Interim Management Statement

BH MACRO LIMITED
                       INTERIM MANAGEMENT STATEMENT
                       FOR THE PERIOD FROM 1 JULY 2014 TO 14 NOVEMBER 2014
 
                       YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT
 
BH MACRO LIMITED
INTERIM MANAGEMENT STATEMENT
                                                    T [phone] www.brevanhoward.com
 
Overview and Objective BH Macro Limited ("BHM" or the "Company") is a closed-ended
                       investment company, registered and incorporated in Guernsey on 17
                       January 2007 (Registration Number: 46235).
 
                       BHM invests all of its assets (net of short-term working capital) in
                       the ordinary shares of Brevan Howard Master Fund Limited (the
                       "Fund").
 
                       BHM was admitted to the Official List of the UK Listing Authority
                       and to trading on the Main Market of the London Stock Exchange on 14
                       March 2007.
 
                       This Interim Management Statement covers the period from 1 July 2014
                       to the date of its publication.

Company Size
 
                       The total net assets of BHM are summarised as follows:
 
                       Share     30      30 June               30     30 June
                       Class  September   2014    Change in September   2014
                                2014                 Net      2014
                                        Currency:  Assets                In
                              Currency: USD (mm)               In     Currency
                              USD (mm)             30 June  Currency  of Class
                                                   2014 to  of Class    (mm)
                                                     30       (mm)
                                                  September
                                                    2014
                                                  Currency:
                                                  USD (mm)

                        USD     410.1     418.1     -8.0      410.1    418.1
                       Shares
                        EUR     141.3     157.4     -16.2     111.8    115.0
                       Shares
                        GBP    1,371.0   1,449.5    -78.5     845.7    847.7
                       Shares
                       Total   1,922.4   2,025.1   -102.7       -        -
 
                       Source: Northern Trust International Fund Administration Services
                       (Guernsey) Limited ("Northern Trust")
 
                       Figures are rounded to one decimal place.

Share Capital
 
                       The number of shares in issue in each share class of BHM is
                       summarised as follows:
 
                       Share Class  13 November      30     30 June 2014
                                       2014*     September
                                                    2014

                       USD Shares   19,103,093   19,730,206  21,089,811
                       EUR Shares    5,291,823   5,348,758   5,766,145
                       GBP Shares   38,449,696   39,207,288  41,341,649
 
                       Source: Northern Trust
 
                       * 13 November 2014 being the latest practicable date prior the date
                       of this Interim Management Statement.

Performance Review
 
                       The closing share price* of each share class of BHM is summarised as
                       follows:
 
                       Share Class  13 November     30     30 June 2014
                                      2014**     September
                                                   2014

                       USD Shares      19.39       19.66      18.93
                          (US$)
                       EUR Shares      19.63       19.83      19.225
                           (€)
                       GBP Shares      20.22       20.42      19.61
                           (£)
 
                       Source: Bloomberg
 
                       The NAV per share* of each share class of BHM is summarised as
                       follows:
 
                       Share Class  7 November      30     30 June 2014
                                      2014***    September
                                                   2014

                       USD Shares      20.49       20.79      19.82
                          (US$)
                       EUR Shares      20.59       20.91      19.95
                           (€)
                       GBP Shares      21.26       21.57      20.51
                           (£)
 
                       * NAV performance is provided for information purposes only. Shares
                       in BHM do not necessarily trade at a price equal to the prevailing
                       NAV per Share.
 
                       ** 13 November 2014 being the latest practicable date prior to the
                       date of this Interim Management Statement.
 
                       *** Estimated as at 7 November 2014, such date being the most recent
                       date for which an estimated NAV for the Company has been published.
                       The relevant final month-end NAVs may be materially different from
                       these estimated weekly values, which should only be taken as
                       indicative values provided for information only and no reliance
                       should be placed on them. Estimated results, performance or
                       achievements may differ materially from any actual results,
                       performance or achievements.
 
