Conversion of Securities

BH Macro Limited (the"Company")

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

               Completion of 31 December 2014 Share Conversion

                               27 January 2015

Following the publication on 22 January 2015 of the final month-end
net asset values for 31 December 2014, the following share conversion ratios
have been determined in accordance with the articles of incorporation of the
Company for the purposes of the 31 December 2014 share conversion date:

0.618527 Sterling shares for each US Dollar share
0.822589 Euro shares for each US Dollar share
1.616745 US Dollar shares for each Sterling share
1.329622 Euro shares for each Sterling share
1.215674 US Dollar shares for each Euro share
0.752094 Sterling shares for each Euro share

On the basis of aggregate applications received and using the
conversion ratios listed above, the following shares will be issued:

- 62,449 US Dollar shares of no par value;

and the following shares will be cancelled:

- 64 Euro shares of no par value
- 38,579 Sterling shares of no par value

all with effect from 27 January 2015.

Application has been made to the Financial Conduct Authority
("FCA") for the new shares to be admitted to the Official List of the UK
Listing Authority and admitted to trading on the London Stock Exchange's main
market for listed securities.

Admission is expected to occur on 2 February 2015. Shareholder
CREST accounts for converting shareholders are expected to be updated by
5.00pm on 2 February 2015.

Following issue and cancellation of the relevant shares, the total
number of shares in issue in each class will be as follows:

- 5,043,113 Euro Shares
- 447,496 Euro Treasury Shares
- 18,216,727 US Dollar Shares
- 1,975,725 US Dollar Treasury Shares
- 37,025,032 Sterling Shares
- 3,975,844 Sterling Treasury Shares

The number of votes each share in the Company is entitled to on a
poll at any general meeting of the Company was published by the Company on 9
March 2007 and will not change as a result of the conversions. These are:

Euro Share         1

US Dollar Share    0.7606

Sterling Share     1.4710

From 27 January 2015, the total number of voting rights in the
Company (rounded down to the whole number) is 73,362,578.

Enquiries:

Website: www.bhmacro.com

Northern Trust International Fund Administration Services (Guernsey) Limited
Andrew Maiden
Tel: [phone]