BH Macro Limited - Interim Report and Unaudited Financial Statements 2025

BH Macro Limited
Interim Report and Unaudited Financial Statements 2025

LEI: 549300ZOFF0Z2CM87C29
(Classified Regulated Information, under DTR 6 Annex 1 section 1.2)
 

The Company has today, in accordance with DTR 6.3.5, released its Interim Report and Unaudited Financial Statements for the period ended 30 June 2025. The Report will shortly be available from the Company’s website: www.bhmacro.com.

Chair’s Statement

The year of 2025 has remained very challenging for the closed-ended fund sector and, as I said last year, BH Macro Limited (the “Company”) is no exception. However, the Company’s performance remains within the expected range of returns. There has been a sustained effort, as has always been the case, on the part of both the board of directors of the Company (the “Board”) and Brevan Howard Capital Management LP (the “Manager”) to ensure robust oversight and management of the Company’s assets. In particular, the Board has directed the Company to buy back shares in the market where it has been accretive to do so.

The discount to net asset value (“NAV”) per share has narrowed from the levels we have experienced in the last couple of years and, compared to many in the sector, is at a low level. However, as was the case last year, it is at too great a level for the Board to feel comfortable. None of the issues which bedevilled the sector last year have changed. Factors such as the concentration of shareholdings, the concentration of the wealth management industry and continuing uncertainty around the investment environment contribute to a most difficult set of conditions for the closed-ended fund sector. Whilst the Board retains its confidence in the Manager and the strategy that it has pursued so successfully for many years, neither we nor the Manager are complacent. We continue to search for ways to improve the Company’s returns.

NAV per share performance in the six-month period to 30 June 2025 has been slightly negative at -0.28% for the Sterling Share Class and -0.59% for the US Dollar Share Class. The discount to NAV per share at which the Company’s two share classes traded generally continued to follow a narrowing trend during the period to 30 June 2025. By way of a comparison, the average discount to NAV per share for 2024 was 11.24% (Sterling Share Class) whereas the corresponding figure for the six-month period to 30 June 2025 was 7.35% (Sterling Share Class).

The international environment in which the Company operates remains volatile. President Trump’s administration continues to pursue policies which have set it apart from the consensus of recent decades. The geopolitical situation remains tense. The conflict in Ukraine remains unresolved. The Middle East remains an epicentre of tension with apparently intractable problems. The Chinese economy is under pressure which creates greater uncertainty. In the United Kingdom, the Labour government led by Sir Keir Starmer has earned some plaudits for its international policy whilst it has, at the same time, struggled to rejuvenate a faltering domestic economy. There were clear doubts last year as to whether or not the new government would be able to bring down inflation, stimulate economic growth and bring government spending under control. None of these three objectives is currently being achieved, and the decline of public sector productivity remains a source of considerable concern for the economic health of the country.

Against this background, the Board remains convinced of the value of the Company and maintains its confidence in the Manager and its strategy. The Board recognises that there are two clear challenges ahead: to outperform other asset classes as a key diversifier for our investors’ portfolios and to attract new investors to the Company.

Richard Horlick

Chair

16 September 2025

Board Members

The Directors of the Company during the period and as at the date of signing, all of whom are non-executive, are listed below, together with John Whittle, who was appointed as director on 1 July 2025:

Richard Horlick (Chair)

Richard Horlick is UK resident. He is currently the non-executive chairman of CCLA Investment Management which manages assets for over 38,000 charities and church and local authority funds. He has served on a number of closed-ended fund boards. He has had a long and distinguished career in investment management graduating from Cambridge University in 1980 with an MA in Modern History. After 3 years in the corporate finance department of Samuel Montagu he joined Newton Investment Management in January 1984, where he became a Director and portfolio manager. In 1994, he joined Fidelity International as President of their institutional business outside the US and in 2001 became President and CEO of Fidelity Management Trust Company in Boston which was the Trust Bank for the US Fidelity Mutual fund range and responsible for their defined benefit pension business. In 2003, he joined Schroders Plc as a main board Director and head of investment worldwide. Mr. Horlick was appointed to the Board in May 2019 and was appointed Chair in February 2021.

Caroline Chan

Caroline Chan is a Guernsey resident and has over 30 years’ experience as a corporate lawyer, having retired from private practice in 2020. After studying law at Oxford University, Caroline qualified as an English solicitor with Allen & Overy, working in their corporate teams in London and Hong Kong. On returning to Guernsey in 1998, Caroline qualified as a Guernsey advocate and practised locally, including as a partner with law firms Ogier and Mourant Ozannes. Since retiring from private practice, Caroline has taken on non-executive directorship roles and is Chair of the Board of Governors of The Ladies’ College, Guernsey. She was a member of the Guernsey Competition and Regulatory Authority until March 2023. Ms. Chan was appointed to the Board in December 2022.

