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 January 2015 Share Conversion                 

                                 2 March 2015                                  

Following the publication on 24 February 2015 of the final month-end net asset
values for 31 January 2015, the following share conversion ratios have been
determined in accordance with the articles of incorporation of the Company for
the purposes of the 31 January 2015 share conversion date:

0.640891 Sterling shares for each US Dollar share                             
                                           
0.880091 Euro shares for each US Dollar share                             
                                           
1.560327 US Dollar shares for each Sterling share                             
                                           
1.373110 Euro shares for each Sterling share                             
                                           
1.136246 US Dollar shares for each Euro share                             
                                           
0.728274 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:

  * 17,207 US Dollar shares of no par value; and
   
  * 35,379 Euro shares of no par value
   
and the following shares will be cancelled:

  * 36,792 Sterling shares of no par value
   
all with effect from 2 March 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 6 March 2015. Shareholder CREST accounts for
converting shareholders are expected to be updated by 5.00pm on 6 March 2015.

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

- 5,077,322 Euro Shares

- 448,666 Euro Treasury Shares

- 18,233,934 US Dollar Shares

- 1,975,725 US Dollar Treasury Shares

- 36,985,736 Sterling Shares

- 3,978,348 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 2 March 2015, the total number of voting rights in the Company (rounded
down to the whole number) is 73,352,070.

Enquiries:

Website: www.bhmacro.com

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