Transaction in Own Shares

BH Macro Limited (the "Company")

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

14 September 2015

On 14 September 2015 the Company purchased the following amount of shares:

9,811 ordinary shares of no par value in the value in the capital of the Company designated as US Dollar shares (â€œUS Dollar Sharesâ€) at a price of USD 19.7255 per US Dollar Share.
2,000 ordinary shares of no par value in the value in the capital of the Company designated as Euro shares (â€œEuro Sharesâ€) at a price of EUR 20.0000 per Euro Share.
8,806 ordinary shares of no par value in the value in the capital of the Company designated as Sterling shares (â€œSterling Sharesâ€) at a price of GBP 20.6714 per Sterling Share.

These shares will be held as treasury shares.

Following the above share transactions of the relevant Euro, US Dollar and Sterling Shares, the total number of shares in issue in each share class of the Company will be as follows:

Total number of treasury shares held by the Company following the above transaction	Number of shares in issue less shares held in treasury following the above transaction
496,157 Euro Shares	4,671,567 Euro Shares
1,980,762 US Dollar Shares	18,255,836 US Dollar Shares
3,919,394 Sterling Shares	35,977,320 Sterling 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 14 September 2015, the total number of voting rights in the Company (rounded down to the whole number) is 71,479,594.

Enquiries:

Company website: www.bhmacro.com

William Simmonds
JPMorgan Cazenove
Tel: 020 7588 2828

The Company Secretary
Northern Trust International Fund Administration Services (Guernsey) Limited
Tel: 01481 745368