Julia Chapman

Julia Chapman is a Jersey resident and a solicitor qualified in England & Wales and in Jersey with over 30 years’ experience in the investment fund and capital markets sector. After working at Simmons & Simmons in London, she moved to Jersey and became a partner of Mourant du Feu & Jeune (now Mourant) in 1999. She was then appointed general counsel to Mourant International Finance Administration (the firm’s fund administration division). Following its acquisition by State Street in April 2010, Julia was appointed European Senior Counsel for State Street’s alternative investment business. In July 2012, Julia left State Street to focus on the independent provision of directorship and governance services to a small number of investment fund vehicles. Mrs. Chapman was appointed to the Board in October 2021.

Bronwyn Curtis

Bronwyn Curtis is a UK resident and Senior Executive with 30 years leadership in finance, commodities, consulting and the media. Her executive roles included Head of Global Research at HSBC Plc, Managing Editor and Head of European Broadcast at Bloomberg LP, Chief Economist of Nomura International, and Global Head of Foreign Exchange and Fixed Income Strategy at Deutsche Bank. She has also worked as a consultant for the World Bank and UNCTAD. Her other current appointments include trustee of the Centre for Economic and Policy Research, the Australia-UK Chamber of Commerce and The Times shadow MPC. She is a graduate of the London School of Economics and La Trobe University in Australia where she received a Doctor of Letters in 2017. Bronwyn was awarded an OBE in 2008 for her services to business economics. Mrs. Curtis was appointed to the Board in January 2020 and was appointed Senior Independent Director on 13 September 2023.

John Le Poidevin

John Le Poidevin is Guernsey resident and has over 30 years’ business experience. Mr. Le Poidevin is a graduate of Exeter University and Harvard Business School, a Fellow of the Institute of Chartered Accountants in England and Wales and a former partner of BDO LLP in London where, as Head of Consumer Markets, he developed an extensive breadth of experience and knowledge of listed businesses in the UK and overseas. He is an experienced non-executive who sits on several Plc boards and chairs a number of Audit Committees. He therefore brings a wealth of relevant experience in terms of corporate governance, audit, risk management and financial reporting. Mr. Le Poidevin was appointed to the Board in June 2016 and will step down from the Board at the 2026 AGM.

John Whittle

John Whittle is a Fellow of the Institute of Chartered Accountants in England and Wales and holds the Institute of Directors Diploma in Company Direction. He is a Non-Executive Director and Audit Committee Chairman of The Renewable Infrastructure Group Ltd (FTSE 250), Sancus Lending Group Ltd (listed on AIM), and Chairman of Starwood European Real Estate Finance Ltd (LSE, in wind down).  He was previously Finance Director of Close Fund Services, a large independent fund administrator, where he successfully initiated a restructuring of client financial reporting services and was a key member of the business transition team. Prior to moving to Guernsey, he was at Price Waterhouse in London before embarking on a career in business services, predominantly telecoms. He co-led the business turnaround of Talkland International (which became Vodafone Retail) and was directly responsible for the strategic shift into retail distribution and its subsequent implementation; he subsequently worked on the private equity acquisition of Ora Telecom. John is a resident of Guernsey.

Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges

The following summarises the Directors’ current directorships in other public companies:

Directors’ Report

30 June 2025

The Directors submit their Interim Report together with the Company’s Unaudited Statement of Assets and Liabilities, Unaudited Statement of Operations, Unaudited Statement of Changes in Net Assets, Unaudited Statement of Cash Flows and the related notes for the period ended 30 June 2025. The Directors’ Report together with the Interim Unaudited Financial Statements and their related notes (the “Financial Statements”) give a true and fair view of the financial position of the Company. They have been prepared in accordance with United States Generally Accepted Accounting Principles (“US GAAP”) and are in agreement with the accounting records.

The Company

BH Macro Limited is a limited liability closed-ended investment company which was incorporated in Guernsey on 17 January 2007 and then admitted to the Official List of the London Stock Exchange ("LSE") later that year. The Company is currently included in the London Stock Exchange’s FTSE 250 Index and has been throughout the current and prior financial years.

The Company’s ordinary shares are issued in Sterling and US Dollars.

