)
Total gain after performance fees	21.91%	21.17%

Total gain reflects the net return for an investment made at the beginning of the year and is calculated as the change in the NAV per ordinary share during the year from 1 January 2022 to 31 December 2022. An individual Shareholder’s return may vary from these returns based on the timing of their purchase or sale of shares.

	31.12.22 Sterling shares £'000	31.12.22 US Dollar shares US$'000
Supplemental data
Net asset value, end of the year	1,260,923	123,686
Average net asset value for the year	1,132,773	110,421
	31.12.22 Sterling shares	31.12.22 US Dollar shares
Ratio to average net assets
Operating expenses
Company expenses 4	1.68%	1.74%
Master Fund expenses 5	0.41%	0.41%
Master Fund interest expenses 6	1.22%	1.18%
Performance fees	4.23%	4.20%
	7.54%	7.53%
Net investment loss before performance fees 2	(1.95% )	(1.98% )
Net investment loss after performance fees 2	(6.18% )	(6.18% )

Notes

1 For illustrative purposes, the Net Asset Value at the beginning of 2023 is adjusted by a factor of 10 to reflect the 10 for

1 share sub-division, which was approved at the EGM held on 6 February 2023, with dealings commencing on 7 February 2023. The rest of Net Asset Values for 2022 are not adjusted by a factor of 10 reflect in order to reflect the factual numbers audited in previous financial statements.

2 The net investment loss figures disclosed above do not include net realised and unrealised gains/losses on investments allocated from the Master Fund.

3 Included in other capital items are the discounts and premiums on conversions between share classes and on the sale of treasury shares as well as any partial capital return effected in the relevant year as compared to the NAV per share at the beginning of the year.

4 Company expenses are as disclosed in the Audited Statement of Operations excluding the performance fee and foreign exchange gains/losses.

5 Master Fund expenses are the operating expenses of the Master Fund excluding the interest and dividend expenses of the Master Fund.

6 Master Fund interest expenses include interest and dividend expenses on investments sold short.

10. Related-party transactions

Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the party in making financial or operational decisions.

The management fees, performance fees and administration fees are disclosed in note 4. Details of the amended Management Agreement can be found in note 2.

The annual Directors’ fees from 1 July 2022 have been:
Role	Fee per annum £
Board Chair	90,000
Audit Committee Chair	65,000
Management Engagement Committee Chair	55,000
Remuneration and Nomination Committee Chair	55,000
Senior Independent Director	55,000
All other Directors	50,000
The annual aggregate limit of fees payable to Directors is £800,000 per annum.

During the 10:1 share sub-division, which was approved at the EGM held on 6 February 2023, with dealings commencing on 7 February 2023 (as mentioned in notes 2 and 5), the following changes were made to the Directors’ shareholdings in the Company:

Richard Horlick, 20,000 Sterling shares cancelled, 200,000 Sterling shares issued;

Julia Chapman, 626 Sterling shares cancelled, 6,260 Sterling shares issued;

Bronwyn Curtis, 1,000 Sterling shares cancelled, 10,000 Sterling shares issued;

John Le Poidevin, 5,482 Sterling shares cancelled, 54,820 Sterling shares issued; and

Claire Whittet, 1,500 Sterling shares cancelled, 15,000 Sterling shares issued.

On 13 February 2023, the Board participated in the Initial Issue for the following amounts: Richard Horlick, US$89,400 of US Dollar shares (20,000 shares);

Caroline Chan, £50,000 of Sterling shares (11,587 shares);

Bronwyn Curtis, £100,000 of Sterling shares (23,174 shares);

John Le Poidevin, £90,000 of Sterling shares (20,800 shares); and

Claire Whittet, £35,000 of Sterling shares (8,111 shares).

At year end 31 December 2023 the Directors had the following interests in the Company, held either directly or beneficially:

	Sterling Shares
			31.12.23	31.12.22
Richard Horlick			200,000	20,000
Caroline Chan			11,587	Nil
Julia Chapman			6,260	626
Bronwyn Curtis			33,174	1,000
John Le Poidevin			75,620	5,482
Claire Whittet1			N/A	1,500
	US Dollar Shares
			31.12.23	31.12.22
Richard Horlick			20,000	Nil
Caroline Chan			Nil	Nil
Julia Chapman			Nil	Nil
Bronwyn Curtis			Nil	Nil
John Le Poidevin			Nil	Nil
Claire Whittet1			N/A	Nil

11. Subsequent events

On 3 January 2024, the Company completed the share conversion for the 30 November 2023 share conversion date, issuing 1,481 Sterling shares and cancelling 1,800 US Dollar shares.

On 8 January 2024 John Le Poidevin purchased 41,230 Sterling shares at a price of £3.63 per ordinary share.

On 1 February 2024, the Company completed the share conversion for the 31 December 2023 share conversion date, issuing 74,953 Sterling shares and cancelling 91,760 US Dollar shares.

