Net Asset Value(s)

BH MACRO LIMITED (the “Company”)
(a closed-ended investment company incorporated in Guernsey with registration number 46235)

Announcement of Weekly Estimated Net Asset Values

As at the close of business on 17^th June 2016 the estimated Net Asset Values of each class of the Company’s shares are as follows:  

Fund Name	Sedol	NAV	MTD Performance	YTD Performance	NAV Date
BH Macro Ltd	B1NPGV1	$20.71	3.36%	1.86%	17th June 2016
BH Macro Ltd	B1NP514	2153p	3.17%	1.49%	17th June 2016
BH Macro Ltd	B1NPGZ5	€20.80	2.93%	1.19%	17th June 2016

The Net Asset Value figures in this announcement are an estimate, and are based on unaudited estimated valuations. The final month-end Net Asset Value may be materially different from these estimated weekly values, and should only be taken as indicative values which have been 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.  Except as required by applicable law, the Company expressly disclaims any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise.

The estimated net asset values contained in this announcement have been prepared on the basis that shares that have been successfully tendered pursuant to the tender offer for certain of the Company’s shares launched in April 2016 have been redeemed at prices calculated by reference to the published estimated net assets values for each class of the Company’s shares for 31 May 2016 and that the Company has paid the costs associated with the tender offer.  Shareholders should note, however, that those shares will only be redeemed by the Company and the final costs of the tender offer paid by the Company following publication of the final May 2016 month end net asset values, which is expected to occur later this month.

This document is for information purposes only and is not an offer to invest. All investments are subject to risk.  Past performance is no guarantee of future returns.  Prospective investors are advised to seek expert legal, financial, tax and other professional advice before making any investment decisions.

The MTD  performance  figures are  calculated  by reference  to  the  previous estimated month end  NAV or, if  published, the previous  month end  confirmed NAV. The YTD performance figures are calculated by reference to the NAV at the end of the last calendar year.  MTD and YTD performance figures are based on the NAV per share calculated to four decimal places.

Enquiries:

Northern Trust International Fund Administration Services (Guernsey) Limited

Harry Rouillard           44 (0)1481 745315

Date: 21^st June 2016