Half Yearly Report

RNS Number : 9825M

BH Macro Limited

25 August 2011

 



BH Macro Limited

Interim Unaudited Financial Statements 2011

INTERIM UNAUDITED FINANCIAL STATEMENTS

30 June 2011

Chairman's Statement

Financial markets have been subjected during 2011 to a sequenceof shocks from different directions. Political unrest spreading acrossNorth Africa and the Middle East, natural disasters in Japan andelsewhere, intensified strains within the eurozone and politicaldeadlock over fiscal policy and the debt ceiling in the US haveimpeded the recuperation of the global economy and engenderedheightened levels of uncertainty. The result has been slower recoveryin growth than might have been hoped in the major economies andcontinued volatility in financial markets.

Against this background, BH Macro Limited (the "Company") achieved a gain in net asset value (NAV) of 2.5% (on the sterlingshares) in the first half of 2011. This performance was in line with theCompany's aim of preserving shareholders' capital and delivering apositive return uncorrelated with other markets and with low volatility.For the period since its launch in 2007 until 30 June 2011, the Company has achieved a cumulative gain in NAV of 76.5% and an annualised rate of return of 14.2%.

The result for the first half of 2011 reflects the more tactical approachbeing taken by the Brevan Howard Master Fund Limited (the "MasterFund"), in which, in line with its stated purpose, the Companyinvests all its assets (net of minimal working capital). The MasterFund's stated objective has been, and remains, to seek to generateconsistent long-term capital appreciation through active leveragedtrading and investment on a global basis. In the uncertain economicenvironment currently prevailing, the Master Fund has focused onthe themes of higher volatility and greater differentiation betweeneconomies, aiming to trade more tactically while maintaining longpositions in volatility to capture the potential for more sustained trendmovements. This approach achieved steady moderate gains in NAV in most months during the first half of 2011, at a time when the mainmarkets have tended at best to move sideways with at times erraticadjustments in response to shifts in sentiment. More substantial gains in NAV have been achieved during the period of heightened market turbulence which emerged in the third quarter.

The Company remains a substantial fund, with NAV totalling$1.9 billion at the end of June 2011, making it the largestsingle-manager hedge fund listed on the London Stock Exchange. The Company's shares have traded through the year generally ata small discount to NAV, with the sterling shares showing a riseof nearly 7.5% over the half year. In these circumstances, it hasnot proved necessary to undertake market purchases, authorityfor which was renewed at the Company's AGM in June 2011;and the Board decided not to offer shareholders a partial returnof capital in 2011, though the option to make such an offer, at theBoard's discretion, remains available for future years. The Boardremains alert to the continuing need to be ready to undertakediscount management actions where necessary so that as far aspossible the share prices properly reflect the Company's underlyingperformance. Trading in the shares continues to provide a liquid secondary market for investors. The shares have maintained theirplace in the FTSE 250 and the Company has maintained its listingsin Dubai and Bermuda.

The Board has continued to maintain regular dialogue with theCompany's Manager, Brevan Howard Capital Management LP (the "Manager"), to review the Master Fund's trading strategies and riskexposures and to satisfy itself that the Manager's analytical, tradingand risk management capabilities were being maintained to a highstandard. From extended discussions with the Manager at eachof its quarterly Board meetings and from additional meetings withthe Manager at intervals during the period, the Board continuesto believe that the Master Fund's performance in all these areasremains of the highest standard.

The Company and its Manager have continued to focus onstrengthening its communications and investor relations efforts.Regular communication is maintained with shareholders and presentations are made to keep analysts, financial journalists and the wider investment community informed of the Company'sprogress. Up-to-date performance information is provided throughNAV data published monthly on a definitive basis and weekly onan estimated basis, as well as through monthly risk reports and shareholder reports. All these reports and further information about the Company are available on its website (www.bhmacro.com).

The Directors take very seriously their responsibility for safeguarding the interests of shareholders and believe that the Company observes high standards of corporate governance. The Board, which is independent of the Brevan Howard group, holds quarterly scheduled meetings and meets ad hoc on other occasions as necessary. The work of the Board is assisted by the Audit Committee and the Management Engagement Committee. The Board remains committed to meeting all the provisions of the Association of InvestmentCompanies' Code of Corporate Governance that are relevant to a company that has no executivemanagement: further details are described in the Directors' Report.

It is far from clear how the economic and other stresses to whichfinancial markets are currently subject will evolve. But the Boardis confident that the Master Fund continues to have the capabilityto deliver profitable returns in the current uncertain environmentand that the Company's investment in the Master Fund offers theprospect for shareholders to achieve sustainable non-correlatedreturns while preserving capital.

Ian Plenderleith

Chairman

24 August 2011

Board Members

The Directors of the Company, all of whom are non-executive,are listed below:

Ian Plenderleith (Chairman), age 67

Ian Plenderleith retired at the end of 2005 after a three-yearterm as Deputy Governor of the South African Reserve Bank.He served on the Bank's Monetary Policy Committee and wasresponsible for money, capital and foreign exchange market operations and for international banking relationships. He previously worked for over 35 years at the Bank of England in London, where he was most recently Executive Director responsible for the Bank's financial market operations and a member of the Bank's Monetary Policy Committee. He has also worked at the International Monetary Fund in Washington DC and served on the Board of the European Investment Bank and on various international committees at the Bank for InternationalSettlements. Mr Plenderleith holds an MA from Christ Church, Oxford University, and an MBA from Columbia Business School,New York. Mr Plenderleith is a non-executive director of BMCEBank International and Europe Arab Bank in London and ofSanlam in South Africa. He is also Chairman of the Governors ofReed's School in Surrey and serves on the Council of the BritishMuseum Friends. Mr Plenderleith has held the role of chairmansince 2007.

Huw Evans, age 53

Huw Evans is Guernsey resident and qualified as a CharteredAccountant with KPMG (then Peat Marwick Mitchell) in 1983. Hesubsequently worked for three years in the Corporate Finance department of Schroders before joining Phoenix Securities Limitedin 1986. Over the next twelve years he advised a wide range ofcompanies in financial services and other sectors on mergers andacquisitions and more general corporate strategy. Since moving toGuernsey in 2005, he has acted as a professional non-executiveDirector of Guernsey-based funds. BH Macro Limited is the onlyquoted fund on whose Board he currently sits. He holds an MA in Biochemistry from Cambridge University. Mr Evans was appointed to the Board in 2010.

Anthony Hall, age 72

Anthony Hall is Guernsey resident and has 50 years experiencein the financial services industry. He worked for Barclays Bankbetween 1955 and 1970 and between 1970 and 1976 he held positions with N.M. Rothschild, Guernsey; Bank of London &Montreal, Nassau; and Italian International Bank (CI) Limited,Guernsey. In 1976 he was appointed as Managing Director of Rea Brothers (Guernsey) Limited and between 1988 and 1995he served as joint CEO and managing director of Rea BrothersGroup Plc. He served as Chairman of Rea Brothers (Guernsey)Limited from 1995 to 1996. He was founder Deputy Chairman of the Guernsey International Banking Association and wasChairman of the Association of Guernsey Banks in 1994. In addition to being a director of the Company, Mr Hall is currentlya director of a number of Guernsey based investment fundsincluding amongst others Stratton Street PCC Limited. Mr Hallwas appointed to the Board in 2007.

Christopher Legge, (Senior Independent Director), age 56

Christopher Legge is Guernsey resident and has over 25 years experience in the financial services industry. He qualified inLondon in 1980 with Pannell Kerr Forster and subsequentlymoved to Guernsey in 1983 to work for Ernst & Young,progressing from audit manager to Managing Partner in the Channel Islands. Mr Legge retired from Ernst & Young in 2003and currently holds a number of directorships in the financialsector including, among others Ashmore Global OpportunitiesLimited, Goldman Sachs Dynamic Opportunities Limited and ThirdPoint Offshore Investors Limited. Mr Legge is an FCA and holdsa BA (Hons) in Economics from the University of Manchester.Mr Legge was appointed to the Board in 2007.

Talmai Morgan, age 58

Talmai Morgan is Guernsey resident and qualified as a barristerin 1976. He moved to Guernsey in 1988 where he worked forBarings and then for the Bank of Bermuda as Managing Directorof Bermuda Trust (Guernsey) Limited. From January 1999 to June 2004,  he was Director of Fiduciary Services and Enforcement at the Guernsey Financial Services Commission (Guernsey's financial regulatory agency) where he was responsible for thedesign and subsequent implementation of Guernsey's law relatingto the regulation of fiduciaries, administration businesses andcompany directors. He was also involved in the internationalworking groups of the Financial Action Task Force and the Offshore Group of Banking Supervisors. From July 2004 to May 2005,         he was Chief Executive of Guernsey Finance which is theofficial body for the promotion of the Guernsey finance industry.Mr Morgan holds a MA in Economics and Law from CambridgeUniversity. Mr. Morgan is Chairman of the Listed Hedge FundForum of the Association of Investment Companies. In additionto being a director of the Company, Mr Morgan is a Director of anumber of listed investment funds including, amongst others, BHGlobal Limited, Goldman Sachs Dynamic Opportunities Limited,John Laing Infrastructure Fund Limited, NB Distressed DebtInvestment Fund Limited, NB Private Equity Partners Limited, RealEstate Credit Investments Limited, Signet Global Fixed IncomeStrategies Limited and Sherborne Investors (Guernsey) A Limited.Mr. Morgan was appointed to the Board in 2007.

Stephen Stonberg, age 43

Stephen Stonberg is a Managing Director of Credit Suisse AssetManagement in New York. Prior to January 2011, Mr Stonberg worked for Brevan Howard entities in both London and New York.He joined Brevan Howard Asset Management LLP in Londonin September 2006 as Head of Business Development andsubsequently became a Partner in April 2007. In February 2009 he relocated from London to New York to run North Americanmarketing for Brevan Howard US Asset Management LP. From January to December 2010 he was the CEO of Brevan Howard US LLC, a member of the Financial Industry Regulatory Authority,Inc (FINRA). Prior to joining Brevan Howard, Mr Stonberg workedfor JPMorgan (2001-2006) as managing director and GlobalHead of Strategy and Business Development for the InvestmentBanking Division (2003-2006) and as managing director and Head of Credit Derivative Marketing EMEA (2001-2003). Previously, Mr Stonberg worked at Deutsche Bank (1996-2001) as managingdirector of Global Credit Derivatives. Mr Stonberg holds an MBAfrom Harvard Business School (1994) and a Bachelor's Degreein Economics from Columbia University (1989). He is currentlya non-executive director of Coalition Development Limited.Mr Stonberg is a non-executive director of BH Global Limited aFTSE 250 listed company and BH Credit Catalysts Limited. Heis a resident of the United States. Mr Stonberg was appointed tothe Board in 2007.

Directors' Report

30 June 2011

The Directors submit their Report together with the Company'sUnaudited Statement of Assets and Liabilities, Unaudited Statementof Operations, Unaudited Statement of Changes in Net Assets,Unaudited Statement of Cash Flows and the related notes for the six month period ended 30 June 2011. The Directors' Reporttogether with the Unaudited Interim Financial Statements (the"Financial Statements") and their related notes give a true and fairview of the financial position of the Company. They have beenprepared properly, in conformity with accounting principles generallyaccepted in the United States of America (US GAAP), are in accordance with any relevant enactment for the time being in forceand are in agreement with the accounting records.

The Company

The Company is a limited liability closed-ended investment companyincorporated in Guernsey on 17 January 2007.

The Company was admitted to a Secondary Listing (Chapter 14) onthe Official List of the London Stock Exchange on 14 March 2007.On 11 March 2008, the Company migrated from the SecondaryListing to a Primary Listing pursuant to Chapter 15 of the ListingRules of the UK Listing Authority. As a result of changes to the UKListing Regime, the Company's Primary Listing became a PremiumListing with effect from 6 April 2010.

As of 20 October 2008 the Company obtained a Secondary Listingon the Bermuda Stock Exchange and with effect from 11 November2008, the US Dollar Shares of the Company were admitted to aSecondary Listing on NASDAQ Dubai.

The proceeds from the original issue of shares on listing amountedto approximately US$1.1 billion. On 26 October 2007 the Companyissued further shares in a cash placing amounting to approximatelyUS$0.1 billion.

The Company is a member of the Association of InvestmentCompanies.

Investment objective and policy

The Company is organised as a feeder fund that invests all of itsassets (net of short-term working capital requirements) directly in theMaster Fund managed by the Brevan Howard group, a hedge fundin the form of a Cayman Islands open-ended investment company,which has as its investment objective the generation of consistentlong-term appreciation through active leveraged trading and investment on a global basis.

The Master Fund has flexibility to invest in a wide range ofinstruments including, but not limited to, debt securities andobligations (which may be below investment grade), bank loans,listed and unlisted equities, other collective investment schemes,currencies, commodities, futures, options, warrants, swaps andother derivative instruments. The underlying philosophy is toconstruct strategies, often contingent in nature, with superior risk/return profiles, whose outcome will often be crystallised by anexpected event occurring within a pre-determined period of time.

The Company may employ leverage for the purposes of financingshare purchases or buy backs, satisfying working capitalrequirements or financing further investment into the Master Fund,subject to an aggregate borrowing limit of 20% of the Company'snet asset value, calculated as at the time of borrowing. Borrowingby the Company is in addition to leverage at the Master Fund level,which has no limit on its own leverage.

Results and dividends

The results for the period are set out in the Unaudited Statementof Operations. The Directors do not recommend the payment of a dividend.

Share capital

The number of shares in issue at the period end is disclosed inNote 5 to the Financial Statements.

Going concern

After making enquiries and given the nature of the Company andits investment, the Directors are satisfied that it is appropriate tocontinue to adopt the going concern basis in preparing theseFinancial Statements and, after due consideration, the Directorsconsider that the Company is able to continue for the foreseeablefuture.

The Board

The Board of Directors has overall responsibility for safeguarding theCompany's assets, for the determination of the investment policy ofthe Company, for reviewing the performance of the service providersand for the Company's activities. The Directors, all of whom arenon-executive, are listed on the inside back cover. The board has considered the independence of each Director. Stephen Stonberg and Talmai Morgan are not independent of theManager for the purposes of LR15.2.12.

The Articles provide that, unless otherwise determined by ordinaryresolution, the number of Directors shall not be less than two. TheCompany's policy on Directors' Remuneration, together with detailsof the remuneration of each Director who served during the period,is detailed in the Directors' Remuneration Report.

The Board meets at least four times a year and between theseformal meetings there is regular contact with the Manager and theSecretary. The Directors are kept fully informed of investment andfinancial controls, and other matters that are relevant to the businessof the Company and should be brought to the attention of theDirectors. The Directors also have access to the Administrator and,where necessary in the furtherance of their duties, to independentprofessional advice at the expense of the Company.

Directors

For each Director, the tables below set out the number of Boardand Audit Committee meetings they were entitled to attend duringthe six month period ended 30 June 2011 and the number of suchmeetings attended by each Director.

Scheduled Board Meetings		Held		Attended
Ian Plenderleith		2		2
Huw Evans		2		2
Anthony Hall		2		2
Christopher Legge		2		2
Talmai Morgan		2		2
Stephen Stonberg		2		2

Audit Committee Meetings		Held		Attended
Huw Evans		2		2
Anthony Hall		2		2
Christopher Legge		2		2

Management Engagement Committee Meetings

The Management Engagement Committee held its last meeting on22 September 2010 and will meet again later this year.

Directors' interests

During 2010 Stephen Stonberg was a partner of Brevan HowardAsset Management LLP and CEO of Brevan Howard US LLC. As of1 January 2011 Stephen Stonberg resigned from these positions,but will remain as a Director of the Company.

Talmai Morgan and Stephen Stonberg are both non-executiveDirectors of BH Global Limited which was incorporated on 25 February 2008 and started trading on the London StockExchange on 23 May 2008. BH Global Limited is managed by Brevan Howard Capital Management LP, the Company's Manager,and is a feeder fund for the Brevan Howard Global OpportunitiesMaster Fund Limited which invests, amongst other investments, inthe Master Fund.

Stephen Stonberg is also a non-executive Director of BH CreditCatalysts Limited which was incorporated on 19 October 2010 andstarted trading on the London Stock Exchange on 14 December2010. BH Credit Catalysts Limited is managed by Brevan HowardCapital Management LP, the Company's Manager, and is a feederfund for the Brevan Howard Credit Catalysts Master Fund Limitedinto which the Company's Master Fund invests.

The Directors had the following interests in the Company, held eitherdirectly or beneficially:

						US Dollar shares
		30.06.11		31.12.10		30.06.10
Ian Plenderleith		Nil		Nil		Nil
Huw Evans		Nil		Nil		N/A
Anthony Hall		Nil		Nil		Nil
Christopher Legge		Nil		Nil		Nil
Talmai Morgan		Nil		Nil		Nil
Stephen Stonberg		Nil		Nil		Nil

						Euro shares
		30.06.11		31.12.10		30.06.10
Ian Plenderleith		Nil		Nil		Nil
Huw Evans		Nil		Nil		N/A
Anthony Hall		6,500		6,500		6,500
Christopher Legge		Nil		Nil		Nil
Talmai Morgan		Nil		Nil		Nil
Stephen Stonberg		Nil		Nil		Nil

						Sterling shares
		30.06.11		31.12.10		30.06.10
Ian Plenderleith		Nil		Nil		Nil
Huw Evans		710		710		N/A
Anthony Hall		10,000		10,000		10,000
Christopher Legge		Nil		Nil		Nil
Talmai Morgan		Nil		Nil		Nil
Stephen Stonberg		5,676		5,676		5,676

Directors' indemnity

Directors' and officers' liability insurance cover is in place in respectof the Directors. The Directors entered into indemnity agreementswith the Company which provide for, subject to the provisions ofThe Companies (Guernsey) Law, 2008, an indemnity for Directorsin respect of costs which they may incur relating to the defenceof proceedings brought against them arising out of their positionsas Directors, in which they are acquitted or judgement is givenin their favour by the Court. The agreement does not provide forany indemnification for liability which attaches to the Directors inconnection with any negligence, unfavourable judgements, breachof duty or trust in relation to the Company.

Manager

The Board, and in particular the Management EngagementCommittee, considers the arrangements for the provision of management and other services to the Company on an ongoing basis. The principal contents of the agreement with the Manager areas described in note 4 to the Financial Statements.

The Board continuously monitors the performance of the Managerand a review of the Manager is conducted by the ManagementEngagement Committee annually.

The Manager has wide experience in managing and administeringfund vehicles and has access to extensive investment managementresources. The Board considers that the continued appointment ofthe Manager on the terms agreed would be in the interests of theCompany's shareholders as a whole. At the date of this report theBoard continued to be of the same opinion.

Auditor's remuneration

The tables below summarise the remuneration paid to KPMGChannel Islands Limited and to other KPMG affiliates for audit andnon-audit services during the six month period ended 30 June2011, the year ended 31 December 2010, and the six month periodended 30 June 2010.

		Period ended		Year ended		Period ended
		30.06.11		31.12.10		30.06.10
KPMG Channel Islands Limited
- Annual audit		-		£20,600		-
- Auditor's interim review		£8,500		£8,240		£8,240
Other KPMG affiliates
- German tax services		-		£17,544		-
- US tax services		-		£11,696		-

The Audit Committee has established pre-approval policiesand procedures for the engagement of KPMG to provide audit,assurance and tax services.

Corporate governance

To comply with the UK Listing Regime the Company must complywith the requirements of the UK Corporate Governance Code. Thereis no published corporate governance regime equivalent to the UKCorporate Governance Code in Guernsey.

The Board of the Company has considered the principles andrecommendations of the AIC Code of Corporate Governance by reference to the AIC Corporate Governance Guide for InvestmentCompanies (AIC Guide). The AIC Code, as explained by the AICGuide, addresses all the principles set out in the UK CorporateGovernance Code, as well as setting out additional principles andrecommendations on issues that are of specific relevance to the Company.

The Board considers that reporting against the principles andrecommendations of the AIC Code, and by reference to the AIC Guide (which incorporates the UK Corporate Governance Code), willprovide better information to shareholders.

The Company has complied with the recommendations of the AICCode and the relevant provisions of the UK Corporate GovernanceCode, except as set out below.

The UK Corporate Governance Code includes provisions relating to:

· the role of the chief executive

· executive directors' remuneration

· the need for an internal audit function

For the reasons set out in the AIC Guide, and as explained inthe UK Corporate Governance Code, the Board considers theseprovisions are not relevant to the position of the Company, beingan externally managed investment company. The Company hastherefore not reported further in respect of these provisions.

The Company has adopted a policy that the composition of theBoard of Directors is at all times such that (i) a majority of theDirectors are independent of the Manager and any company in the same group as the Manager; (ii) the Chairman of the Board ofDirectors is free from any conflicts of interest and is independentof the Manager and of any company in the same group as theManager; and (iii) no more than one director, partner, employee orprofessional adviser to the Manager or any company in the same group as the Manager may be a Director of the Company at any one time.

The Company has also adopted a Code of Directors' dealings inshares, which is based on the Model Code for Directors' dealingscontained in the London Stock Exchange's Listing Rules.

The Company has disclosed total expense ratios for each class ofshare in note 9 to the Financial Statements.

The Company's risk exposure and the effectiveness of its riskmanagement and internal control systems are reviewed by the AuditCommittee at its meetings and annually by the Board. The Boardbelieves that the Company has adequate and effective systems inplace to identify, mitigate and manage the risks to which it is exposed.

In view of its non-executive and independent nature, the Boardconsiders that it is not appropriate for there to be a NominationCommittee or a Remuneration Committee as anticipated by the AICCode. The Board as a whole fulfils the functions of the Nominationand Remuneration Committees, although the Board has includeda separate Remuneration Report on these in the FinancialStatements. For new appointments to the Board, nominations are sought from the Directors and from other relevant partiesand candidates are then interviewed by an ad hoc committee ofindependent Directors. The Directors were appointed for an initialterm of three years and Section 20.3 of the Company's Articlesrequire one third of the Directors to retire by rotation at each AnnualGeneral Meeting. As the Company is a FTSE 250 listed Companyin line with the AIC Code each Director will put themselves up forre-election at each Annual General Meeting. On 20 June 2011, theAnnual General Meeting of the Company, Shareholders
re-elected all the Directors of the Company.

The Board, of which Ian Plenderleith is Chairman, consists solelyof non-executive Directors. Christopher Legge is the SeniorIndependent Director of the Board. As at 30 June 2011, all theDirectors, except Stephen Stonberg and Talmai Morgan, are considered by the Board to be independent of the Company's Manager.

The Board has a breadth of experience relevant to the Company,and the Directors believe that any changes to the Board'scomposition can be managed without undue disruption. An induction programme has been prepared for any future Directorappointments.

The Board, Audit Committee and Management Engagement Committee undertake an evaluation of their own performance and that of individual Directors on an annual basis. In order toreview their effectiveness, the Board and its Committees carry outa process of formal self-appraisal. The Board and Committeesconsider how they function as a whole and also review the individualperformance of their members. This process is conducted by the respective Chairman reviewing the Directors' performance,contribution and commitment to the Company. Christopher Legge as Senior Independent Director takes the lead in reviewing theperformance of the Chairman. The Chairman also has responsibilityfor assessing the individual Board members' training requirements.The Board intends to implement the new provision in the AIC Codefor external evaluation of the Board every three years.

The Terms of Reference of both the Audit Committee andManagement Engagement Committee are available from the Administrator.

Audit Committee

The Company has established an Audit Committee with formalduties and responsibilities. This Committee meets formally at leasttwice a year and each meeting is attended by the independentAuditor. The Audit Committee comprises Huw Evans, Anthony Halland Christopher Legge. Christopher Legge is the Chairman of theAudit Committee.

The Audit Committee reviews and recommends to the Board theFinancial Statements of the Company and is the forum throughwhich the independent Auditor reports to the Board of Directors. The objectivityof the independent Auditor is reviewed by the Audit Committeewhich also reviews the terms under which the independent Auditoris appointed to perform non-audit services. The Committee reviewsthe scope and results of the audit, its cost effectiveness and theindependence and objectivity of the independent Auditor, with particular regard to non-audit fees. The Audit Committee considersKPMG Channel Islands Limited to be independent of the Company.

The Audit Committee has reviewed the need for an internalaudit function. The Audit Committee considers the systems andprocedures employed by the Manager and the Administrator, including their internal audit functions, provide sufficient assurancethat a sound system of internal control, which safeguards theCompany's assets, is maintained. An internal audit function specificto the Company is therefore considered unnecessary.

Appointment to the Audit Committee is for a period up to threeyears which may be extended for two further three year periodsprovided that the majority of the Audit Committee remain independent of the Manager. Anthony Hall and Christopher Leggeare currently serving their second term of three years. Huw Evans iscurrently serving his first term.

A member of the Audit Committee is available to attend eachAnnual General Meeting to respond to any shareholder questions onthe activities of the Audit Committee.

Management Engagement Committee

The Board has established a Management Engagement Committee with formal duties and responsibilities. These duties andresponsibilities include the regular review of the performance of andcontractual arrangements with the Manager and the preparation ofthe Committee's annual opinion as to the Manager's services.

Detailed terms of the Manager's contract and notice period arecontained in note 4 to the Financial Statements.

The Management Engagement Committee meets formally at least once a year and comprises Ian Plenderleith, Anthony Halland Christopher Legge. Anthony Hall is the Chairman of theManagement Engagement Committee.

Relations with shareholders

The Board welcomes shareholders' views and places greatimportance on communication with the Company's shareholders. The Board receives regular reports on the views of shareholders andthe Chairman and other Directors are available to meet shareholdersif required. The Annual General Meeting of the Company providesa forum for shareholders to meet and discuss issues with theDirectors of the Company. The Manager provides weekly estimatesof NAV and a month end NAV, and the Manager provides a monthlynewsletter and a risk report. These are published via RNS and arealso available on the Company's website.

The Manager maintains regular dialogue with institutionalshareholders, the feedback from which is reported to the Board. Inaddition, Board members are available to respond to shareholders'questions at Annual General Meetings. Shareholders who wish to communicate with the Board should contact the Administratorin the first instance, whose contact details can be found on theCompany's website.

Significant shareholders

As at 30 June 2011, the following had significant shareholdings inthe Company:

		Total shares held		% holding in class
Significant shareholders
US Dollar shares
Vidacos Nominees Limited		4,219,420		13.50
HSBC Global Custody Nominee (UK) Limited		4,116,533		13.17
Goldman Sachs Securities (Nominees) Limited		3,385,626		10.83
Lynchwood Nominees Limited		3,131,383		10.02
Nortrust Nominees Limited		2,720,008		8.70
Chase Nominees Limited		1,928,552		6.17
Morston Nominees Limited		1,843,432		5.90
Enhanced Investing Corporation (Cayman) II Limited		1,745,030		5.58
State Street Nominees Limited		1,340,028		4.29
Euroclear Nominees Limited		1,311,504		4.20
BNY (Nominees) Limited		1,286,853		4.12
Euro shares
Nordea Bank Danmark A/S		3,308,050		25.91
Securities Services Nominees Limited		2,689,132		21.06
HSBC Global Custody Nominee (UK) Limited		1,124,432		8.81
Euroclear Nominees Limited		1,117,200		8.75
Lynchwood Nominees Limited		975,100		7.64
BNY (Nominees) Limited		583,285		4.57
Vidacos Nominees Limited		547,430		4.29
Sterling shares
Chase Nominees Limited		8,322,824		22.91
HSBC Global Custody Nominee (UK) Limited		3,969,307		10.93
Nutraco Nominees Limited		3,054,261		8.41
Lynchwood Nominees Limited		2,677,992		7.37
Nortrust Nominees Limited		2,128,802		5.86
State Street Nominees Limited		1,746,281		4.81
Pershing Nominees Limited		1,466,703		4.04
BNY (OCS) Nominees Limited		1,247,356		3.43

Signed on behalf of the Board by:

Ian Plenderleith

Chairman

Christopher Legge

Director

24 August 2011

Statement of Directors' Responsibility in Respect of the Interim Unaudited Financial Statements

We confirm to the best of our knowledge that:

· these Interim Unaudited Financial Statements have been prepared in conformity with Accounting Principles GenerallyAccepted in the United States of America; and

· these Interim Unaudited Financial Statements include informationdetailed in the Chairman's Statement, the Directors' Report, the Manager's Report and the notes to the Interim Unaudited Financial Statements, which provides a fair view of the information required by:-

(a)  DTR 4.2.7 of the Disclosure and Transparency Rules, being anindication of important events that have occurred during the first six months of the financial year and their impact on theseInterim Unaudited Financial Statements; and a description of theprincipal risks and uncertainties for the remaining six months ofthe year; and

(b)  DTR 4.2.8 of the Disclosure and Transparency Rules, being related party transactions that have taken place in the first sixmonths of the current financial year and that have materiallyaffected the financial position or performance of the Companyduring that period; and any changes in the related party transactions described in the last Annual Audited Financial Statements that could materially affect the financial position orperformance of the Company.

Signed on behalf of the Board by:

Ian Plenderleith

Chairman

Christopher Legge

Director

24 August 2011

 

Directors' Remuneration Report

30 June 2011

Introduction

An ordinary resolution for the approval of the annual remunerationreport will be put to the shareholders at the Annual General Meetingto be held in 2012.

Remuneration policy

All Directors are non-executive and a Remuneration Committeehas not been established. The Board as a whole considers mattersrelating to the Directors' remuneration. No advice or services wereprovided by any external person in respect of its consideration of theDirectors' remuneration.

The Company's policy is that the fees payable to the Directorsshould reflect the time spent by the Directors on the Company'saffairs and the responsibilities borne by the Directors and besufficient to attract, retain and motivate directors of a quality requiredto run the Company successfully. The Chairman of the Board ispaid a higher fee in recognition of his additional responsibilities, asare the Chairmen of the Audit Committee and the ManagementEngagement Committee. The policy is to review fee rates periodically, although such a review will not necessarily result in anychanges to the rates, and account is taken of fees paid to directorsof comparable companies.

There are no long term incentive schemes provided by theCompany and no performance fees are paid to Directors.

No Director has a service contract with the Company but each ofthe Directors is appointed by a letter of appointment which setsout the main terms of their appointment. Directors hold office untilthey retire by rotation or cease to be a director in accordance withthe Articles of Incorporation, by operation of law or until they resign.The Directors were appointed for an initial term of three years andSection 20.3 of the Company's Articles require one third of theDirectors to retire by rotation at each Annual General Meeting. Asthe Company is a FTSE 250 listed Company, in line with the AICCode each Director will put themselves up for re-election at eachAnnual General Meeting. On 20 June 2011, the Annual GeneralMeeting of the Company, shareholders re-elected all the Directors.Director appointments can also be terminated in accordance withthe Articles. Should shareholders vote against a Director standingfor re-election, the Director affected will not be entitled to anycompensation. There are no set notice periods and a Director mayresign by notice in writing to the Board at any time.

Directors are remunerated in the form of fees, payable quarterlyin arrears, to the Director personally. No other remuneration orcompensation was paid or payable by the Company during the period to any of the Directors apart from the reimbursement ofallowable expenses.

Directors' fees

The Company's Articles limit the fees payable to Directors inaggregate to £400,000 per annum as amended at the Annual General Meeting on 20 June 2011. The annual fees were lastincreased on 1 April 2010, and are £150,000 for the Chairman,£33,000 for Chairmen of both the Audit Committee and the Management Engagement Committee and £30,000 for all other Directors. On 21 March 2011 the Board agreed not to seek to increase fees during 2011.

The fees payable by the Company in respect of each of theDirectors who served during the six month period ended 30 June2011, the year ended 31 December 2010 and the six month periodended 30 June 2010, were as follows:

		Period ended		Year ended		Period ended
		30.06.11		31.12.10		30.06.10
		£		£		£
Ian Plenderleith		75,000		147,500		72,500
Huw Evans		15,000		10,377		-
Anthony Hall		16,500		31,000		14,500
Christopher Legge		16,500		31,625		15,125
Talmai Morgan		15,000		28,750		13,750
Stephen Stonberg*		15,000		-		-
Total		153,000		249,252		115,875

*     Stephen Stonberg waived his fee for 2010 as he was employed by Brevan Howard.

Signed on behalf of the Board by:

Ian Plenderleith

Chairman

Christopher Legge

Director

24 August 2011

Manager's Report

Brevan Howard Capital Management LP is the Manager of the Company and of the Master Fund. 

Performance review

The Company's NAV per share gained 2.41% for the US Dollar shares, 2.77% for the Euro shares and 2.52% for the Sterling shares during thefirst half of 2011.

The NAV performance of each currency class of the Company on a month-by-month basis during 2007, 2008, 2009, 2010 and 2011 is set out below:

USD	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2007	-	-	0.10	0.90	0.15	2.29	2.56	3.11	5.92	0.03	2.96	0.75	20.27
2008	9.89	6.70	(2.79)	(2.48)	0.77	2.75	1.13	0.75	(3.13)	2.76	3.75	(0.68)	20.32
2009	5.06	2.78	1.17	0.13	3.14	(0.86)	1.36	0.71	1.55	1.07	0.37	0.37	18.04
2010	(0.27)	(1.50)	0.04	1.45	0.32	1.38	(2.01)	1.21	1.50	(0.33)	(0.33)	(0.49)	0.91
2011	0.65	0.53	0.75	0.49	0.55	(0.58)							2.41
EUR	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2007	-	-	0.05	0.70	0.02	2.26	2.43	3.07	5.65	(0.08)	2.85	0.69	18.95
2008	9.92	6.68	(2.62)	(2.34)	0.86	2.84	1.28	0.98	(3.30)	2.79	3.91	(0.45)	21.65
2009	5.38	2.67	1.32	0.14	3.12	(0.82)	1.33	0.71	1.48	1.05	0.35	0.40	18.36
2010	(0.30)	(1.52)	0.03	1.48	0.37	1.39	(1.93)	1.25	1.38	(0.35)	(0.34)	(0.46)	0.93
2011	0.71	0.57	0.78	0.52	0.65	(0.49)							2.77
GBP	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2007	-	-	0.11	0.83	0.17	2.28	2.55	3.26	5.92	0.04	3.08	0.89	20.67
2008	10.18	6.85	(2.61)	(2.33)	0.95	2.91	1.33	1.21	(2.99)	2.84	4.23	(0.67)	23.25
2009	5.19	2.86	1.18	0.05	3.03	(0.90)	1.36	0.66	1.55	1.02	0.40	0.40	18.00
2010	(0.23)	(1.54)	0.06	1.45	0.36	1.39	(1.96)	1.23	1.42	(0.35)	(0.30)	(0.45)	1.03
2011	0.66	0.52	0.78	0.51	0.59	(0.56)							2.52

Important note - shares in the Company do not necessarily trade at a price equal to the prevailing NAV per share.

Source: Company NAV per share % monthly change calculations made by Brevan Howard Capital Management LP and/or affiliated entities ("Brevan Howard"). NAV data 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 the Company.

Past performance is not indicative of future results.

The majority of the Master Fund's performance in the first half of 2011 came from gains made in directional and yield curve trading strategies inthe US and European interest rate markets. Additional performance came from gains in swap spread and interest rate volatility strategies. Theremainder of the performance came mostly from credit and commodity trading. Losses were predominately incurred in FX directional strategiesand to a lesser extent in equity trading.

In the first half of 2011 there were significant movements in interest rate markets. US interest rates persistently declined throughout most of thefirst half of 2011. European interest rates initially rose in the first quarter, after responding to the hawkish sentiment of the ECB and the start ofa rate hiking cycle. In the second quarter European interest rates declined as focus shifted towards slowing growth and increasing concernsabout the European sovereign debt situation. This led to trading opportunities in interest rates by taking views on the timing and scale offuture monetary policy action.

The investment profile by strategy group (% of capital allocation) ofthe Master Fund as at 30 June 2011 is set out below:

Commentary and Outlook

In the first half of 2011 the expansion in the global economyslowed, with declining activity in China, the US and Europe all occurring in a fairly synchronised manner.

Markets became increasingly focussed on the European sovereigndebt situation and the discussions by policymakers regardingpotential measures to try and address the problems in the periphery,whilst attempting to create a fire-break to prevent contagion to thelarger European economies such as Italy and Spain.

At the same time, political brinksmanship in the US pushednegotiations over an increase to the debt ceiling right to the deadline, risking the need for the US Treasury to prioritise payments,or in the extreme, to potentially miss a coupon date, furtherincreasing market uncertainty.

This uncertain macro environment led the Master Fund's investmentmanagers to continue to focus on the themes of higher volatility andgreater differentiation between economies in 2011. Additionally, theinvestment managers' aim to trade more tactically in 2011, whilstmaintaining long positions in volatility in order to capture potentialbreakout moves, has worked as intended.

The trading outlook for the remainder of 2011 remains fertile,given the continued high levels of macroeconomic uncertaintyand market volatility.

Brevan Howard wishes to thank shareholders once again for theircontinued support.

Gunther Thumann

Brevan Howard Capital Management LP,

acting by its sole general partner,

Brevan Howard Capital Management Limited.

24 August 2011

Independent Review Report to the Members of BH Macro Limited

We have been engaged by the Company to review the InterimUnaudited Financial Statements included in the Interim Reportfor the period to 30 June 2011 which comprises the UnauditedStatement of Assets and Liabilities, the Unaudited Statement ofOperations, the Unaudited Statement of Changes in Net Assets, the Unaudited Statement of Cash Flows and the related explanatorynotes. We have read the other information contained in theInterim Report and considered whether it contains any apparentmisstatements or material inconsistencies with the information in theInterim Unaudited Financial Statements.

This Report is made solely to the Company in accordance withthe terms of our engagement letter dated 20 June 2011 to assistthe Company in meeting the requirements of the Disclosure andTransparency Rules ("the DTR") of the UK's Financial Services Authority ("the UK FSA"). Our review has been undertaken so thatwe might state to the Company those matters we are required tostate to it in this Report and for no other purpose. To the fullestextent permitted by law, we do not accept or assume responsibilityto anyone other than the Company for our review work, for thisReport, or for the conclusions we have reached.

Directors' responsibilities

The Interim Report is the responsibility of, and has been approvedby, the Directors. The Directors are responsible for preparing theInterim Report in accordance with the DTR of the UK FSA.

As disclosed in note 3, the Annual Audited Financial Statementsof the Company are to be prepared in conformity with accountingprinciples generally accepted in the United States of America andapplicable law.

Our responsibility

Our responsibility is to express to the Company a conclusion onthe Interim Unaudited Financial Statements included in the InterimReport based on our review.

Scope of review

Our review shall be conducted in accordance with International Standard on Review Engagements (UK and Ireland) 2410, 'Review of Interim Financial Information Performed by the Independent Auditor of the Entity' issued by the Auditing Practice Board for use in the UK. A review of interim financial information consists of making enquiries,primarily of persons responsible for financial and accounting matters,and applying analytical and other review procedures. A review issubstantially less in scope than an audit conducted in accordancewith International Standards on Auditing (UK and Ireland) andconsequently does not enable us to obtain assurance that we wouldbecome aware of all significant matters that might be identified in anaudit. Accordingly, we do not express an audit opinion.

Conclusion

Based on our review, nothing has come to our attention that causesus to believe that the Interim Unaudited Financial Statementsincluded in the Interim Report for the six month period to 30 June2011 are not prepared, in all material respects, in conformity withaccounting principles generally accepted in the United States ofAmerica and the DTR of the UK FSA.

Deborah J. Smith

For and on behalf of KPMG Channel Islands Limited Chartered Accountants and Recognised Auditors

24 August 2011

Unaudited Statement of Assets and Liabilities

As at 30 June 2011

		30.06.11 (Unaudited) US$'000		31.12.10 (Audited) US$'000		30.06.10 (Unaudited) US$'000
Assets
Investment in the Master Fund (cost 30 June 2011: US$763,894,411; 31 December 2010: US$782,946,618; 30 June 2010: US$800,342,404)		1,951,510		1,823,934		1,784,564
Amounts due from the Master Fund		2,254		-		1,782
Prepaid expenses		107		36		118
Cash and bank balances denominated in US Dollars		1,015		1,052		1,055
Cash and bank balances denominated in Euro		88		689		52
Cash and bank balances denominated in Sterling		142		1,595		73
Total assets		1,955,116		1,827,306		1,787,644

Liabilities
Performance fees payable (note 4)		11,090		547		3,896
Management fees payable (note 4)		2,932		2,784		2,629
Accrued expenses and other liabilities		106		108		99
Directors' fees payable		120		106		91
Administration fees payable (note 4)		88		83		78
Total liabilities		14,336		3,628		6,793
Net assets		1,940,780		1,823,678		1,780,851

Number of shares in issue (note 5)
US Dollar shares		31,255,686		31,841,026		36,818,663
Euro shares		12,767,685		14,780,360		16,547,210
Sterling shares		36,330,595		34,283,784		29,698,944

Net asset value per share (notes 7 and 9)
US Dollar shares		US$17.65		US$17.24		US$17.32
Euro shares		€17.76		€17.29		€17.37
Sterling shares		£18.18		£17.73		£17.81

See accompanying notes to the Interim Unaudited Financial Statements.

Signed on behalf of the Board by:

Ian Plenderleith

Chairman

Christopher Legge

Director

24 August 2011

Unaudited Statement of Operations

For the period from 1 January 2011 to 30 June 2011

		01.01.11 to 30.06.11 (Unaudited) US$'000		01.01.10 to 31.12.10 (Audited) US$'000		01.01.10 to 30.06.10 (Unaudited) US$'000
Net investment (expense)/income allocated from the Master Fund
Interest		31,541		51,532		24,122
Dividend income (net of withholding tax of: 30 June 2011: US$13,522; 31 December 2010: US$91,595; 30 June 2010: US$46,328)		207		598		411
Expenses		(32,108)		(37,759)		(14,319)
Net investment (expense)/income allocated from the Master Fund		(360)		14,371		10,214

Company income
Foreign exchange gains (note 3)		69,426		-		-
Total Company income		69,426		-		-

Company expenses
Performance fees (note 4)		11,295		548		4,000
Management fees (note 4)		17,355		32,604		15,995
Other expenses		339		902		551
Directors' fees		243		386		176
Administration fees (note 4)		173		330		162
Foreign exchange losses (note 3)		-		57,417		108,632
Total Company expenses		29,405		92,187		129,516
Net investment gain/(loss)		39,661		(77,816)		(119,302)

Net realised and unrealised gain on investments allocated from the Master Fund
Net realised gain on investments		112,616		176,269		152,487
Net unrealised loss on investments		(35,175)		(138,626)		(116,185)
Net realised and unrealised gain on investments allocated from the Master Fund		77,441		37,643		36,302
Net increase/(decrease) in net assets resulting from operations		117,102		(40,173)		(83,000)

See accompanying notes to the Interim Unaudited Financial Statements.

Unaudited Statement of Changes in Net Assets

For the period from 1 January 2011 to 30 June 2011

		30.06.11 (Unaudited) US$'000		31.12.10 (Audited) US$'000		30.06.10 (Unaudited) US$'000
Net increase/(decrease) in net assets resulting from operations
Net investment gain/(loss)		39,661		(77,816)		(119,302)
Net realised gain on investments allocated from the Master Fund		112,616		176,269		152,487
Net unrealised loss on investments allocated from the Master Fund		(35,175)		(138,626)		(116,185)
		117,102		(40,173)		(83,000)
Share capital transactions
Proceeds on issue of shares from treasury
US Dollar shares		-		-		-
Euro shares		-		-		-
Sterling shares		-		4,200		4,200
Net increase/(decrease) in net assets		117,102		(35,973)		(78,800)
Net assets at the beginning of the period		1,823,678		1,859,651		1,859,651
Net assets at the end of the period		1,940,780		1,823,678		1,780,851

See accompanying notes to the Interim Unaudited Financial Statements.

Unaudited Statement of Cash Flows

For the period from 1 January 2011 to 30 June 2011

		30.06.11 (Unaudited) US$'000		31.12.10 (Audited) US$'000		30.06.10 (Unaudited) US$'000
Cash flows from operating activities
Net increase/(decrease) in net assets resulting from operations		117,102		(40,173)		(83,000)
Adjustments to reconcile net income to net cash used in operating activities:
Net investment expense/(income) allocated from the Master Fund		360		(14,371)		(10,214)
Net realised gain on investments allocated from the Master Fund		(112,616)		(176,269)		(152,487)
Net unrealised loss on investments allocated from the Master Fund		35,175		138,626		116,185
Purchase of investment in the Master Fund		-		(3,066)		(3,082)
Proceeds from sale of investment in the Master Fund		16,677		30,375		11,266
Foreign exchange (gains)/losses		(69,426)		57,417		108,632
Increase in prepaid expenses		(71)		(13)		(95)
Increase in performance fees payable		10,543		626		3,975
Increase/(decrease) in management fees payable		148		(173)		(328)
Decrease in accrued expenses and other liabilities		(2)		(269)		(278)
Increase in directors' fees payable		14		18		3
Increase/(decrease) in administration fees payable		5		(4)		(9)
Net cash used in operating activities		(2,091)		(7,276)		(9,432)
Cash flows from financing activities
Proceeds on issue of shares from treasury		-		4,200		4,200
Net cash provided by financing activities		-		4,200		4,200
Change in cash		(2,091)		(3,076)		(5,232)
Cash, beginning of the period		3,336		6,412		6,412
Cash, end of the period		1,245		3,336		1,180
Cash, end of the period
Cash and bank balances denominated in US Dollars		1,015		1,052		1,055
Cash and bank balances denominated in Euro		88		689		52
Cash and bank balances denominated in Sterling		142		1,595		73
		1,245		3,336		1,180

See accompanying notes to the Interim Unaudited Financial Statements.

Notes to the Interim Unaudited Financial Statements

For the period from 1 January 2011 to 30 June 2011

1. The Company

The Company is a limited liability closed-ended investment company incorporated in Guernsey on 17 January 2007 for an unlimited period, with registration number 46235.

The Company was admitted to a Secondary Listing (Chapter 14) on the Official List of the London Stock Exchange on 14 March 2007. On 11 March 2008, the Company migrated from the Secondary Listing to a Primary Listing pursuant to Chapter 15 of the Listing Rules of the UK Listing Authority. As a result of changes to the UK Listing Regime, the Company's Primary Listing became a Premium Listing with effect from 6 April 2010.

As of 20 October 2008 the Company obtained a Secondary Listing on the Bermuda Stock Exchange and with effect from 11 November 2008, the US Dollar shares of the Company were admitted to a Secondary Listing on NASDAQ Dubai.

The Company offers multiple classes of ordinary shares, which differ in terms of currency of issue. To date, ordinary shares have been issued in US Dollar, Euro and Sterling.

2. Organisation

The Company is organised as a feeder fund and seeks to achieve its investment objective by investing all of its investable assets, net of short-term working capital requirements, in the ordinary US Dollar, Euro and Sterling denominated Class B shares issued by the Master Fund.

The Master Fund is an open-ended investment company with limited liability formed under the laws of the Cayman Islands on 22 January 2003. The investment objective of the Master Fund is to generate consistent long-term appreciation through active leveraged trading and investment on a global basis. The Master Fund employs a combination of investment strategies that focus primarily on economic change and monetary policy and market inefficiencies. The underlying philosophy is to construct strategies, often contingent in nature with superior risk/return profiles, whose outcome will often be crystallised by an expected event occurring within a pre-determined period of time. New trading strategies will be added as investment opportunities present themselves.

At the date of these Financial Statements, there were two other feeder funds in operation in addition to the Company that invest all of their assets (net of working capital) in the Master Fund.

The Interim Unaudited Financial Statements of the Master Fund should be read alongside the Company's Financial Statements.

The Manager

Brevan Howard Capital Management LP (the "Manager") is the Manager of the Company. The Manager is a Jersey limited partnership, the general partner of which is Brevan Howard Capital Management Limited, a Jersey limited company (the "General Partner"). The General Partner is regulated in the conduct of fund services business by the Jersey Financial Services Commission pursuant to the Collective Investment Funds (Jersey) Law, 1988 and the Orders made thereunder.

The Manager also manages the Master Fund and in that capacity, as at the date of these Financial Statements, has delegated the function of investment management of the Master Fund to Brevan Howard Asset Management LLP, Brevan Howard (Hong Kong) Limited, Brevan Howard (Israel) Limited, Brevan Howard Investments Products Limited and DW Investment Management LP.

3. Significant accounting policies

The Annual Audited Financial Statements, which give a true and fair view, are prepared in conformity with accounting principles generally accepted in the United States of America and comply with The Companies (Guernsey) Law, 2008. The accompanying Interim Unaudited Financial Statements have been prepared following the same accounting policies and methods of computation as the most recent Annual Audited Financial Statements. The reporting currency of the Company is US Dollars.

The following are the significant accounting policies adopted by the Company:

Valuation of investments

The Company records its investment in the Master Fund at fair value. At 30 June 2011 the Company's US Dollar, Euro and Sterling capital accounts represented 2.28%, 1.35% and 4.50% respectively of the Master Fund's capital (at 31 December 2010: 2.54%, 1.56% and 4.40% and at 30 June 2010: 2.61%, 1.44% and 3.23%).

Fair value measurement

Accounting Standards Codification ("ASC") Topic 820 defines fair value as the price that the Company would receive upon selling a security in an orderly transaction to an independent buyer in the principal or most advantageous market of the security.

ASC 820 establishes a three-level hierarchy to maximise the use of observable market data and minimise the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value. Inputs may be observable or unobservable.

Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity.

Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 securities. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities does not entail a significant degree of judgement.

Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, volatility statistics, specific and broad credit data, liquidity statistics, and other factors. A financial instrument's level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes "observable" requires significant judgement by the Company's Directors. The Directors consider observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

The categorisation of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Directors' perceived risk of that instrument.

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Directors' own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Directors use prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many securities. This condition could cause a security to be reclassified to a lower level within the fair value hierarchy.

The valuation and classification of securities held by the Master Fund is discussed in the notes to the Master Fund's Financial Statements which are available on the Company's website, www.bhmacro.com.

Income and expenses

The Company records monthly its proportionate share of the Master Fund's income, expenses and realised and unrealised gains and losses. In addition, the Company accrues its own income and expenses.

Use of estimates

The preparation of Financial Statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of those Financial Statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Share issue expenses

During 2007, share issue expenses of US$42,220,026 (the "Offer Costs") were borne by the Manager and are payable by the Company to the Manager should the management agreement terminate for certain grounds in whole or with respect to any class of share during the period ending on the seventh anniversary of admission, being 14 March 2014.

Pursuant to the terms of the Management Agreement dated 13 February 2009, the Company must repay to the Manager a fraction of these Offer Costs for every US Dollar by which repurchases, redemptions or cancellations of the Company's shares reduce the Current US Dollar NAV of the Company below its NAV at the time of the Company's listing, being US$1,080,740,459. The Current US Dollar NAV is calculated using the exchange rates ruling at the time of the Company's listing.

The amount of these Offer Costs to be repaid for every US Dollar by which the Company's NAV is reduced will be US$0.0391, being the figure obtained by dividing the Offer Costs by the NAV of the Company at the time of its listing.

The Directors consider the likelihood of this contingent liability crystallising as remote and hence no provision has been made within these Financial Statements.

The Directors confirm there are no other contingent liabilities that require disclosure or provision.

Leverage

The Manager has discretion, subject to the prior approval of a majority of the independent Directors, to employ leverage for and on behalf of the Company by way of borrowings to effect share purchases or share buy-backs, to satisfy working capital requirements and to finance further investments in the Master Fund.

The Company may borrow up to 20% of its NAV, calculated as at the time of borrowing. Additional borrowing over 20% of NAV may only occur if approved by an ordinary resolution of the shareholders.

Foreign exchange

Investment securities and other assets and liabilities of the Sterling and Euro share classes are translated into US Dollars, the Company's reporting currency, using exchange rates at the reporting date. Transactions reported in the Unaudited Statement of Operations are translated into US Dollar amounts at the date of such transactions. The share capital and other capital reserve accounts are translated at the historic rate ruling at the date of the transaction. Exchange differences arising on translation are included in the Statement of Operations. This adjustment has no effect on the value of net assets allocated to the individual share classes.

Treasury shares

Where the Company purchases its own share capital, the consideration paid, which includes any directly attributable costs, is recognised as a deduction from equity shareholders' funds through the Company's reserves.

When such shares are subsequently sold or reissued to the market, any consideration received, net of any directly attributable incremental transaction costs, is recognised as an increase in equity shareholders' funds through the Share capital account. Shares held in treasury are excluded from calculations when determining NAV per share as detailed in note 7 or in the Financial Highlights in note 9.

4. Management, performance and administration agreements

Management and performance fee

The Company has entered into a management agreement with the Manager to manage the Company's investment portfolio. The Manager receives a management fee of 1/12 of 2% (or a pro rata proportion thereof) per month of the closing NAV (before deduction of that month's management fee and before making any deduction for any accrued performance fee) as at the last valuation day in each month, payable monthly in arrears. The investment in the Class B shares of the Master Fund is not subject to management fees. During the period ended 30 June 2011, US$17,355,262 (31 December 2010: US$32,604,496 and 30 June 2010: US$15,995,030) was charged by the Manager as management fees. At 30 June 2011, US$2,931,759 (31 December 2010: US$2,783,815 and 30 June 2010: US$2,628,883) of the fee remained outstanding.

The Manager is also entitled to an annual performance fee for each share class. The performance fee is equal to 20% of the appreciation in the NAV per share of that class during that calculation period which is above the base NAV per share of that class. The base NAV per share is the greater of the NAV per share of the relevant class at the time of issue of such share and the highest NAV per share achieved as at the end of any previous calculation period. The Manager will be paid an estimated performance fee on the last day of the calculation period. Within 15 business days following the end of the calculation period, any difference between the actual performance fee and the estimated amount will be paid to or refunded by the Manager, as appropriate. The investment in the Class B shares of the Master Fund is not subject to performance fees.

The portion of any performance fee accrued in respect of a class of shares that relates to the portion of shares of the relevant class which are redeemed, repurchased, converted into another class of shares or cancelled during the calculation period will crystallise and shall be paid to the Manager at the same time as any performance fees in respect of the entire relevant calculation period. During the period ended 30 June 2011, US$11,295,357 (31 December 2010: US$548,097 and 30 June 2010: US$3,999,625) was charged by the Manager as performance fees. At 30 June 2011 US$11,090,174 (31 December 2010: US$546,948 and 30 June 2010: US$3,895,738) of the fee remained outstanding.

The Master Fund may hold investments in other funds managed by the Manager. To ensure that shareholders of the Company are not subject to two tiers of fees, the fees paid to the Manager as outlined above are reduced by the Company's share of any fees paid to the Manager by the underlying Master Fund investments, managed by the Manager.

The management agreement may be terminated by either party giving the other party not less than 24 months written notice. In certain circumstances the Company will be obliged to pay compensation to the Manager of the aggregate management fees which would otherwise have been payable during the 24 months following the date of such notice and the aggregate of any accrued performance fee in respect of the current Calculation Period. Compensation is not payable if more than 24 months notice of termination is given.

Administration fee

The Company has appointed Northern Trust International Fund Administration Services (Guernsey) Limited as Administrator, Registrar and Corporate Secretary. The Administrator is paid fees based on the NAV of the Company, payable quarterly. The fee is at a rate of 0.015% of the average month end NAV of the Company, subject to a minimum fee of £67,500 per annum. In addition to the NAV based fee the Administrator is also entitled to an annual fee of £36,000 for certain additional administration services. The Administrator is entitled to be reimbursed out-of-pocket expenses incurred in the course of carrying out its duties as Administrator.

5. Share capital

Issued and authorised share capital

The Company was incorporated with the authority to issue an unlimited number of ordinary shares with no par value which may be divided into at least three classes denominated in US Dollars, Euros and Sterling. The treasury shares have arisen as a result of the discount management programme as described in note 8.

For the period from 1 January 2011 to 30 June 2011

		US Dollar shares		Euro shares		Sterling shares
Number of ordinary shares
In issue at 1 January 2011		31,841,026		14,780,360		34,283,784
Share conversions		(585,340)		(2,012,675)		2,046,811
In issue at 30 June 2011		31,255,686		12,767,685		36,330,595
Number of treasury shares
In issue at 1 January 2011		3,438,476		1,572,013		877,595
Shares cancelled		-		(350,000)		-
In issue at 30 June 2011		3,438,476		1,222,013		877,595
Percentage of class		9.91%		8.74%		2.36%

For the year from 1 January 2010 to 31 December 2010

		US Dollar shares		Euro shares		Sterling shares
Number of ordinary shares
In issue at 1 January 2010		40,728,777		17,280,342		26,356,443
Share conversions		(8,887,751)		(2,499,982)		7,777,341
Sale of treasury shares		-		-		150,000
In issue at 31 December 2010		31,841,026		14,780,360		34,283,784
Number of treasury shares
In issue at 1 January 2010		4,438,476		1,572,013		1,027,595
Sale of treasury shares		-		-		(150,000)
Shares cancelled		(1,000,000)		-		-
In issue at 31 December 2010		3,438,476		1,572,013		877,595
Percentage of class		9.75%		9.61%		2.50%

For the period from 1 January 2010 to 30 June 2010

		US Dollar shares		Euro shares		Sterling shares
Number of ordinary shares
In issue at 1 January 2010		40,728,777		17,280,342		26,356,443
Share conversions		(3,910,114)		(733,132)		3,192,501
Sale of treasury shares		-		-		150,000
In issue at 30 June 2010		36,818,663		16,547,210		29,698,944
Number of treasury shares
In issue at 1 January 2010		4,438,476		1,572,013		1,027,595
Sale of treasury shares		-		-		(150,000)
Shares cancelled		(1,000,000)		-		-
In issue at 30 June 2010		3,438,476		1,572,013		877,595
Percentage of class		8.54%		8.68%		2.87%

		US Dollar shares		Euro shares		Sterling shares		Company Total
Share capital account		US$'000		€'000		£'000		US$'000
At 31 December 2010		53,883		31,754		17,188		133,549
At 30 June 2011		53,883		31,754		17,188		133,549

Share classes

In respect of each class of shares a separate class account has been established in the books of the Company. An amount equal to the aggregate proceeds of issue of each share class has been credited to the relevant class account. Any increase or decrease in the NAV of the Master Fund US Dollar shares, Master Fund Euro shares and Master Fund Sterling shares as calculated by the Master Fund is allocated to the relevant class account in the Company. Each class account is allocated those costs, pre-paid expenses, losses, dividends, profits, gains and income which the Directors determine in their sole discretion relate to a particular class.

Voting rights of shares

Ordinary shares carry the right to vote at general meetings of the Company and to receive any dividends, attributable to the ordinary shares as a class, declared by the Company and, in a winding-up will be entitled to receive, by way of capital, any surplus assets of the Company attributable to the ordinary shares as a class in proportion to their holdings remaining after settlement of any outstanding liabilities of the Company.

As prescribed in the Company's Articles, the different classes of ordinary shares have different values attributable to their votes. The attributed values have been calculated on the basis of the Weighted Voting Calculation (as described in the Articles) which takes into account the prevailing exchange rates on the date of initial issue of ordinary shares. Currently, on a vote, a single US Dollar ordinary share has 0.7606 votes, a single Euro ordinary share has one vote and a single Sterling ordinary share has 1.4710 votes.

Treasury shares do not have any voting rights.

Repurchase of ordinary shares

The Directors have been granted authority to purchase in the market up to 14.99% of each class of shares and they intend to seek annual renewal of this authority from shareholders which was last granted on 20 June 2011. The Directors may, at their discretion, utilise this share repurchase authority to address any imbalance between the supply of and demand for shares.

Under the Company's Articles, shareholders of a class of shares also have the ability to call for repurchase of that class of shares in certain circumstances. See note 8 for further details.

Further issue of shares

As approved by the shareholders at the Annual General Meeting held on 20 June 2011, the Directors have the power to issue further shares on a non pre-emptive basis for cash in respect of 3,501,983 US Dollar shares, 1,441,278 Euro shares and 3,665,355 Sterling shares respectively. This power expires on the conclusion of the next Annual General Meeting of the Company unless such power is varied, revoked or renewed prior to that Meeting by a special resolution of the Company in general meeting.

Distributions

The Master Fund has not previously paid dividends to its investors and does not expect to do so in the future. Therefore, the Directors of the Company do not expect to declare any dividends. This does not prevent the Directors of the Company from declaring a dividend at any time in the future if the Directors consider payment of a dividend to be appropriate in the circumstances. If the Directors declare a dividend, such dividend will be paid on a per class basis.

Treasury shares are not entitled to distributions.

Annual redemption offer

Once in every calendar year the Directors may, in their absolute discretion, determine that the Company shall make an offer to redeem such number of shares of the Company in issue as they may determine provided that the maximum amount distributed does not exceed 100% of the increase in NAV of the Company in the prior calendar year.

The Directors shall, in their absolute discretion, determine the particular class or classes of shares in respect of which an Annual Redemption Offer will be made, the timetable for that Annual Redemption Offer and the price at which the shares of each relevant class will be redeemed.

Whether a partial return of capital is made in any particular year and, if so, the amount of the return, may depend, among other things, on prevailing market conditions, the ability of the Company to liquidate its investments to fund the capital return, the success of prior capital returns and applicable legal, regulatory and tax considerations.

The Directors determined not to make an Annual Redemption Offer during 2011.

Share conversion scheme

The Company has implemented a Share Conversion Scheme. The scheme provides shareholders with the ability to convert some or all of their ordinary shares in the Company of one class into ordinary shares of another class. Shareholders are able to convert ordinary shares on the last business day of every month. Each conversion will be based on the NAV (note 7) of the shares of the class to be converted.

6. Taxation

Overview

The Company is exempt from taxation in Guernsey under the provisions of the Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989.

Uncertain tax positions

The Company recognises the tax benefits of uncertain tax positions only where the position is more-likely-than-not (i.e. greater than 50%) to be sustained assuming examination by a tax authority based on the technical merits of the position. In evaluating whether a tax position has met the recognition threshold, the Company must presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognise in the Company's Financial Statements. Income tax and related interest and penalties would be recognised by the Company as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold.

The Company analyses all open tax years for all major taxing jurisdictions. Open tax years are those that are open for examination by taxing authorities, as defined by the Statute of Limitations in each jurisdiction. The Company identifies its major tax jurisdictions as the Cayman Islands and foreign jurisdictions where the Company makes significant investments. The Company has no examinations by tax authorities in progress.

The Directors have analysed the Company's tax positions, and have concluded that no liability for unrecognised tax benefits should be recorded related to uncertain tax positions. Further, the Directors are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognised tax benefits will significantly change in the next twelve months.

7. Publication and calculation of net asset value

The NAV of the Company is equal to the value of its total assets less its total liabilities. The NAV per share of each class will be calculated by dividing the NAV of the relevant class account by the number of shares of the relevant class in issue on that day.

The Company publishes the NAV per share for each class of shares as calculated by the Administrator based in part on information provided by the Master Fund, monthly in arrears, as at each month-end.

The Company also publishes an estimate of the NAV per share for each class of shares as calculated by the Administrator based in part on information provided by the Master Fund, weekly in arrears.

8. Discount management programme

The Company's discount management programme includes the ability to make market purchases of shares and the obligation to propose class closure resolutions if, in any fixed discount management period (1 January to 31 December each year), the average daily closing market price of the relevant class of shares during such period is 10% or more below the average NAV per share of the relevant class taken over the 12 monthly NAV Determination Dates in that fixed discount management period, as described more fully in the Company's principal documents.

In the event a class closure resolution is proposed, shareholders in that class have the following options available to them:

(i) to redeem all or some of their shares at NAV per share less the costs and expenses of the class closure vote and other outstanding costs and expenses of the Company attributable to the relevant class (including any redemption fees and repayment of Offer Costs as described in note 3);

(ii) subject to certain limitations, to convert all or some of their shares into shares of another class, assuming that other class does not also pass a class closure resolution; or

(iii) subject to the class continuing, to remain in the class.

These provisions are disclosed in more detail in the Company's Articles.

The Annual Redemption Offer described in note 5 which enables a partial return of capital is also part of the discount management programme.

The discount management measures will be funded by partial redemptions of the Company's investment in the Master Fund.

During the period the Company did not make use of its ability to make market purchases of its shares.

The total number of shares held in treasury at 30 June 2011 are as disclosed in note 5.

9. Financial highlights

The following tables include selected data for a single ordinary share of each of the ordinary share classes in issue at the period end and other performance information derived from the Financial Statements.

The per share amounts and ratios which are shown reflect the income and expenses of the Company for each class of ordinary share.

								30.06.11		30.06.11		30.06.11
								US Dollar shares		Euro shares		Sterling shares
								US$		€		£
Per share operating performance
Net asset value at beginning of the period								17.24		17.29		17.73
Income from investment operations
Net investment loss*								(0.28)		(0.30)		(0.27)
Net realised and unrealised gain on investment								0.69		0.81		0.71
Other capital items**								-		(0.04)		0.01
Total return*								0.41		0.47		0.45
Net asset value, end of the period								17.65		17.76		18.18
Total return before performance fee								2.92%		3.33%		3.15%
Performance fee								(0.54%)		(0.61%)		(0.61%)
Total return after performance fee								2.38%		2.72%		2.54%

Total return reflects the net return for an investment made at the beginning of the period and is calculated as the change in the NAV per ordinary share during the period from 1 January 2011 to 30 June 2011. An individual shareholder's return may vary from these returns based on the timing of their purchase or sale of shares.

		30.06.11		30.06.11		30.06.11
		US Dollar shares		Euro shares		Sterling shares
		US$'000		€'000		£'000
Supplemental data
Net asset value, end of the period		551,732		226,810		660,353
Average net asset value for the period		552,284		239,577		639,442

		30.06.11		30.06.11		30.06.11
		US Dollar shares		Euro shares		Sterling shares
Ratio to average net assets
Operating expenses
Company expenses***		0.94%		0.92%		0.95%
Master Fund expenses****		0.62%		0.60%		0.62%
Master Fund interest expense*****		1.06%		1.03%		1.06%
Performance fee		0.54%		0.61%		0.61%
		3.16%		3.16%		3.24%
Net investment loss before performance fees*		(0.96%)		(0.94%)		(0.96%)
Net investment loss after performance fees*		(1.50%)		(1.55%)		(1.57%)

										31.12.10		31.12.10				31.12.10
										US Dollar shares		Euro shares				Sterling shares
										US$		€				£
Per share operating performance
Net asset value at beginning of the year										17.08			17.13			17.55
Income from investment operations
Net investment loss*										(0.20)			(0.20)			(0.18)
Net realised and unrealised gain on investment										0.37			0.38			0.35
Other capital items**										(0.01)			(0.02)			0.01
Total return*										0.16			0.16			0.18
Net asset value, end of the year										17.24			17.29			17.73
Total return before performance fee										0.93%			0.95%			1.07%
Performance fee										(0.02%)			(0.02%)			(0.04%)
Total return after performance fee										0.91%			0.93%			1.03%

Total return reflects the net return for an investment made at the beginning of the year and is calculated as the change in the NAV per ordinary share during the year from 1 January 2010 to 31 December 2010. An individual shareholder's return may vary from these returns based on the timing of their purchase or sale of shares.

		31.12.10		31.12.10		31.12.10
		US Dollar shares		Euro shares		Sterling shares
		US$'000		€'000		£'000
Supplemental data
Net asset value, end of the year		548,841		255,494		607,867
Average net asset value for the year		624,310		274,587		533,871

		31.12.10		31.12.10		31.12.10
		US Dollar shares		Euro shares		Sterling shares
Ratio to average net assets
Operating expenses
Company expenses***		1.86%		1.85%		1.92%
Master Fund expenses****		0.80%		0.81%		0.84%
Master Fund interest expense*****		1.22%		1.24%		1.30%
Performance fee		0.02%		0.02%		0.04%
		3.90%		3.92%		4.10%
Net investment loss before performance fees*		(1.06%)		(1.08%)		(1.11%)
Net investment loss after performance fees*		(1.08%)		(1.10%)		(1.15%)

		30.06.10 US Dollar shares US$		30.06.10 Euro shares €		30.06.10 Sterling shares £
Per share operating performance
Net asset value at beginning of the period		17.08		17.13		17.55
Income from investment operations
Net investment loss*		(0.10)		(0.10)		(0.09)
Net realised and unrealised gain on investment		0.33		0.32		0.37
Other capital items**		0.01		0.02		(0.02)
Total return*		0.24		0.24		0.26
Net asset value, end of the period		17.32		17.37		17.81
Total return before performance fee		1.64%		1.63%		1.71%
Performance fee		(0.23%)		(0.23%)		(0.23%)
Total return after performance fee		1.41%		1.40%		1.48%

Total return reflects the net return for an investment made at the beginning of the period and is calculated as the change in the NAV per ordinary share during the period from 1 January 2010 to 30 June 2010. Total return is not annualised. An individual shareholder's return may vary from these returns based on the timing of their purchase or sale of shares.

		30.06.10 US Dollar shares US$'000		30.06.10 Euro shares €'000		30.06.10 Sterling shares £'000
Supplemental data
Net asset value, end of the period		637,813		287,406		528,850
Average net asset value for the period		667,745		281,367		491,319

		30.06.10		30.06.10		30.06.10
		US Dollar shares		Euro shares		Sterling shares
Ratio to average net assets
Operating expenses
Company expenses***		0.93%		0.92%		0.96%
Master Fund expenses****		0.35%		0.35%		0.35%
Master Fund interest expense*****		0.44%		0.45%		0.46%
Performance fee		0.20%		0.22%		0.24%
		1.92%		1.94%		2.01%
Net investment loss before performance fees*		(0.37%)		(0.36%)		(0.35%)
Net investment loss after performance fees*		(0.57%)		(0.58%)		(0.59%)

Notes:

*        The net investment loss figures disclosed above, in the Directors' opinion and in accordance with the Company's investment objectives, do not reflect the Company's overall performance. Considering the investment objectives of the Company, the Directors consider that the total return of the Company is a true reflection of the Company's overall performance during the period.

**      Included in other capital items are the discounts and premiums on conversions between share classes and on the sale of treasury shares as compared to the NAV per share at the beginning of the period.

***     Company expenses are as disclosed in the Unaudited Statement of Operations excluding the performance fee.

****    Master Fund expenses are the operating expenses of the Master Fund excluding the interest and dividend expenses of the Master Fund.

*****   Master Fund interest expense includes interest and dividend expenses on investments sold short.

10. Related party transactions

Management and performance fees are disclosed in note 4.

Directors' fees are disclosed in the Directors' Remuneration Report.

Directors' interests are disclosed in the Directors' Report and also the Board Members section.

11. Subsequent events

The Directors have evaluated subsequent events up to 24 August 2011, which is the date that the Financial Statements were available to be issued, and have concluded there are no further items that require disclosure or adjustment to the Financial Statements.

Historic Performance Summary

As at 30 June 2011

	30.06.11 US$'000	31.12.10 US$'000	31.12.09 US$'000	31.12.08 US$'000	31.12.07* US$'000
Net increase/(decrease) in net assets resulting from operations	117,102	(40,173)	342,882	152,032	277,999
Total assets	1,955,116	1,827,306	1,863,160	1,643,056	1,492,920
Total liabilities	(14,336)	(3,628)	(3,509)	(2,936)	(4,832)
Net assets	1,940,780	1,823,678	1,859,651	1,640,120	1,488,088
Number of shares in issue
US Dollar shares	31,255,686	31,841,026	40,728,777	54,992,632	53,877,466
Euro shares	12,767,685	14,780,360	17,280,342	21,470,815	28,736,067
Sterling shares	36,330,595	34,283,784	26,356,443	19,075,361	13,958,236
Net asset value per share
US Dollar shares	US$17.65	US$17.24	US$17.08	US$14.47	US$12.03
Euro shares	€17.76	€17.29	€17.13	€14.47	€11.89
Sterling shares	£18.18	£17.73	£17.55	£14.87	£12.07

*     Covers the period from 17 January 2007 (date of incorporation) to 31 December 2007. Initial public offering of shares took place in March 2007.

Company Information

Directors

Ian Plenderleith (Chairman)*

Huw Evans*

Anthony Hall*

Christopher Legge (Senior Independent Director)*

Talmai Morgan

Stephen Stonberg

All Directors are non-executive.

*     These Directors are independent for the purpose of Listing Rule 15.2.12.

Registered Office

Trafalgar Court

Les Banques

St. Peter Port

Guernsey

Channel Islands GY1 3QL

Manager

Brevan Howard Capital Management LP

4th Floor

One Esplanade

St. Helier

Jersey

Channel Islands JE2 3QA

Administrator, Registrar and Corporate Secretary

Northern Trust International Fund

Administration Services (Guernsey) Limited

Trafalgar Court

Les Banques

St Peter Port

Guernsey

Channel Islands GY1 3QL

Independent Auditor

KPMG Channel Islands Limited

20 New Street

St Peter Port

Guernsey

Channel Islands GY1 4AN

CREST Service Provider

Computershare Investor Services (Channel Islands) Limited

Ordnance House

31 Pier Road

St Helier

Jersey

Channel Islands JE4 8PW

Legal Advisors (Guernsey Law)

Carey Olsen

Carey House

Les Banques

St. Peter Port

Guernsey

Channel Islands GY1 4BZ

Legal Advisors (UK and US Law)

Freshfields Bruckhaus Deringer

65 Fleet Street

London EC4Y 1HS

Corporate Broker

J.P. Morgan Securities Limited

125 London Wall

London EC2y 5AJ

For the latest information www.bhmacro.com

The Interim Unaudited Financial Statements of BH Macro Limited and the Interim Unaudited Financial Statements of Brevan Howard Master Fund Limited will shortly be available on BH Macro's website www.bhmacro.com

 

END

 

 

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