Interim Management Statement

RNS Number : 5601L

BH Macro Limited

07 May 2010

 



	BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT 31 March 2010   ADV02099 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE Your attention is drawn to the disclaimer at the beginning of this presentation © Brevan Howard Asset Management LLP (2010). All Rights Reserved.
	Important Legal Information and Disclaimer BH Macro Limited (the "Company"), is a feeder fund to Brevan Howard Master Fund Limited ("BHMF"). Brevan Howard Asset Management LLP ("BHAM") has supplied certain of the following information regarding BH Macro Limited's performance. BHAM is authorised and regulated by the Financial Services Authority. The material relating to the Company included in this report is provided for information purposes only and does not constitute an invitation or offer to subscribe for or purchase shares in the Company. This material is not intended to provide a sufficient basis on which to make an investment decision. Information and opinions presented in this material relating to the Company, and BHMF, have been obtained or derived from sources believed by BHAM to be reliable, but BHAM makes no representation as to their accuracy or completeness. Estimated results, performance or achievements may materially differ from any actual results, performance or achievements. Except as required by applicable law, the Company and BHAM expressly disclaim any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise. All investments are subject to risk. Prospective investors are advised to seek expert legal, financial, tax and other professional advice before making any investment decisions. You should note that, if you invest in the Company, your capital will be at risk and you may therefore lose some or all of any amount that you choose to invest. This material is not intended to constitute, and should not be construed as, investment advice. BHAM neither provides investment advice to, nor receives and transmits orders from, investors in the Company nor does it carry on any other activities with or for such investors that constitute "MiFID or equivalent third country business" for the purposes of the FSA Rules. PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS

BH MACRO LIMITED Interim Management Statement: 31 March 2010
T [phone]   www.brevanhoward.com
Overview and Objective	BH Macro Limited (the "Company") is a closed-ended investment company, registered and incorporated in Guernsey on 17 January 2007 (registration number 46235). The Company invests substantially all of its assets (net of short-term working capital) in the ordinary shares of Brevan Howard Master Fund Limited. The Company was admitted to the Main Market of the London Stock Exchange on 14 March 2007. This Interim Management Statement covers the period from 1 January 2010 to 31 March 2010.
Company Size	The total net assets of the Company are summarised as follows (USD mm): Share Class 31 March 2010 Currency: USD mm 31 December 2009 Currency: USD mm 31 March 2010 Currency of Class (mm) 31 December 2009 Currency of Class (mm) USD Shares 665 696 665 696 EUR Shares 371 423 275 296 GBP Shares 734 741 484 463 Total 1770 1860 n/a n/a
Share Capital	The number of shares in issue in each share class of the Company is summarised as follows: Share Class 31 March 2010 31 December 2009 USD Shares 39,621,842 40,728,777 EUR Shares 16,294,495 17,280,342 GBP Shares 28,051,974 26,356,443
Performance Review	The share price* of each share class of the Company is summarised as follows: Share Class 31 March 2010 31 December 2009 USD Shares (US$) 16.88 16.53 EUR Shares (€) 16.90 16.60 GBP Shares (p) 1761 1735 Source: Bloomberg The NAV per share* of each share class of the Company is summarised as follows: Share Class 31 March 2010 31 December 2009 USD Shares (US$) US$ 16.79 US$ 17.08 EUR Shares (€) €16.82 €17.13 GBP Shares (p) 1725p 1755p * 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. Source: Underlying BHMF Net Asset Value data is provided by the Administrator of BHMF, International Fund Services (Ireland) Limited. The Company's Net Asset and Net Asset Value per Share data is provided by the Company's Administrator, Northern Trust International Fund Administration Services (Guernsey) Limited. The Company's Net Asset and Net Asset Value data in this report is unaudited and net of all investment management fees (2% annual management fee and 20% performance fee) and all other fees and expenses payable by the Company.  PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.  Further details of monthly performance information and the outlook of BHMF and the Company can be obtained from the Company's monthly newsletters, copies of which are to be found on the Company's website: www.bhmacro.com
Investment Profile	The change to the investment profile (by asset class) of BHMF is summarised as follows: Asset Class 31 March 2010 % of total VaR 31 December  2009 % of total VaR Interest Rates Interest Rates 51% 39% Vega Vega 14% 13% Equity Equity 8% 19% Credit Credit 4% 4% FX FX 17% 18% Commodities Commodities 6% 7%
Material Events and Transactions	Class closure votes and amendments to discount management arrangements On 19 February 2010, the Company held an Extraordinary General Meeting and meetings of its share classes to propose class closure resolutions (for the USD and EUR classes only) in accordance with the Company's articles of association and to propose amendments to the Company's discount management arrangements (for all share classes). The following results were obtained in respect of the class closure votes for the USD and EUR share classes: Share Class % of shares voted Votes against class closure USD Shares 58% 98.62% EUR Shares 73% 99.70% These results mean that the class closure resolutions were not passed and each of the Company's classes will continue. The resolutions to amend the Company's discount management arrangements were duly passed; in excess of 95% of those shareholders who voted were in favour of the proposals. Pursuant to the amendments to the articles approved at the meeting, the discount management period now runs on a calendar year basis, commencing 1 January 2010 rather than a twelve month rolling basis. A further class closure vote will be triggered in respect of a share class, if in any calendar year the average closing market price on the London Stock Exchange of that share class is in excess of a 10% discount to average NAV per share of that share class over the 12 month end NAV calculation dates in that calendar year. Resumption of Monthly Share conversions Due to the Class Closure votes, the Company's monthly conversion facility was suspended in January 2010, but after completion of the votes resumed on 26 February 2010.
	Discount Management In the period between 1 January 2010 and 31 March 2010 the Company did not purchase any shares on the market. In the period between 1 January 2010 and 31 March 2010 the Company sold into the market at a premium to NAV to the following shares: Share Class Shares sold into market between 1 January 2010 and 31 March 2010 USD Shares - EUR Shares - GBP Shares 150,000
Enquiries	Northern Trust International Fund Administration Services (Guernsey) Limited Harry Rouillard [phone]

 

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