Investment Objective and Policy

The Company is organised as a feeder fund that invests all of its assets (net of short-term working capital requirements) directly in the Master Fund, a hedge fund in the form of a Cayman Islands open-ended investment company, which has as its investment objective the generation of consistent long-term appreciation through active leveraged trading and investment on a global basis. The Master Fund is managed by Brevan Howard Capital Management LP, the Company’s Manager.

The Master Fund has flexibility to invest in a wide range of instruments including, but not limited to, debt securities and obligations (which may be below investment grade), bank loans, listed and unlisted equities, other collective investment schemes, currencies, commodities, digital assets, futures, options, warrants, swaps and other derivative instruments. 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.

The Master Fund employs a combination of investment strategies that focus primarily on economic change and monetary policy and market inefficiencies.

The Company may employ leverage for the purposes of financing share purchases or buybacks, satisfying working capital requirements or financing further investment into the Master Fund, subject to an aggregate borrowing limit of 20% of the Company’s NAV, calculated as at the time of borrowing. Borrowing by 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 year are set out in the Unaudited Statement of Operations. The Directors do not recommend the payment of a dividend.

Share Capital

At the Annual General Meeting held on 16 May 2025, Shareholders approved an Ordinary Resolution to allow the Directors to have the power to issue further shares totalling 112,033,560 Sterling shares and 9,043,124 US Dollar shares, respectively. Shareholders at the Annual General Meeting also approved a Special Resolution that authorised the maximum number of shares that may be purchased on-market by the Company until the next Annual General Meeting, being 50,386,530 Sterling shares and 4,067,099 US Dollar shares.

Between 1 January 2025 and 30 June 2025, the Company has bought back 10,749,505 Sterling class shares on the London Stock Exchange with prices ranging from £3.72 to £4.12 per share. The Company did not buy back any US Dollar class shares in the six month period. The repurchased shares are held in Treasury.

The number of shares in issue at the period end is disclosed in note 5 of the Interim Unaudited Financial Statements.

Going Concern

The Directors, having considered the Principal and Emerging Risks and Uncertainties to which the Company is exposed, which are  materially unchanged from those reported in the Company’s financial statements for the year ended 31 December 2024 and on the assumption that these are managed or mitigated as noted, are not aware of any material uncertainties which may cast significant doubt upon the Company’s ability to continue as a going concern for at least 12 months from the date of approval of these Interim Unaudited Financial Statements and, accordingly, consider that it is appropriate that the Company continues to adopt the going concern basis of accounting for these Interim Unaudited Financial Statements.

Whilst the Board continues to monitor the ongoing impact of various geopolitical events, the Board has concluded that the biggest threat to the Company remains the failure of a key service provider to maintain business continuity and resiliency. The Board has assessed the measures in place by key service providers to maintain business continuity and, so far, has not identified any significant issues that affect the Company. The financial position of the Company has not been negatively impacted by geopolitical events either and the Board is confident that these events have not impacted the going concern assessment of the Company.

In December 2023 the Board commenced a share buyback programme to manage any excess mis-match between buyers and sellers of the Company’s shares in the public markets and in order to narrow the discount at which the Company’s shares trade. All share buybacks have been and will continue to be funded by specific cash allocated to them through the redemption of shares in the Master Fund, subject to the notice period discussed in note 2 to the Interim Unaudited Financial Statements, and there is therefore no impact on the cash available to cover the Company’s central operating costs.

The average discount to NAV for the Sterling shares and US Dollar shares for the year ended 31 December 2024 were 11.24% and 10.99% respectively and consequently class closure votes were called for both share classes, as set out in the circular to Shareholders dated 29 January 2025. Following the Sterling class closure meeting on 18 February 2025 it was announced that the Sterling shareholders had defeated the class closure resolution, with 98.22% of votes received against closure. It was also announced that the US Dollar class closure meeting of the same date was inquorate, and the meeting was postponed to 25 February 2025. The US Dollar class closure meeting on 25 February 2025 was quorate, with 99.86% of votes received against closure. Both votes indicate overwhelming shareholder support for the continuation of the Company and its strategy.

The average discount to NAV for both share classes for the period to 30 June 2025 has been below the 8% threshold to trigger further class continuation votes at the 2025 financial year, but even if this threshold was breached at 31 December 2025, the directors, having consulted regularly with the Company’s broker, have no reason to believe at the current time that there would not be a similarly high level of shareholder support for the Company as at the 2025 class closure meetings.

The Directors have therefore concluded that there are no significant cash flow or other risks in relation to preparing the Interim Unaudited Financial Statements on a going concern basis.