On 4 March 2024, the Company completed the share conversion for the 31 January 2024 share conversion date, issuing 2,679 Sterling shares and cancelling 3,274 US Dollar shares.

The Company made the following purchases of ordinary shares to be held in Treasury:

	Sterling Class shares
Month	Number of shares bought	Highest Price point	Lowest Price point
		£	£
January 2024	4,322,827	3.68	3.54
February 2024	3,390,937	3.64	3.48
March 2024*	2,143,363	3.50	3.30
Total	9,857,127

*Until 21 March 2024.

There were no purchases of US Dollar Class ordinary shares after year end.

The Directors have evaluated subsequent events up to 27 March 2024, which is the date that the Audited Financial Statements were approved and available to be issued and have concluded there are no further items that require disclosure or adjustment to the Audited Financial Statements.

Historic Performance Summary

As at 31 December 2023

	31.12.23 US$'000	31.12.22 US$'000	31.12.21 US$'000	31.12.20 US$'000	31.12.19 US$'000
Net increase in net assets resulting from operations	66,494	112,078	12,010	181,533	59,462
Total assets	2,079,009	1,707,130	1,307,490	802,224	570,779
Total liabilities	(4,478)	(66,682)	(9,762)	(41,055)	(11,014)
Net assets	2,074,531	1,640,448	1,297,728	761,169	559,765
Number of shares in issue
Sterling shares	372,024,149	30,156,454*	25,864,663*	15,009,868*	14,310,040*
US Dollar shares	29,856,472	2,858,135*	2,689,547*	2,191,379*	2,442,057*
Net asset value per share
Sterling shares	£4.11	£41.81*	£34.30*	£33.38*	£26.06*
US Dollar shares	US$4.27	US$43.28*	US$35.71*	US$34.78*	US$26.99*

* The Number of Shares In Issue and Net Asset Value Per Share prior to 31 December 2023 are not adjusted by a factor of 10 to reflect the 10 for 1 share sub-division approved at the EGM held on 6 February 2023.

Affirmation of the Commodity Pool Operator

As at 31 December 2023

To the best of my knowledge and belief, the information detailed in this Annual Report and these Audited Financial Statements is accurate and complete.

Name: Jonathan Hughes

Title: Director and Authorised Signatory

Brevan Howard Capital Management Limited as general partner of Brevan Howard Capital Management LP, the manager and commodity pool operator of BH Macro Limited

27 March 2024

Glossary of Terms and Alternative Performance Measures

Alternative Performance Measures (“APMs”)

We assess our performance using a variety of measures that are not specifically defined under US GAAP and therefore termed APMs. The APMs that we use may not be directly comparable with those used by other companies.

Average Discount to NAV

The average Discount to NAV of the whole year is calculated for each share class by using the following formula:

     (A-B)  

B

Where:

• ‘A’ is the average closing market price of a share of the relevant share class as derived from the trading price on the London Stock Exchange, calculated as the sum of all the closing market prices per share of that class as at each London Stock Exchange trading day during a calendar year, divided by the number of such trading days in such period; and
• ‘B’ is the average NAV per share of the shares of the relevant share class taken over the 12 month-end NAV Calculation Dates in the year ended 31 December 2023 calculated as the sum of the final NAV of the share class as at each month-end NAV Calculation Date during the year ended 31 December 2023, divided by 12.

(Discount)/Premium

If the share price of an investment is lower than the NAV per share, the shares are said to be trading at a discount. The size of the discount is calculated by subtracting the share price from the NAV per share of the relevant share class and is usually expressed as a percentage of the NAV per share. If the share price is higher than the NAV per share, the shares are said to be trading at a premium. The Board monitors the level of discount or premium and consideration is given to ways in which share price performance may be enhanced, including the effectiveness of marketing and share buy-backs, where appropriate. The (discount)/premium is shown below.

Sterling Shares US Dollar Shares

	31.12.23	31.12.22	31.12.23	31.12.22
Share Price at Year End (A)	£3.67	£44.90*	US$3.77	US$45.20*
NAV per Share (B)	£4.11	£41.81*	US$4.27	US$43.28*
(Discount)/Premium to NAV (A-B)/B	(10.71%)	7.39%	(11.71%)	4.44%

* Share prices and NAV per share as of 31 December 2022 are not adjusted by a factor of 10 to reflect the 10 for 1 share sub-division approved at the EGM held on 6 February 2023.

(Loss)/Gain Per Share

(Loss)/gain per share is calculated using the net loss/gain on ordinary activities after tax, divided by the weighted average number of shares in issue (year ended 31 December 2023: 353,094,861 Sterling shares and 28,097,148 US Dollar shares, year ended 31 December 2022: 28,620,989 Sterling shares and 2,722,649 US Dollar shares). The 10 for 1 share sub-division approved at the EGM held on 6 February 2023 has been applied throughout the year for the 2023 weighted average share figures, but not for the 2022 weighted average share figures.