                       Source: BHM's Net Asset Value per Share data is provided by BHM's
                       Administrator, Northern Trust, and is based on the Fund's Net Asset
                       Value data provided by the Administrator of the Fund, International
                       Fund Services (Ireland) Limited. BHM's 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 BHM. In addition, the Fund is subject to an
                       operational services fee of 50bps per annum.
 
                       PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
 
                       Further details of monthly performance information and the outlook
                       of the Fund and BHM can be obtained from BHM's Shareholder Reports,
                       copies of which can be found on BHM's website: www.bhmacro.com
 
Investment Profile
 
                       The change in the investment profile (by asset class) of the Fund is
                       summarised as follows:
 
                       Asset Class 30 September  30 June 2014
                                    % of total
                                        VaR       % of total
                                                      VaR

                          Fixed         18%           42%
                         Income
                          Vega          15%           20%
                         Equity         18%           14%
                         Credit         2%            5%
                           FX           45%           15%
                       Commodities      1%            5%
 
                       Source: Brevan Howard
 
                       Calculated using historical simulation based on a 1 day, 95%
                       confidence interval. Figures are rounded to the nearest whole
                       number. Therefore in some instances the total may not equal 100%.
Material Events and
Transactions
                       Discount Management
 
                       In the period between 1 July 2014 and 13 November 2014 being the
                       latest practicable date prior to the date of this Interim Management
                       Statement, BHM purchased the following numbers of shares on the
                       market in accordance with its ongoing discount management policy:
 
                        Share Class  Shares purchased on
                                     market between 1
                                     July 2014 and 13
                                     November 2014

                        USD Shares   1,945,096
                        EUR Shares   447,839
                        GBP Shares   2,935,741
 
                       Source: Northern Trust
 
                       In accordance with the terms of BHM's discount management policy
                       these purchases have only been made on the market at prices below
                       the estimated prevailing NAV per Share in circumstances that have
                       resulted in an increase in the NAV per Share of the remaining Shares
                       and after purchase the purchased Shares have either been held in
                       treasury by BHM or cancelled.
 
                       A circular including a notice of an extraordinary general meeting of
                       the Company to be held at 1.00 p.m. on 3 December 2014 regarding
                       renewal of the Company's own share purchase authority was sent to
                       shareholders on 10 November 2014.
 
                       Board Statement
 
                       The board of directors of the Company is not aware of any other
                       significant events or transactions that have occurred between 1 July
                       2014 and the publication date of this Interim Management Statement
                       which would have a material impact on the financial position of the
                       Company.

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

Important Legal Information and Disclaimer

BH Macro Limited ("BHM") is a feeder fund investing in Brevan
Howard Master Fund Limited (the "Fund"). Brevan Howard Capital Management LP
("BHCM") has supplied certain information herein regarding BHM's and the
Fund's performance and outlook.

The material relating to BHM and the Fund included in this report
is provided for information purposes only, does not constitute an invitation
or offer to subscribe for or purchase shares in BHM or the Fund and is not
intended to constitute "marketing" of either BHM or the Fund as such term is
understood for the purposes of the Alternative Investment Fund Managers
Directive as it has been implemented in states of the European Economic Area.
This material is not intended to provide a sufficient basis on which to make
an investment decision.

Any estimates may be subject to error and significant fluctuation,
especially during periods of high market volatility or disruption. Any
estimates should be taken as indicative values only and no reliance should be
placed on them. Estimated results, performance or achievements may materially
differ from any actual results, performance or achievements. Except as
required by applicable law, BHM, the Fund and BHCM expressly disclaim any
obligations to update or revise such estimates to reflect any change in
expectations, new information, subsequent events or otherwise.

Tax treatment depends on the individual circumstances of each
investor in BHM and may be subject to change in the future. Returns may
increase or decrease as a result of currency fluctuations.

You should note that, if you invest in BHM, 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. All investments are subject to risk. You are
advised to seek expert legal, financial, tax and other professional advice
before making any investment decisions.

THE VALUE OF INVESTMENTS CAN GO DOWN AS WELL AS UP. YOU MAY NOT GET
BACK THE AMOUNT ORIGINALLY INVESTED AND YOU MAY LOSE ALL OF YOUR INVESTMENT.
PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS