Interim Management Statement

RNS Number : 4276W

BH Macro Limited

18 November 2010

 



BREVAN HOWARD	BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT 30 September 2010   ADV02344 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE Your attention is drawn to the disclaimer at the beginning of this presentation © Brevan Howard Asset Management LLP (2010). All Rights Reserved.
	Important Legal Information and Disclaimer BH Macro Limited (the "Company"), is a feeder fund to Brevan Howard Master Fund Limited ("BHMF"). Brevan Howard Asset Management LLP ("BHAM") has supplied certain of the following information regarding BH Macro Limited's performance. BHAM is authorised and regulated by the Financial Services Authority. The material relating to the Company included in this report is provided for information purposes only and does not constitute an invitation or offer to subscribe for or purchase shares in the Company. This material is not intended to provide a sufficient basis on which to make an investment decision. Information and opinions presented in this material relating to the Company and BHMF have been obtained or derived from sources believed by BHAM to be reliable, but BHAM makes no representation as to their accuracy or completeness. Estimated results, performance or achievements may materially differ from any actual results, performance or achievements. Except as required by applicable law, the Company and BHAM expressly disclaim any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise. All investments are subject to risk. Prospective investors are advised to seek expert legal, financial, tax and other professional advice before making any investment decisions. You should note that, if you invest in the Company, your capital will be at risk and you may therefore lose some or all of any amount that you choose to invest. This material is not intended to constitute, and should not be construed as, investment advice. BHAM neither provides investment advice to, nor receives and transmits orders from, investors in the Company nor does it carry on any other activities with or for such investors that constitute "MiFID or equivalent third country business" for the purposes of the FSA Rules. PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS

BH MACRO LIMITED Interim Management Statement: 30 September 2010		BREVAN HOWARD
T [phone]   www.brevanhoward.com
Overview and Objective	BH Macro Limited (the "Company") is a closed-ended investment company, registered and incorporated in Guernsey on 17 January 2007 (registration number 46235). The Company invests substantially all of its assets (net of short-term working capital) in the ordinary shares of Brevan Howard Master Fund Limited. The Company was admitted to the Main Market of the London Stock Exchange on 14 March 2007. This Interim Management Statement covers the period from 1 July 2010 to 30 September 2010.
Company Size	The total net assets of the Company are summarised as follows (USD mm): Share Class 30 June 2010 Currency: USD mm 30 September 2010 Currency: USD mm 30 June 2010 Currency of Class (mm) 30 September 2010 Currency of Class (mm) USD Shares 638 575 638 575 EUR Shares 352 374 287 274 GBP Shares 791 928 529 588 Total 1781 1877 n/a n/a Source: Northern Trust.
Share Capital	The number of shares in issue in each share class of the Company is summarised as follows*: Share Class 30 June 2010 30 September 2010 USD Shares 36,818,663 33,005,703 EUR Shares 16,547,210 15,679,559 GBP Shares 29,698,944 32,812,078  Source: Northern Trust. *Please note these figures are pre-month end conversions.
Performance Review	The closing share price of each share class of the Company is summarised as follows: Share Class 30 June 2010 30 September 2010 USD Shares (US$) 17.00 16.87 EUR Shares (€) 17.10 16.85 GBP Shares (p) 1762 1738 Source: Bloomberg The NAV per share* of each share class of the Company is summarised as follows: Share Class 30 June 2010 30 September 2010 USD Shares (US$) US$17.32 US$17.44 EUR Shares (€) €17.37 €17.49 GBP Shares (p) 1781p 1793p * NAV performance is provided for information purposes only. Shares in the Company do not necessarily trade at a price equal to the prevailing NAV per Share. Source: Underlying BHMF Net Asset Value data is provided by the Administrator of BHMF, International Fund Services (Ireland) Limited. The Company's Net Asset and Net Asset Value per Share data is provided by the Company's Administrator, Northern Trust International Fund Administration Services (Guernsey) Limited. The Company's Net Asset and Net Asset Value data in this report is unaudited and net of all investment management fees (2% annual management fee and 20% performance fee) and all other fees and expenses payable by the Company.  PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.  Further details of monthly performance information and the outlook of BHMF and the Company can be obtained from the Company's monthly newsletters, copies of which are to be found on the Company's website: www.bhmacro.com
Investment Profile	The change to the investment profile (by asset class) of BHMF is summarised as follows: Asset Class 30 June 2010 % of total VaR 30 September 2010 % of total VaR Interest Rates 40% 42% Vega 15% 10% Equity 10% 8% Credit 5% 3% FX 26% 30% Commodities 4% 7% Source: BHAM
Material Events and Transactions	Discount Management In the period between 1 July 2010 and 30 September 2010 the Company did not purchase any shares on the market.
Enquiries	Northern Trust International Fund Administration Services (Guernsey) Limited Rose Toussaint [phone]

 

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