The Directors also regard (loss)/gain per share to be a key indicator of performance. The (loss)/gain per share is shown in the Strategic Report.

	Year ended 31.12.23 Per share	'000	Year ended 31.12.22 Per share	'000
Net total (loss)/gain for Sterling Shares	(9.21p)	(£32,535)	683.74p	£195,693
Net total (loss)/gain for US Dollar Shares	(5.48c)	(US$1,540)	708.91c	US$19,301

Ongoing Charges

The Ongoing Charges are calculated using the AIC Ongoing Charges methodology, which was last updated in April 2022 and is available on the AIC website (theaic.co.uk). The Ongoing Charges represent the Company’s Management Fee and all other operating expenses, excluding finance costs, performance fees, share issue or buyback costs and non- recurring legal and professional fees and are expressed as a percentage of the average of the daily net assets during the year. The Board continues to be conscious of expenses and works hard to maintain a sensible balance between good quality service and cost. The Ongoing Charges calculation is shown below:

	Sterling Shares		US Dollar Shares
	Year ended	Year ended	Year ended	Year ended
	31.12.23	31.12.22	31.12.23	31.12.22
Average NAV for the year (A)	£1,485,598,348	£1,132,773,154	US$122,970,362	US$110,421,043
Management Fee	£22,297,675	£17,787,437	US$1,846,781	US$1,792,074
Other Company expenses	£1,309,986	£1,248,572	US$84,979	US$127,701
Total Company Expenses	£23,607,661	£19,036,009	US$1,931,760	US$1,919,775
Expenses allocated from the Master Fund	£8,445,240	£2,325,281	US$703,225	US$238,666
Performance Fee	£471	£47,900,303	US$1,740	US$4,641,933
Total Expenses (B)	£32,053,372	£69,261,593	US$2,636,725	US$6,800,374
Ongoing Charges (B/A)	2.16%	6.11%	2.14%	6.16%

The NAV

The NAV is the net assets of the Company attributable to Shareholders, that is, total assets less total liabilities, expressed as an amount per individual share of the relevant class of shares.

(Loss)/gain per share

(Loss)/gain per share is calculated using the net loss/gain on ordinary activities after finance costs and taxation (year ended 31 December 2023: a loss of £32,535,028 and a loss of US$1,540,012; year ended 31 December 2022: a gain of £195,693,403 and a gain of US$19,301,255), divided by the weighted average number of shares in issue (year ended 31 December 2023: 353,094,861 Sterling shares and 28,097,148 US Dollar shares; year ended 31 December 2022: 28,620,989 Sterling shares and 2,722,649 US Dollar shares). The Directors also regard (loss)/gain per share to be a key indicator of performance. The (loss)/gain per share is shown in the Strategic Report.

The 10 for 1 share sub-division approved at the EGM held on 6 February 2023 has been applied throughout the year for the 2023 weighted average share figures, but not for the 2022 weighted average share figures.

Company Information

 

Directors

Richard Horlick (Chair)

Caroline Chan

Julia Chapman

Bronwyn Curtis

John Le Poidevin

Claire Whittet (retired from the Board on 13 September 2023)

(All Directors are non-executive and independent for the purpose of Listing Rule 15.2.12-A)

Registered Office

PO Box 255

Trafalgar Court

Les Banques

St Peter Port

Guernsey

Channel Islands GY1 3QL

Manager

Brevan Howard Capital Management LP

6th Floor

37 Esplanade

St Helier

Jersey

Channel Islands JE2 3QA

Administrator and Corporate Secretary

Northern Trust International Fund Administration Services (Guernsey) Limited

PO Box 255

Trafalgar Court

Les Banques

St Peter Port Guernsey

Channel Islands GY1 3QL

Independent Auditor

KPMG Channel Islands Limited

Glategny Court

Glategny Esplanade

St Peter Port

Guernsey

Channel Islands GY1 1WR

Registrar and CREST Service Provider

Computershare Investor Services (Guernsey) Limited

1st Floor

Tudor House

Le Bordage

St Peter Port

Guernsey GY1 1DB

Legal Advisor (Guernsey Law)

Carey Olsen Carey House

Les Banques

St Peter Port

Guernsey

Channel Islands GY1 4BZ

Legal Advisor (UK Law)

Hogan Lovells International LLP

Atlantic House

Holborn Viaduct

London EC1A 2FG

Corporate Broker

JPMorgan Cazenove

25 Bank Street

Canary Wharf

London E14 5JP

Tax Adviser

Deloitte LLP

PO Box 137

Regency Court

Glategny Esplanade

St Peter Port

Guernsey

Channel Islands GY1 3HW

For the latest information

www.bhmacro.com

---

---