The Board

The Board of Directors has overall responsibility for safeguarding the Company’s assets, for the determination of the investment policy of the Company, for reviewing the performance of the service providers and for the Company’s activities. The Directors, all of whom are non-executive, are listed on the Board Members section.

The Board has completed an externally facilitated recruitment exercise to replace John Le Poidevin as a director and made an announcement to the market on 16 May 2025 that John Whittle would join the Board on 1 July 2025. It is intended that John Whittle will  replace John Le Poidevin as Audit Committee Chair when John Le Poidevin steps down from the Board at the 2026 AGM. John Whittle is a Fellow of the Institute of Chartered Accountants in England and Wales and holds the Institute of Directors Diploma in Company Direction. He is a highly experienced non-executive director, specialising in London listed funds, often acting as Audit Committee Chair.

Packaged Retain and Insurance Based Investment Products (“PRIIPS”)

In accordance with the requirements of the UK PRIIPs Laws, the Manager publishes the latest standardised three-page Key Information Document (a “KID”) for the Company’s Sterling shares and another for its US Dollar shares on 23 July 2025. Each KID is available on the Company’s website https://www.bhmacro.com/regulatory-disclosures/ and will be updated at least every 12 months.

Principal and Emerging Risks and Uncertainties

The Board is responsible for the Company’s system of internal controls and for reviewing its effectiveness. The Board is satisfied that by using the Company’s risk matrix in establishing the Company’s system of internal controls, while monitoring the Company’s investment objective and policy, the Board has carried out a robust assessment of the principal and emerging risks and uncertainties facing the Company. The principal and emerging risks and uncertainties which have been identified and the steps which are taken by the Board to mitigate them can be viewed in the Annual  Report for the year ended 31 December 2024. The Board do not consider these risks to have materially changed during the six months ended 30 June 2025.

Signed on behalf of the Board by:

Richard Horlick

Chair

John Le Poidevin

Director

16 September 2025

Statement of Directors’ Responsibility in respect of the Interim Report and Unaudited Financial Statements

We confirm to the best of our knowledge that:

•    these Interim Unaudited Financial Statements have been prepared in accordance with United States Generally Accepted Accounting Principles and give a true and fair view of the assets, liabilities, financial position and profit or loss; and

•    these Interim Unaudited Financial Statements include information detailed in the Chair’s Statement, the Directors’ Report, the Manager’s Report and the Notes to the Interim Unaudited Financial Statements, which provides a fair review of the information required by:

(a) DTR 4.2.7R of the Disclosure Guidance and Transparency Rules, being an indication of important events that have occurred during the first six months of the financial year and their impact on these Interim Unaudited Financial Statements and a description of the principal risks and uncertainties for the remaining six months of the year; and

(b) DTR 4.2.8R of the Disclosure Guidance and Transparency Rules, being related-party transactions that have taken place in the first six months of the current financial year and that have materially affected the financial position or performance of the Company during 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 or performance of the Company.

The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company’s website and for the preparation and dissemination of financial statements. Legislation in Guernsey governing the preparation and dissemination of the financial statements may differ from legislation in other jurisdictions.

Signed on behalf of the Board by:

Richard Horlick

Chair

John Le Poidevin

Director

16 September 2025

Manager’s Report

Brevan Howard Capital Management LP (“BHCM” or the “Manager”) is the manager of BH Macro Limited (the “Company”) and of Brevan Howard Master Fund Limited (the “Master Fund”). The Company invests all of its assets (net of short-term working capital) in the ordinary shares of the Master Fund.

Performance Review

The NAV per share of the USD shares of the Company depreciated by 0.59% in the first half of 2025 and the NAV per share of the GBP shares depreciated by 0.28%.

The month-by-month NAV performance of each currency class of the Company since it commenced operations in 2007 is set out below:

Source: Master Fund NAV data is provided by the administrator of the Master Fund, State Street Fund Services (Ireland) Limited. The Company’s NAV and NAV per Share data is provided by the Company’s administrator, Northern Trust International Fund Administration Services (Guernsey) Limited.

The Company’s NAV per Share % Monthly Change is calculated by BHCM.

The Company’s NAV data is unaudited and net of all investment management and performance fees and all other fees and expenses payable by the Company. In addition, the Company’s investment in the Master Fund is subject to an operational services fee.

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.

Data as at 30 June 2025

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Quarterly and Annual contribution (%) to the performance of the NAV per Share of the Company’s USD Shares (net of fees and expenses) by asset class*

This information is given in USD ($)

Data as at 30 June 2025.

Quarterly and YTD figures are calculated by BHCM as at 30 June 2025, based on performance data for each period provided by the Company’s administrator, Northern Trust. Figures rounded to two decimal places.

Quarterly and Annual contribution (%) to the performance of the NAV per Share of the Company’s GBP Shares (net of fees and expenses) by asset class*

This information is given in GBP (£)

Data as at 30 June 2025

Quarterly and YTD figures are calculated by BHCM as at 30 June 2025, based on performance data for each period provided by the Company’s administrator, Northern Trust. Figures rounded to two decimal places.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Methodology and Definition of Contribution to Performance:

Attribution by asset class is produced at the instrument level, with adjustments made based on risk estimates.

\* The above asset classes are categorised as follows:

“Rates”: interest rates markets
“FX”: FX forwards and options
“Commodities”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds and CDS

“Equity”: equity markets including indices and other derivatives

“Digital Assets”: crypto-currencies including derivatives

“Discount Management”: buyback activity or shares from treasury

Performance and Economic Outlook Commentary

At the start of the year, President Trump’s policies and their potential knock-on effects were the main focus for markets. The President campaigned on higher tariffs, lower taxes, and tighter immigration control. Risk assets reacted positively to the President’s election victory and rapid tariff announcements were anticipated after Inauguration Day in January. Portfolio managers built positions to profit from higher tariffs, but the Administration focused on immigration at first. Trade policy took a few months to develop, culminating in the “Liberation Day” announcements in early April. The delay caused initial positions to incur losses that were largely made up after tariffs began to be implemented.

At the same time, the US pursued a big fiscal package, which extended the tax cuts from the President’s first term, targeted new tax cuts for individuals, and expanded investment incentives for businesses. Given the front-loading of the benefits and the deferral of the tax pay-fors, most economists estimate that there will be a small but noticeable boost to growth for the next couple years. Taking a step back, tariffs are estimated to result in approximately a 1% drag on growth and fiscal expansion partly makes up for that. If monetary policy eases as the markets predict, then the combination of fiscal and monetary policy easing could eventually balance the estimated subtraction from tariffs.

In the international realm, the President recalibrated established trading and geopolitical relationships, pressurised allies, took military action against Iran, and came to a trade entente with China. The historic headline volatility pushed markets around, but after six months, US stocks returned to record highs and other risks assets have performed well.

The macro impact of the material changes in US policies has been felt in the depreciation in the exchange value of the US dollar, as investors hedged some of their exposure to US markets. In addition, a hint of concern about US fiscal sustainability has been apparent in the edging up of the term premium in the long-end of the US bond market.

The next catalyst for the US rates market will depend importantly on the Federal Reserve. Chair Powell says the US economy is strong and monetary policy is in a good place. While there are some disagreements among his colleagues, the Fed seems content to keep policy modestly restrictive until tariff-related inflation works its way through consumer prices. Unless the labour market falters, rate cuts could be delayed to the likely displeasure of the President who believes rates should be substantially lower and who would seemingly like to install a new Fed Chair as soon as possible. In the second half of the year market participants will be carefully monitoring the Fed succession planning since it may have big implications for rates markets.

Elsewhere, other central banks are guiding policy to neutral rates. The ECB are indicating that the rate-cutting cycle may be near a conclusion. The Bank of England and other smaller developed market central banks like Bank of Canada, RBA, and RBNZ would appear to have more work to do to get to neutral. Meanwhile, the Bank of Japan is trying to inch rates up toward neutral while navigating a complicated political environment.

While it may have seemed like events involving the President have been central to international affairs, change has unfolded in other countries as well. The new conservative government in Germany promised a very un-German fiscal expansion centred on defence and infrastructure spending. China doubled down on championing state investment in key sectors like tech, clean energy, advanced manufacturing and strategic minerals. Instead of balancing trade, China is running a record trade surplus which promises continued friction with its trading partners.

With this landscape of macro dispersion and geopolitical uncertainty across all regions, markets are likely to remain extremely interesting.

Brevan Howard wishes to thank shareholders once again for their continued support. 

Brevan Howard Capital Management LP,

acting by its sole general partner,

Brevan Howard Capital Management Limited.

16 September 2025 

Independent Review Report to BH Macro Limited

Introduction

We have reviewed the accompanying interim unaudited financial statements of BH Macro Limited (the “Company”) as at 30 June 2025 which comprise the unaudited statement of assets and liabilities as at 30 June 2025 and the related unaudited statement of operations, unaudited statement of changes in net assets and unaudited statement of cash flows for the six-month period then ended, and the notes to the interim unaudited financial statements. Management is responsible for the preparation and fair presentation of this interim financial information in accordance with United States Generally Accepted Accounting Principles (“US GAAP”) and the Disclosure Guidance and Transparency Rules of the United Kingdom’s Financial Conduct Authority. Our responsibility is to express a conclusion on this interim financial information based on our review.

Scope of review

We conducted our review in accordance with International Standard on Review Engagements 2410, “Review of Interim Financial Information Performed by the Independent Auditor of the Entity”. A review of interim financial information consists of making inquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing and consequently does not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion.

Responsibilities of the directors

The directors are responsible for preparing the interim unaudited financial statements in accordance with the Disclosure Guidance and Transparency Rules of the United Kingdom’s Financial Conduct Authority.

In preparing the interim unaudited financial statements, the directors are responsible for assessing the company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the company or to cease operations, or have no realistic alternative but to do so.

Conclusion

Based on our review, nothing has come to our attention that causes us to believe that the accompanying interim unaudited financial statements do not give a true and fair view of the financial position of the entity as at 30 June 2025, and of its financial performance and its cash flows for the six-month period then ended in accordance with US GAAP and the Disclosure Guidance and Transparency Rules of the United Kingdom’s Financial Conduct Authority.

Use of our report

This report is made solely to the company in accordance with guidance contained in International Standard on Review Engagements 2410 “Review of Interim Financial Information Performed by the Independent Auditor of the Entity” issued by the International Auditing and Assurance Standards Board. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the company, for our work, for this report, or for the conclusions we have formed.

Ernst & Young LLP

Guernsey

16 September 2025

Unaudited Statement of Assets and Liabilities

As at 30 June 2025

See accompanying Notes to the Interim Unaudited Financial Statements.

Signed on behalf of the Board by:

Richard Horlick

Chair

John Le Poidevin

Director

16 September 2025

Unaudited Statement of Operations

For the period from 1 January 2025 to 30 June 2025

See accompanying Notes to the Interim Unaudited Financial Statements.
 

Unaudited Statement of Changes in Net Assets

For the period from 1 January 2025 to 30 June 2025

See accompanying Notes to the Interim Unaudited Financial Statements.

Unaudited Statement of Cash Flows

For the period from 1 January 2025 to 30 June 2025

See accompanying Notes to the Interim Unaudited Financial Statements.

Notes to the Interim Unaudited Financial Statements

For the period from 1 January 2025 to 30 June 2025

1.    The Company

BH Macro Limited (the “Company”) is a limited liability closed-ended investment company which was incorporated in Guernsey on 17 January 2007 and admitted to the Official List of the London Stock Exchange (“LSE”) later that year.

The Company’s ordinary shares are issued in Sterling and US Dollars.

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 Sterling and US Dollar-denominated Class B shares issued by Brevan Howard Master Fund Limited (the “Master Fund”) and, as such, the Company is directly and materially affected by the performance and actions of 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.

As such, the Interim Unaudited Financial Statements of the Company should be read in conjunction with the Financial Statements of the Master Fund which can be found on the Company's website, www.bhmacro.com.

At the date of these Interim Unaudited Financial Statements, there were four other feeder funds in operation in addition to the Company that invest all of their assets (net of working capital) in the Master Fund. Furthermore, other funds managed by the Manager invest some of their assets in the Master Fund as at the date of these Interim Unaudited Financial Statements.

Off-Balance Sheet, market and credit risks of the Master Fund’s investments and activities are discussed in the notes to the Master Fund’s Interim Unaudited Financial Statements. The Company’s investment in the Master Fund exposes it to various types of risk, which are associated with the financial instruments and markets in which the Brevan Howard underlying funds invest.

Market risk represents the potential loss in value of financial instruments caused by movements in market factors including, but not limited to, market liquidity, investor sentiment and foreign exchange rates.

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 Financial Services (Jersey) Law, 1998 and the Orders made thereunder.

The Manager also manages the Master Fund and in that capacity, as at the date of these Unaudited Interim Financial Statements, has delegated the function of investment management of the Master Fund to Brevan Howard Investment Management Limited, Brevan Howard (Hong Kong) Limited, Brevan Howard Investment Products Limited, Brevan Howard US Investment Management LP, Brevan Howard Private Limited, Brevan Howard (Tel Aviv) Limited and BH-DG Systematic Trading LLP.

In order to reflect the increased investment of the Company in the Master Fund as a result of the Initial Issue on 13 February 2023, the completion of which saw a total of 72,378,000 Sterling shares and 746,400 US Dollar shares issued at a price per share equal, respectively, to 431.5 pence per Sterling share and US$4.47 per US Dollar share, raising gross proceeds of approximately £312.3m for the Sterling share class and US$3.3m for the US Dollar share class, the Company and the Manager agreed to a number of amendments to the Management Agreement, including the terms on which the Company’s investment in the Master Fund could be redeemed in order to provide the Manager with more operational certainty regarding the Company’s investment in the Master Fund. Certain of these changes, which did not require Shareholder approval, were as follows:

The Company will ordinarily be required to provide 12 months’ notice of the redemption of all or some of its investment in the Master Fund, except as may be required to fund the Company’s specific working capital requirements and, up to a maximum amount equal to five per cent of each class of the Company’s holding of Master Fund shares every month, to finance on-market share buybacks. As such, any redemption of all or part of the Company’s investment in the Master Fund on a winding up of the Company or to finance a tender offer or a class closure resolution will be required to be on 12 months’ notice. In those cases, the Company would only receive the proceeds of redemption from the Master Fund (and, therefore, Shareholders would only receive payment from the Company) after the redemption date at the end of the 12-month notice period and the Company (and, therefore, Shareholders) would remain exposed to the investment performance of the Master Fund in the intervening period to that redemption date.

In other changes to the Management Agreement, the circumstances in which the Company can terminate the Management Agreement and redeem its investment in the Master Fund on less than 12 months’ notice includes certain “cause” events affecting the Manager, in which case the Company would be entitled to terminate the Management Agreement on 90 days’ notice and redeem its investment in the Master Fund on three months’ notice.

The annual buyback allowance fee arrangements introduced in 2021 will continue to apply in respect of repurchases and redemptions by the Company of its shares of each class in excess of a number equal to five per cent of shares in issue of the relevant class at the end of the prior calendar year.

See also note 8 for further details relating to redemptions from the Master Fund for discount management mechanisms.

3.    Significant accounting policies

These Interim Unaudited Financial Statements, which give a true and fair view, are prepared in accordance with United States Generally Accepted Accounting Principles and comply with The Companies (Guernsey) Law, 2008. The functional and reporting currency of the Company is US Dollars which is the currency of the primary economic environment in which the Company operates.

As further described in the Directors’ Report, these Interim Unaudited Financial Statements have been prepared using the going concern basis of accounting.

The Board continues to monitor the ongoing impact of various geopolitical events but has concluded that the biggest threat to the Company remains the failure of a key service provider to maintain business continuity and resiliency. The Board has assessed the measures in place by key service providers to maintain business continuity and, so far, has not identified any significant issues that affect the Company. The financial position of the Company has not been negatively impacted by geopolitical events and the Board is confident that these events have not impacted the going concern assessment of the Company.

Results of the February 2025 class closure resolutions are discussed in note 8.

The Company is an investment company which has applied the provisions of Accounting Standards Codification (“ASC”) 946.

Recent accounting pronouncements

The Company has not early adopted any standards, interpretations or amendments that have been issued but are not yet effective and is currently evaluating the potential impact on the Interim Unaudited Financial Statements.

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

Valuation of investments

The Company records its investment in the Master Fund based on the reported NAV as a practical expedient under ASC Topic 820. At 30 June 2025, the Company was the sole investor in the Master Fund’s ordinary Sterling and US Dollar Class B shares as disclosed in the table below. Within the table below, the Company’s investment in each share class in the Master Fund is included, with the overall total investment shown in the Unaudited Statement of Assets and Liabilities.

The valuation and classification of securities held by the Master Fund is discussed in the notes to the Master Fund’s Audited 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 the Interim Unaudited Financial Statements in accordance with United States Generally Accepted Accounting Principles 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 these Interim Unaudited 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.

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 buybacks, 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

Transactions reported in the Unaudited Statement of Operations are translated into US Dollar amounts at the date of such transactions. Assets and liabilities denominated in foreign currencies are translated into US Dollars at the exchange rate at the reporting date. The share capital and other capital reserves are translated at the historic rate ruling at the date of the transaction.

Investment securities and other assets and liabilities of the Sterling share class are translated into US Dollars, the Company's reporting currency, using exchange rates at the reporting date. The Unaudited Statement of Operations’ items of the Sterling share class are converted into US Dollars using the average exchange rate. Exchange differences arising on translation are included in foreign exchange gains or losses in the Unaudited Statement of Operations. This foreign exchange adjustment has no effect on the value of net assets allocated to the individual share classes.

Cash and bank balances

Cash and bank balances comprise demand deposits.

Allocation of results of the Master Fund

Net realised and unrealised gains or losses of the Master Fund are allocated to the Company’s share classes based upon the percentage ownership of the equivalent Master Fund class.

Treasury shares

Where the Company has purchased its own share capital, the consideration paid, which includes any directly attributable costs, has been recognised as a deduction from equity Shareholders’ funds through the Company’s reserves.

Where such shares have been 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. Where the Company cancels treasury shares, no further adjustment is required to the share capital account of the Company at the time of cancellation. Shares held in treasury are excluded from calculations when determining NAV per share as detailed in note 7 and in the ‘Financial highlights’ in note 9.

Refer to note 5 for details of sales of shares from treasury or purchases by the Company of its share capital.

Segment reporting

The Chief Operating Decision Maker, which is the Board, is of the opinion that the Company is engaged in a single segment for the current and comparative period presented. The financial information used by the Chief Operating Decision Maker to manage the Company presents the business as a single segment and concludes that the segment measure is the net increase/(decrease) in net assets resulting from operations.

4.  Management Agreement and administration agreement

Management fee and performance fee

The Company has entered into the Management Agreement with the Manager to manage the Company’s investment portfolio. The management fee charged to the Company is reduced by the Company’s share of management fees incurred by the Master Fund through any underlying investments of the Master Fund that share the same manager as the Company. Effective from 1 July 2021, the management fee charged was 1/12 of 1.5% per month of the NAV. The investment in the Class B shares of the Master Fund is not subject to management fees, but is subject to an operational services fee payable to the Manager of 1/12 of 0.5% per month of the Master Fund NAV, attributable to the Company’s investment in the Master Fund. On 23 January 2023, the Management Agreement between the Company and the Manager was amended. Please see note 2 for further information.

During the six month period ended 30 June 2025, US$14,664,469 (six month period ended 30 June 2024:US$14,704,921) was earned by the Manager as net management fees. At 30 June 2025, US$2,581,761 (31 December 2024: US$2,667,015) of the management fee remained outstanding.

The Manager is also entitled to an annual performance fee for both share classes. The performance fee is equal to 20% of the appreciation in the NAV per share of that class during the period of twelve months ending on 31 December in each year  (the “calculation period”) which is above the base NAV per share of that class, other than that arising to the remaining shares of the relevant class from any repurchase, redemption or cancellation of any share in the calculation period. 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 business day preceding the last business day of each calculation period. Within 5 business days of the publication of the final NAV of each class of shares as at 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. Any accrued performance fee in respect of shares which are converted into another share class prior to the date on which the performance fee would otherwise have become payable in respect of those shares will crystallise and become payable on the date of such conversion. The performance fee is accrued on an ongoing basis and is reflected in the Company’s published NAV. During the six month period ended 30 June 2025, US$ Nil (six month period ended 30 June 2024:US$Nil) was earned by the Manager as performance fees. At 30 June 2025, US$ Nil (31 December 2024: US$14,536,362) 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 notice period for termination of the Management Agreement without cause by either the Company or the Manager is 12 months. The Management Agreement was amended on 23 January 2023. See note 2 for further details.

Administration fee

The Company has appointed Northern Trust International Fund Administration Services (Guernsey) Limited as its administrator and corporate secretary (the “Administrator” and “Corporate Secretary”) pursuant to an administration agreement. The Administrator is paid fees based on the NAV of the Company, payable quarterly in arrears. 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 £6,000 (31 December 2024: £6,000) for certain additional administration services. The Administrator is entitled to be reimbursed for out-of-pocket expenses incurred in the course of carrying out its duties as Administrator. During the six month period ended 30 June 2025, US$150,569 (six-month period ended 30 June 2024: US$150,875) was earned by the Administrator as administration fees. The amounts outstanding are disclosed on the Unaudited Statement of Assets and Liabilities.

5.  Share capital

Issued and authorised share capital

The Company has the power to issue an unlimited number of ordinary shares with no-par value and an unlimited number of shares with a par value. Shares may be divided into at least two classes denominated in Sterling and US Dollars. Further issues of shares may be made in accordance with the Articles of Incorporation (the “Articles”). Shares may be issued in differing currency classes of ordinary redeemable shares. The following tables show the movement in ordinary shares.

For the period from 1 January 2025 to 30 June 2025: