‌31 DEC 2024


BH MACRO LIMITED

Annual Report and Audited

Financial Statements 2024


Brevan Howard Capital Management LP, the manager and commodity pool operator of BH Macro Limited, has filed a claim of exemption with the Commodity Futures Trading

Commission in respect of BH Macro Limited pursuant to Section 4.7 of the CFTC regulations.


‌Contents

1 Chair’s Statement

4 Board Members

5 Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges

6 Strategic Report

10 Directors’ Report

18 Statement of Directors’ Responsibility in respect of the Annual Report and Audited Financial Statements

19 Directors’ Remuneration Report

20 Report of the Audit Committee

23 Manager’s Report

28 Independent Auditor’s Report to the Members of BH Macro Limited

  1. Audited Statement of Assets and Liabilities

  2. Audited Statement of Operations

  3. Audited Statement of Changes in Net Assets

  4. Audited Statement of Cash Flows

  5. Notes to the Audited Financial Statements

  1. Historic Performance Summary

  2. Affirmation of the Commodity Pool Operator

  3. Glossary of Terms and Alternative Performance Measures

IBC Company Information


CHAIR’S STATEMENT



I am pleased to present the Annual Report for BH Macro Limited (the “Company”) for the year ended 31 December 2024. The Company invests in Brevan Howard Master Fund Limited (the “Master Fund”) whose investment objective is to generate consistent long-term appreciation through active leveraged trading and investment on a global basis. This has led to diversification from, and low correlation to, bond and equity markets, giving returns with lower volatility than equity markets.


During 2024, the net asset value (“NAV”) per share of the Sterling Class shares rose by 5.86%, and that of the US Dollar Class shares by 4.92%. The share price performance experienced by the Company’s shareholders (the “Shareholders”) was higher, namely, 10.63% for the Sterling Class shares and 10.61% for the US Dollar Class shares. This was in part, because the board of directors of the Company (the “Board”), in conjunction with

JP Morgan Cazenove, our broker, continued with a substantial buyback programme throughout the year, spending some £116 million in the face of persistent selling. In December 2023, the average discount for the month at which Sterling Class shares were repurchased was 11.1% and, in December 2024, the discount had narrowed, such that the average discount for the month at which Sterling Class shares were repurchased was 7.8%. These repurchases were accretive for the Shareholders, contributing 0.98% to the Sterling class NAV per share for the calendar year.


The Board is very conscious that, despite this apparent success, and, indeed, relative to many closed-ended funds, a modest discount above 5% remains unsatisfactory for the Company over a long-term horizon.


The additional volatility created by moving from premia to discounts for the share price undermines one of the key virtues of the Master Fund. We continue to maintain close dialogue with all our major Shareholders to encourage any substantial sales

to be coordinated with the Board and our broker, to ensure the most efficient management of the relationship between NAV per share and share price.


The average share price discount to NAV per share for both share classes (Sterling and US Dollar) for 2024 was above 8% and consequently class closure votes were called for in

respect of both share classes. I am pleased to say that, at the subsequent Sterling Class extraordinary general meeting (“EGM”) held on 18 February 2025, the Sterling Class Shareholders continued to show their support for the Company and backed the recommendation of the Board and voted against class

closure for the Sterling Class shares, with 98.22% voting against.

The EGM for the US Dollar Class shares was due to be held on 18 February 2025 but was not quorate, so the EGM was

adjourned. The reconvened EGM was held on 25 February 2025 and the USD Class Shareholders also voted against class closure, with 99.86% voting against.


Last year was marked by significant global political and economic upheavals, which have influenced financial markets. Diverging growth and inflation outlooks globally increased uncertainties around the timing and size of monetary and fiscal policies changes through much of the year. In addition, President Trump’s re-election campaign, for the 47th President of the United States, trailed a raft of changes to US domestic and international policies which supported his Make America

Great Again agenda. Once President Trump was inaugurated on 20 January 2025, he immediately embarked on implementing them. As a consequence, the US economy and US policy may well be very different from recent experience, with much greater volatility and divergence between markets globally. This creates both opportunities and risks for your Company, as was seen by the strong return in November 2024.


In the UK, we saw the election of Sir Keir Starmer and the Labour Party with a very large electoral majority in July 2024, but a relatively small percentage of the electoral vote. Some expected this to usher in a period of political and financial stability for the UK. Unfortunately, early events appear to suggest that financial stability remains, for the present at least, elusive and the early track record is not encouraging. The new government has already experienced both scandals and resignations. This has created uncertainty, both at an individual level and for the wealth management industry in the United Kingdom.


Against this background, the Board retains full confidence in Brevan Howard Capital Management LP (the “Manager”). During the course of 2024, the Manager’s business continued to flourish with assets under management of approximately USD 35 billion, and the Manager’s team being strengthened both at the portfolio manager level and in terms of support staff.


The Board has continued its regular dialogue with the Manager, reviewing the Master Fund’s trading strategies and risk exposure and satisfying itself that the Manager’s analytical trading and

risk management capabilities continue to be maintained at a high standard.


CHAIR’S STATEMENT CONTINUED


The Board has remained reassured that these continuing developments in the Manager’s operations are supportive of the Manager’s core activities and are positive for the services which the Manager provides to the Company.


The Company and the Manager have continued to pursue an active programme for public communication and investor relations. Up-to-date performance information is provided

through NAV per share data published monthly on a definitive basis and weekly on an estimated basis, as well as through monthly reports and shareholder reports. All these reports and further information about the Company are available on its website (www.bhmacro.com).


The Board is wholly independent of the Brevan Howard group, is very closely focused on safeguarding the interests of Shareholders and believes that the Company observes high standards of corporate governance. The Board continues to operate well with a high level of engagement and a close working relationship between the diverse members of the Board. We are pleased to say that we are in compliance with all current regulations and recommendations relating to board composition.

Conclusion

In the current environment of increased political and economic tensions, the Company remains more than ever committed to its investment strategy, aiming to deliver consistent returns to Shareholders. I would like to thank our Shareholders for their continued support and trust in the Company’s strategy and management.


Richard Horlick

Chair


27 March 2025



STERLING SHARES

SHARE PRICE VS NET ASSET VALUE


550


Share Price

Net Asset Value

500


450


Share Price and Net Asset Value (pence)

400


350


300


250


200


150


Dec-06

Dec-07

Dec-08

Dec-09

Dec-10

Dec-11

Dec-12

Dec-13

Dec-14

Dec-15

Dec-16

Dec-17

Dec-18

Dec-19

Dec-20

Dec-21

Dec-22

Dec-23

Dec-24

100


US DOLLAR SHARES

SHARE PRICE VS NET ASSET VALUE

5.5


Share Price

Net Asset Value

5.0


4.5


Share Price and Net Asset Value (US$)

4.0


3.5


3.0


2.5


2.0


1.5


Dec-06

Dec-07

Dec-08

Dec-09

Dec-10

Dec-11

Dec-12

Dec-13

Dec-14

Dec-15

Dec-16

Dec-17

Dec-18

Dec-19

Dec-20

Dec-21

Dec-22

Dec-23

Dec-24

1.0


For illustrative purposes, all share prices and Net Asset Values from 7 February 2023 are adjusted by a factor of 10 to reflect the 10 for 1 share sub-division (approved at the EGM held on 6 February 2023) when dealings commenced on 7 February 2023.


BOARD MEMBERS


The Directors of the Company during the year and as at the date of signing, all of whom are non-executive, are listed below:


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.

DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

BH MACRO LIMITED, ANNUAL REPORT AND AUDITED

FINANCIAL STATEMENTS 2024 5



DISCLOSURE OF DIRECTORSHIPS IN PUBLIC COMPANIES LISTED ON RECOGNISED STOCK EXCHANGES

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



EXCHANGE

RICHARD HORLICK


Riverstone Energy Limited

London

VH Global Energy Infrastructure Plc

London



CAROLINE CHAN


NextEnergy Solar Fund Limited

London



JULIA CHAPMAN


GCP Infrastructure Investments Limited

London

Henderson Far East Income Limited

London

The International Stock Exchange Group Limited

The International Stock Exchange



BRONWYN CURTIS


Pershing Square Holdings Limited

London and Euronext Amsterdam

TwentyFour Income Fund Limited

London



JOHN LE POIDEVIN


International Public Partnerships Limited

London

Super Group (SGHC) Limited

New York

TwentyFour Income Fund Limited

London


STRATEGIC REPORT

For the year ended 31 December 2024



The Directors submit to the Shareholders their Strategic Report of the Company for the year ended 31 December 2024.


The Strategic Report provides a review of the business for the financial year and describes how risks are managed. In

addition, the report outlines key developments and the financial performance of the Company during the financial year and the position at the end of the year, and discusses the main factors that could affect the future performance and financial position of the Company.


BUSINESS MODEL AND STRATEGY

Investment Objective and Company Structure

The Company is organised as a feeder fund that invests solely in the ordinary Sterling and US Dollar-denominated Class B shares issued by the Master Fund – 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. Further details on the Company’s investment objective and policy can be found in the Directors’ Report on page 10.


Sources of Cash and Liquidity Requirements

As the Master Fund is not expected to pay dividends, the Company expects that the primary source of its future liquidity will depend on the periodic redemption of shares from the Master Fund and borrowings in accordance with its leverage policies.


BUSINESS ENVIRONMENT

Principal Risks and Uncertainties

The Board is responsible for establishing and maintaining an effective risk management and internal control framework and for reviewing its effectiveness. The nature and extent of the principal and emerging risks which have been determined by the Board in order to meet the Company’s long term strategic objectives and the steps which are taken by the Board to manage or mitigate them are as follows:


thereto and the expectations of stakeholders regarding relevant disclosures around this set of risks, which have continued to develop over recent years. The Company has no employees and does not own any physical assets and is therefore not directly exposed to climate change risk. The Manager monitors developments in this area and industry best practice on behalf of the Board, where appropriate, and regularly assesses the trading activity of the underlying Master Fund and sub-funds to ascertain whether ESG factors are appropriate or applicable to such funds. The Board has also made enquiries of key service providers in respect of their assessment of how climate change and ESG risk impacts their own operations and has been assured that this has no impact on their ability to continue to supply their services to the Company.


Board Diversity

When appointing new directors and reviewing the Board composition, the Board considers, amongst other factors, diversity, balance of skills, knowledge, gender and experience. At 31 December 2024, the Board believes that it was fully compliant in terms of UKLR 6.6.6(9) in relation to board diversity. There have been no changes to the Board’s composition since that date. We have set out additional details in the table below:


NAME

GENDER IDENTITY

ETHNICITY

Richard Horlick

Male

White British

Caroline Chan

Female

White Asian British

Julia Chapman

Female

White British

Bronwyn Curtis

Female

White European

John Le Poidevin

Male

White British

Environmental, Social and Governance (ESG) Factors

The Company does not have employees, it does not own physical assets and its Board is formed exclusively of non-executive Directors. As such, the Company does not undertake any material activity which would directly affect the environment.


On a regular basis, the Manager assesses the trading activity of the investment funds it manages, including the Master Fund, to ascertain whether ESG factors are appropriate or applicable to such funds.

Most ESG principles have been envisaged in the context of equity or corporate fixed income investment and therefore are not readily applicable to most types of instruments traded by the Master Fund.


The Manager continues to monitor developments in this area and seeks to implement industry best practice where applicable.

The Manager is a signatory to the UN Principles for Responsible Investment and, on a regular basis, assesses the trading activities of the Master Fund as to whether ESG, the UN principles and sustainability risks under the EU Sustainable Finance Disclosure

Regulation are appropriate, relevant, or applicable to the Master Fund, considering the structure of relevant Brevan Howard managed funds and the applicable trading universe.


The Administrator is a wholly-owned indirect subsidiary of Northern Trust Corporation, which has adopted the UN Global Compact principles, specifically: implementing a precautionary approach to addressing environmental issues through effective programmes, undertaking initiatives that demonstrate the acknowledgement of environmental responsibility, promoting and using environmentally sustainable technologies, and UN Sustainable Development Goals, specifically: using only energy efficient appliances and light bulbs, avoiding unnecessary use and waste of water, implementing responsible consumption and production, and taking action to reduce climate change.


POSITION AND PERFORMANCE

Packaged Retail and Insurance Based Investment Products (“PRIIPs”)

From 1 January 2021, the Company became subject to the UK version of Regulation (EU) No 1286/2014 on key information documents for PRIIPs, which is part of UK law by virtue of

the European Union (Withdrawal) Act 2018, as amended and supplemented from time to time, including by the Packaged Retail and Insurance-based Investment Products (Amendment) (EU Exit) Regulations 2019 (the “UK PRIIPs Laws”). In accordance with the requirements of the UK PRIIPs Laws, the Manager published the latest standardised three-page Key Information Document (a “KID”) for the Company’s Sterling shares and another for its US Dollar shares on

10 January 2025 (based on data as at 29 December 2023). Each KID is available on the Company’s website https://www.bhmacro.com/ regulatory-disclosures/ and will be updated at least every 12 months.


The Manager is the PRIIPs manufacturer for each KID and the Company is not responsible for the information contained in each KID. The process for calculating the risks, cost and potential returns is prescribed by regulation. The figures in the KID, relating to the relevant share class, may not reflect the expected returns for that share class of the Company and anticipated returns cannot be guaranteed.


Performance

Key Performance Indicators (“KPIs”)

At each quarterly Board meeting, the Directors consider a number of performance measures to assess the Company’s success in achieving its objectives. Below are the main KPIs which have been identified by the Board for determining the progress of the Company:


STRATEGIC REPORT CONTINUED


POSITION AND PERFORMANCE (CONTINUED)

Performance (continued)

  1. NAV

    The Company’s NAV can be considered to have appreciated from £1.00* per Sterling share and US$1.00* per US Dollar share at launch to £4.35 per Sterling share and US$4.48 per US Dollar share at the 2024 financial year end. This increase in NAV is largely attributable to the Company’s long-term growth strategy and returns. The Directors and the Manager are confident that the current strategy will continue to return positive levels of growth over the long-term.


    * The launch price is adjusted by a factor of 10 to reflect the 10 for 1 share sub-division, which occurred on 7 February 2023.


  2. Share Prices, Discount/Premium

    The Company’s shares traded at an average discount of 11.24% and 10.99% to NAV for its Sterling shares and US Dollar shares respectively for the year ended 31 December 2024.


  3. Ongoing Charges

The Company’s ongoing charges ratio, which includes both Performance fees and Master Fund charges, for the financial year ended 2024 as compared to the ongoing charges ratio for the financial year ended 2023 has increased from 2.16% to 2.95%

on the Sterling shares and increased from 2.14% to 3.06% on the US Dollar shares, primarily due to changes in the level of the Manager’s performance fee as a result of relative performance.

The Company reports an aggregated view of the charges for both the Sterling shares and US Dollar shares. Further details are on page 14 in the Directors’ Report.

Gain/(Loss) per Share

Total gain/(loss) per share is based on the net total gain on ordinary activities after tax of £68,166,209 for the Sterling share class and a net gain of US$5,680,548 for the US Dollar share class (2023: loss of £32,535,028 and US$1,540,012 respectively).



YEAR ENDED

31.12.24


YEAR ENDED

31.12.23


PER SHARE

‘000

PER SHARE

‘000

Net total gain/(loss)for Sterling shares


17.91p


£68,166


(9.21p)


(£32,535)

Net total gain/ (loss) for US Dollar shares


19.88c


US$5,681


(5.48c)


(US$1,540)

These calculations are based on the weighted average number of shares in issue for the year ended 31 December 2024, resulting in 380,616,423 Sterling shares and 28,572,373 US Dollar shares (2023: Sterling shares: 353,094,861 and US Dollar shares: 28,097,148). The 10 for 1 share sub-division approved at the EGM held on 6 February 2023 has been applied throughout the year for the 2023 weighted average share figures.

NAV

The NAV per Sterling share, as at 31 December 2024 was £4.35 based on net assets of £1,487,501,308 divided by the number of Sterling shares in issue of 342,211,496 (2023: £4.11).


The NAV per US Dollar share, as at 31 December 2024 was US$4.48 based on net assets of US$123,110,618 divided by number of US Dollar shares in issue of 27,478,960 (2023: US$4.27).


Dividends

No dividends were paid during the year (2023: US$ Nil).


Viability Statement

The investment objective of the Company is to seek to generate consistent long-term capital appreciation through an investment policy of investing all of its assets (net of funds required for its short-term working capital) in the Master Fund.


The Directors have assessed the viability of the Company over the three-year period to 31 December 2027. The Viability Statement covers a period of three years, which the Directors consider sufficient given the inherent uncertainty of the investment world and the specific risks to which the Company is exposed.


The continuation of the Company in its present form is largely dependent on the management agreement between the Company and the Manager (the “Management Agreement”) remaining in place. Since January 2023, the Management Agreement has been generally terminable on a twelve month notice period save for certain exceptions. To ensure that the Company maintains a constructive and informed relationship with the Manager, the Directors meet regularly with the Manager to review the Master Fund’s performance, and through the Management Engagement Committee, the Directors review the Company’s relationship with the Manager and the Manager’s performance and effectiveness. The Directors currently know of no reason why either the Company or the Manager might serve notice of termination of the Management Agreement over the period of this Viability Statement.


The Company’s assets exceed its liabilities by a considerable margin. Furthermore, the majority of the Company’s most significant expenses, being the fees owing to the Manager and to the Administrator, fluctuate by reference to the Company’s investment performance and NAV. The Company is able to meet its expenses by redeeming shares in the Master Fund as necessary, as and when required to enable the Company to meet its ordinary course operating expenses.



POSITION AND PERFORMANCE (CONTINUED)

Viability Statement (continued)

The Company’s investment performance depends upon the performance of the Master Fund and the Manager as manager of the Master Fund. The Directors, in assessing the viability of the Company, pay particular attention to the risks facing the Master Fund. The Manager operates a risk management framework, which is intended to identify, measure, monitor, report and,

where appropriate, mitigate key risks identified by it or its affiliates in respect of the Master Fund.


The Company’s shares largely traded at a premium up until the middle of 2023, since when, in common with the broader

investment trust sector, the shares have traded at a discount. In the event of any downward pressure on the Company’s share prices, the Company is able to consider resuming active discount management actions, including share buybacks, so that as far as

possible the share prices would more closely reflect the Company’s underlying performance. Share buybacks commenced during December 2023 and have continued throughout 2024 and into 2025 in the face of persistent selling. The Company is able to

meet the costs of share buybacks by redeeming shares in the Master Fund. Pursuant to the Management Agreement, there are restrictions on the amount of Master Fund shares which the Company may redeem in a given period; and the Company may

incur fees to the Manager in certain circumstances. The Company is also subject to the Shareholders’ authority for share purchases in the market approved at the AGM held in June 2024. The Company may redeem up to five per cent of the Company’s holding of Master Fund shares on a monthly basis to fund its on-market share buybacks; and it may, no more than once a year, on three months’ notice, redeem part of its interest in the Master Fund representing up to 10 per cent of each class of the Company’s shares held in the Master Fund, to the extent required to enable the Company to make an annual redemption offer (as defined in the Articles). Refer to notes 2 and 8 in the Audited Financial Statements for details of the Company’s discount management mechanisms.


The Directors have carried out a robust assessment of the risks and, on the assumption that the risks are managed or mitigated in the ways noted above, the Directors have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the three- year period of their assessment.

Section 172, Companies Act 2006

Although the Company is domiciled and resident in Guernsey, the Board has considered the guidance set out in the Association of Investment Companies (the “AIC”) Code in relation to Section 172 of the Companies Act 2006 in the UK. Section 172 of the Companies Act requires that the Directors of the Company act in the way they consider, in good faith, is most likely to promote the success of the Company for the benefit of all stakeholders, including suppliers, customers and Shareholders.


Key Service Providers

The Company does not have any employees and, as such, the Board delegates responsibility for its day-to-day operations to a number of key service providers. The activities of each service provider are closely monitored by the Board and they are required to report to the Board at set intervals.


In addition, a formal review of the performance of each service provider is carried out once a year by the Management Engagement Committee.


The Manager

The Manager is a leading and well-established hedge fund manager. In exchange for its services, a fee is payable as detailed in note 4 to the Audited Financial Statements.


The Board considers that, under the Company’s current investment objective, the interests of Shareholders, as a whole, are best served by the ongoing appointment of the Manager.


Administrator and Corporate Secretary

Northern Trust International Fund Administration Services (Guernsey) Limited is the Administrator and the Company’s corporate secretary (the “Corporate Secretary”). Further details on fee structure are included in note 4 to the Audited Financial Statements.


Signed on behalf of the Board by:


Richard Horlick

Chair


John Le Poidevin

Director


27 March 2025


DIRECTORS’ REPORT

31 December 2024



The Directors submit their Annual Report together with the Company’s Audited Statement of Assets and Liabilities, Audited Statement of Operations, Audited Statement of Changes in Net Assets, Audited Statement of Cash Flows and the related notes for the year ended 31 December 2024. The Directors’

Report together with the Audited 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 Audited Statement of Operations on page 34. The Directors do not recommend the payment of a dividend.


SHARE CAPITAL

In the prior year, in February 2023, the Company completed an initial issue (the “Initial Issue”), comprising an initial placing (the “Placing”), intermediaries offer (the “Intermediaries Offer”) and offer for subscription (the “Offer for Subscription”), together with an issuance programme for subsequent issues, which remained open until 23 January 2024 (the “Issuance Programme”), in respect of the issue of up to an aggregate of 220 million shares (based on a 10:1 share sub-division).


The completion of the Initial Issue on 13 February 2023 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.


At the Annual General Meeting held on 5 June 2024, Shareholders approved an Ordinary Resolution to allow the Directors to have the power to issue further shares totalling 119,634,098 Sterling shares and 9,820,829 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 53,804,834 Sterling shares and 4,416,869 US Dollar shares.


During the 2024 financial year, the Company has bought back 31,740,133 Sterling class shares on the London Stock Exchange with prices ranging from £3.28 to £4.09 per share. The Company did not buyback any US Dollar class shares in the financial year. The repurchased shares are held in Treasury.


The number of shares in issue at the year end is disclosed in note 5 of the Audited Financial Statements.



GOING CONCERN

The Directors, having considered the Principal and Emerging Risks and Uncertainties to which the Company is exposed, which are listed on pages 6 and 7 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 and, accordingly, consider that it is appropriate that the Company continues to adopt the going concern basis of accounting for these Audited 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 this has led to a narrowing of the discount at which the Company’s shares trade, firstly to around 11-12% by 31 December 2023 and down to around 6-7% at 31 December 2024. 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 and there is therefore no impact on the cash available to cover the Company’s central operating costs. As announced on 17 June 2024, the Manager temporarily waived the redemption fee on buybacks that normally applied above a certain level (by increasing the 2024 buyback allowance by 16,308,970 this being the unused Sterling shares buyback allowance for 2023) and so there were no additional charges for effecting these buybacks in the 2024 financial year other than the transaction fees paid to the Company’s brokers.


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.


The Directors have therefore concluded that there are no significant cash flow or other risks in relation to preparing the Annual 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 page 4.


The Board meets at least four times a year and between these formal meetings, there is regular contact with the Manager, JPMorgan Cazenove (the “Corporate Broker”) and the Northern Trust International Fund Administration Services (Guernsey) Limited (the “Administrator”). The Directors are kept fully informed of investment and financial controls, and other matters that are relevant to the business of the Company are brought

to the attention of the Directors. The Directors also have access to the Administrator and, where necessary in the furtherance of their duties, to independent professional advice at the expense of the Company.


For each Director, the tables below set out the number of Board meetings and Audit Committee meetings they were entitled

to attend during the year ended 31 December 2024 and the number of such meetings attended by each Director.


SCHEDULED BOARD MEETINGS

HELD

ATTENDED

Richard Horlick

4

4

Caroline Chan

4

4

Julia Chapman

4

4

Bronwyn Curtis

4

4

John Le Poidevin

4

4


AUDIT COMMITTEE MEETINGS

HELD

ATTENDED

John Le Poidevin

4

4

Caroline Chan

4

4

Julia Chapman

4

4

Bronwyn Curtis

4

4


DIRECTORS’ REPORT CONTINUED


THE BOARD (CONTINUED)

REMUNERATION AND NOMINATION COMMITTEE MEETINGS


HELD


ATTENDED

Richard Horlick

1

1

Caroline Chan

1

1

Julia Chapman

1

1

Bronwyn Curtis

1

1

John Le Poidevin

1

1


MANAGEMENT ENGAGEMENT COMMITTEE MEETINGS


HELD


ATTENDED

Richard Horlick

1

1

John Le Poidevin

1

1

Caroline Chan

1

1

Julia Chapman

1

1

Bronwyn Curtis

1

1

In addition to these scheduled meetings, seventeen ad-hoc committee meetings were held during the year ended

31 December 2024, which were attended by those Directors available at the time.


The Board has reviewed the composition, structure and diversity of the Board, succession planning, the independence of the Directors and whether each of the Directors has sufficient

time available to discharge their duties effectively. The Board confirms that it believes that it has an appropriate mix of skills and backgrounds, that all of the Directors are considered to be independent in accordance with the provisions of the AIC Code and that all Directors have the time available to discharge their duties effectively.


The Chair’s and the other Directors’ tenures are limited to nine years, which is consistent with the principles listed in the

UK Corporate Governance Code. The Board is in the final stages of an externally facilitated recruitment exercise to replace John Le Poidevin as a director and expect to make an announcement to the market in due course. John Le Poidevin will step down from the Board at the 2026 AGM. OSA Recruitment were used during the recruitment process.


Notwithstanding that some of the Directors sit on the boards of a number of other listed companies, the Board notes that each appointment is non-executive and that listed investment companies generally have a lower level of complexity and time commitment than trading companies. Furthermore, the Board notes that attendance of all Board and Committee meetings during the year is high and that each Director has always shown the time commitment necessary to discharge fully and effectively their duties as a Director.

DIRECTORS’ INTERESTS

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




STERLING SHARES


31.12.24

31.12.23

Richard Horlick

200,000

200,000

Caroline Chan

11,587

11,587

Julia Chapman

6,260

6,260

Bronwyn Curtis

33,173

33,174

John Le Poidevin

116,940

75,620




US DOLLAR

SHARES


31.12.24

31.12.23

Richard Horlick

20,000

20,000

Caroline Chan

Nil

Nil

Julia Chapman

Nil

Nil

Bronwyn Curtis

Nil

Nil

John Le Poidevin

Nil

Nil


DIRECTORS’ INDEMNITY

Directors’ and Officers’ liability insurance cover is in place in respect of the Directors.


The Directors entered into indemnity agreements with the Company which provide, subject to the provisions of The Companies (Guernsey) Law, 2008, for an indemnity for Directors in respect of costs which they may incur relating to the defence of proceedings brought against them arising out of their positions as Directors, in which they are acquitted, or judgement is given

in their favour by the Court. The agreement does not provide for any indemnification for liability which attaches to the Directors in connection with any negligence, unfavourable judgements and breach of duty or trust in relation to the Company.



CORPORATE GOVERNANCE

To comply with the UK Listing Regime, the Company must comply with the requirements of the UK Corporate Governance Code. The Company is also required to comply with the Code of Corporate Governance issued by the Guernsey Financial Services Commission.


The Company is a member of the AIC and by complying with the AIC Code it is deemed to comply with both the UK Corporate Governance Code and the Guernsey Code of Corporate Governance.


To ensure ongoing compliance with the principles and the recommendations of the AIC Code, the Board receives and reviews a report from the Corporate Secretary, at each quarterly meeting, identifying whether the Company is in compliance and recommending any changes that are necessary.


The Company has complied with the requirements of the AIC Code and the relevant provisions of the UK Corporate Governance Code, except as set out below.


The UK Corporate Governance Code includes provisions relating to:


Further to the above, during the year ended 31 December 2024, the Committee performed a specific evaluation of the performance of the Independent Auditor. This was supported by the results of questionnaires completed by the Committee covering areas such as the quality of the audit team, business

understanding, audit approach and management. There were no significant adverse findings from the 2024 evaluation.


Audit Fees and Safeguards on Non-Audit Services

The table below summarises the remuneration paid by the Company to KPMG CI for audit and non-audit services during the years ended 31 December 2024 and 31 December 2023.



YEAR ENDED 31.12.24

£

YEAR ENDED 31.12.23

£

Annual audit

73,800

70,200

Interim review

37,275

35,500

The Audit Committee has examined the scope and results of the external audit, its cost effectiveness and the independence and objectivity of the Independent Auditor, with particular regard to non-audit fees, and considers KPMG CI, as Independent Auditor, to be independent of the Company. Further, the Committee

has obtained KPMG CI’s confirmation that the services provided by other KPMG member firms to the wider Brevan Howard organisation do not prejudice its independence.


FRC Audit Committees and External Audit Minimum Standard During 2024 the Committee conducted an assessment of compliance with the FRC Audit Committees and External Audit Minimum Standard, 2023. The Committee was satisfied that

its processes achieved a high level of adherence and where relevant these standards have been incorporated into its Terms of Reference.


Internal Control

The Committee has also reviewed the need for an internal audit function. The Committee has concluded that the systems and procedures employed by the Manager and the Administrator, including their own internal audit functions, currently provide sufficient assurance that a sound system of internal control, which safeguards the Company’s assets, is maintained. An internal audit function specific to the Company is therefore considered unnecessary.


REPORT OF THE AUDIT COMMITTEE CONTINUED


KEY ACTIVITIES IN 2024 (CONTINUED)

Internal Control (continued)

The Committee examined externally prepared assessments of the control environment in place at the Manager and the Administrator, with the Manager providing an International

Standard on Assurance Engagements (“ISAE 3402”) report and the Administrator providing a Service Organisation Control (“SOC1”) report. No significant findings have been noted during the year.


Conclusion and Recommendation

After reviewing various reports such as the operational and risk management framework and performance reports from the Manager and the Administrator, consulting where

necessary with KPMG CI, and assessing the significant Audited Financial Statements’ issues noted in the Report of the Audit Committee, the Committee is satisfied that the Audited Financial Statements appropriately address the critical judgements and key estimates (both in respect of the amounts reported and the disclosures). The Committee is also satisfied that the significant assumptions used for determining the value of assets and liabilities have been appropriately scrutinised and challenged and are sufficiently robust. At the request of the Board, the Audit Committee considered and was satisfied that the 2024 Annual Report and Audited Financial Statements are fair, balanced

and understandable and provide the necessary information for Shareholders to assess the Company’s performance, business model and strategy.

The Independent Auditor reported to the Committee that no unadjusted material misstatements were found in the course of its work. Furthermore, both the Manager and the Administrator confirmed to the Committee that they were not aware of any unadjusted material misstatements including matters relating to the presentation of the Audited Financial Statements. The Committee confirms that it is satisfied that the Independent Auditor has fulfilled its responsibilities with diligence and professional scepticism.


For any questions on the activities of the Committee not addressed in the foregoing, a member of the Audit Committee remains available to attend each Annual General Meeting to respond to such questions.


John Le Poidevin

Audit Committee Chair 27 March 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 appreciated by 4.92% in 2024 and the NAV per share of the GBP shares appreciated by 5.86%.


The month-by-month NAV performance of each currency class of the Company since it commenced operations in 2007 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)

2.19

6.18

0.40

(0.76)

1.68

(0.47)

12.04

2012

0.90

0.25

(0.40)

(0.43)

(1.77)

(2.23)

2.36

1.02

1.99

(0.36)

0.92

1.66

3.86

2013

1.01

2.32

0.34

3.45

(0.10)

(3.05)

(0.83)

(1.55)

0.03

(0.55)

1.35

0.40

2.70

2014

(1.36)

(1.10)

(0.40)

(0.81)

(0.08)

(0.06)

0.85

0.01

3.96

(1.73)

1.00

(0.05)

0.11

2015

3.14

(0.60)

0.36

(1.28)

0.93

(1.01)

0.32

(0.78)

(0.64)

(0.59)

2.36

(3.48)

(1.42)

2016

0.71

0.73

(1.77)

(0.82)

(0.28)

3.61

(0.99)

(0.17)

(0.37)

0.77

5.02

0.19

6.63

2017

(1.47)

1.91

(2.84)

3.84

(0.60)

(1.39)

1.54

0.19

(0.78)

(0.84)

0.20

0.11

(0.30)

2018

2.54

(0.38)

(1.54)

1.07

8.41

(0.57)

0.91

0.90

0.14

1.32

0.38

0.47

14.16

2019

0.67

(0.70)

2.45

(0.49)

3.55

3.97

(0.66)

1.12

(1.89)

0.65

(1.17)

1.68

9.38

2020

(1.25)

5.39

18.40

0.34

(0.82)

(0.54)

1.84

0.97

(1.11)

(0.01)

0.76

3.15

28.89

2021

1.21

0.31

0.85

0.16

0.26

(1.47)

(0.47)

0.86

0.31

0.14

(0.09)

0.59

2.67

2022

0.74

1.77

5.27

3.80

1.09

0.76

0.12

3.11

2.46

(0.50)

(1.09)

2.01

21.17

2023

1.26

(0.30)

(4.11)

(0.88)

(1.54)

(0.15)

0.92

0.34

1.08

0.88

(0.40)

1.69

(1.33)

2024

0.24

(3.13)

0.86

(1.05)

0.73

0.87

0.42

(0.60)

4.91

(2.93)

6.56

(1.63)

4.92


MANAGER’S REPORT CONTINUED

PERFORMANCE REVIEW (CONTINUED)

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)

2.22

6.24

0.39

(0.73)

1.71

(0.46)

12.34

2012

0.90

0.27

(0.37)

(0.41)

(1.80)

(2.19)

2.38

1.01

1.95

(0.35)

0.94

1.66

3.94

2013

1.03

2.43

0.40

3.42

(0.08)

(2.95)

(0.80)

(1.51)

0.06

(0.55)

1.36

0.41

3.09

2014

(1.35)

(1.10)

(0.34)

(0.91)

(0.18)

(0.09)

0.82

0.04

4.29

(1.70)

0.96

(0.04)

0.26

2015

3.26

(0.58)

0.38

(1.20)

0.97

(0.93)

0.37

(0.74)

(0.63)

(0.49)

2.27

(3.39)

(0.86)

2016

0.60

0.70

(1.78)

(0.82)

(0.30)

3.31

(0.99)

(0.10)

(0.68)

0.80

5.05

0.05

5.79

2017

(1.54)

1.86

(2.95)

0.59

(0.68)

(1.48)

1.47

0.09

(0.79)

(0.96)

0.09

(0.06)

(4.35)

2018

2.36

(0.51)

(1.68)

1.01

8.19

(0.66)

0.82

0.79

0.04

1.17

0.26

0.31

12.43

2019

0.52

(0.88)

2.43

(0.60)

3.53

3.82

(0.78)

1.00

(1.94)

0.47

(1.22)

1.52

7.98

2020

(1.42)

5.49

18.31

0.19

(0.85)

(0.53)

1.74

0.94

(1.16)

(0.02)

0.75

3.04

28.09

2021

1.20

0.32

0.81

0.15

0.25

(1.50)

(0.49)

0.87

0.40

0.27

–

0.47

2.76

2022

0.94

1.79

5.39

3.86

1.66

1.05

0.15

2.84

2.12

(0.40)

(1.15)

1.88

21.91

2023

1.20

(0.28)

(4.29)

(0.93)

(1.61)

(0.25)

0.90

0.34

1.12

0.86

(0.42)

1.69

(1.81)

2024

0.36

(3.08)

0.98

(0.98)

0.76

0.91

0.41

(0.55)

5.10

(3.10)

7.00

(1.63)

5.86

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 31 December 2024.


PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS


Breakdown by Investment Style*


DM Rates, 5.2%

Volatility, 8.0%


Systematic, 0.0%

Liquid Credit, 0.0% DM Bond RV, 0.0%

EM Rates, 0.3%

Digital Assets, 3.5%

FX, 0.3%


Directional, 82.6%


Source: BHCM, as at 31 December 2024. Data may not sum to 100% due to rounding.

* Capital allocations are subject to change.

DM Bond RV, Systematic and Liquid Credit strategies’ contributions were 0.00%.



PERFORMANCE REVIEW (CONTINUED)

The above strategies are categorised as follows:


“Volatility”: strategies that trade volatility as an asset class in its own right across interest rates, FX, equity and credit markets.


“DM Rates”: relative value trading in developed interest rate markets, generally using derivative instruments.


“EM Rates”: predominantly bottom up, fundamental trading of the more liquid CEEMEA, LATAM and Asian interest rate and FX markets.


“Digital Assets”: liquid trading strategies across the digital asset universe, including crypto relative value, volatility relative value, event driven arbitrage and systematic strategies.


“FX”: global FX forwards and options.


“Directional”: multi-asset global markets, mainly directional (for the Master Fund, the majority of risk in this category is in rates).


“Systematic”: rules-based futures trading.


“Liquid Credit”: liquid credit trading strategies utilising liquid cash, CDS, standard tranches, agency-backed mortgages and credit options with a focus on developed markets and liquid emerging markets.


“DM Bond RV”: relative value trading strategies in government bond markets.


QUARTERLY AND ANNUAL CONTRIBUTION (%) TO THE PERFORMANCE OF THE COMPANY’S USD SHARES (NET OF FEES AND EXPENSES) BY ASSET CLASS*

This information is given in USD ($)



RATES

FX

COMMODITIES

CREDIT

EQUITY

DIGITAL ASSETS

DISCOUNT MANAGEMENT

TOTAL

Q1 2024

(3.73)

0.36

0.04

0.01

0.19

1.06

0.00

(2.07)

Q2 2024

0.27

0.77

0.13

0.04

(0.25)

(0.42)

0.00

0.54

Q3 2024

7.05

(2.29)

0.20

(0.61)

0.64

(0.26)

0.00

4.72

Q4 2024

(5.25)

7.54

(0.41)

0.44

(1.63)

1.07

0.00

1.75

2024

(1.94)

6.63

(0.05)

(0.10)

(1.11)

1.49

0.00

4.92


Data as at 31 December 2024.

Quarterly and YTD figures are calculated by BHCM as at 31 December 2024, based on performance data for each period provided by the Company’s administrator, Northern Trust. Figures rounded to two decimal places.


MANAGER’S REPORT CONTINUED

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 (£)



RATES

FX

COMMODITIES

CREDIT

EQUITY

DIGITAL ASSETS

DISCOUNT MANAGEMENT

TOTAL

Q1 2024

(3.79)

0.34

0.04

0.01

0.17

1.07

0.39

(1.78)

Q2 2024

0.25

0.74

0.13

0.04

(0.26)

(0.42)

0.21

0.68

Q3 2024

7.10

(2.30)

0.20

(0.61)

0.65

(0.26)

0.17

4.95

Q4 2024

(5.37)

7.63

(0.41)

0.45

(1.64)

1.12

0.21

1.99

2024

(2.10)

6.71

(0.05)

(0.09)

(1.14)

1.55

0.98

5.86


Data as at 31 December 2024.

Quarterly and YTD figures are calculated by BHCM as at 31 December 2024, 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

Coming into the year markets anticipated rate cuts by global central banks, led primarily by the US Federal Reserve, predicated on the view that the protracted period of high real yields was starting to have a material cooling impact on the US economy. This thesis was challenged in February when non-farm payroll and CPI data releases came in much stronger than expected causing rates to back up. Focus then shifted towards the potential for economic slowdown more globally, in economies such as Europe and China as well as on the increasing growth and inflationary divergence with Japan. During the second half of the year, global central banks including the European Central Bank (“ECB”), Bank of England and the Federal Reserve (“Fed”) started cutting policy rates, while in contrast the Bank of Japan began tightening. The U.S. elections also created interesting opportunities for macro trading, including across rates, FX and digital assets.


Looking forward, all the ingredients for an interesting and dynamic macro environment are in the mix: rapid technological change, geopolitical unrest, US political realignment, and widely divergent growth and inflation outlooks across countries.


The US starts the year as the strongest economy in the developed world with solid growth, a labour market near full-employment, and inflation elevated but slowly coming down. Risks around that outlook are two-sided and depend critically on President Trump’s policies on fiscal, trade, immigration, and regulation. By contrast with the first Trump administration, the incoming team and Congress is prepared to act immediately on the MAGA agenda.


The Fed cut its policy rate by 100 basis points in 2024 and laid out a forecast in its last meeting for another 50 basis points of cuts in 2025. However, with the economy in a good place, there is no urgency one way or another. For the first time in more than a decade, the Fed does not have to do anything. Policymakers will be watching developments in Washington carefully.


In Europe, the economic situation appears quite soft and the ECB is expected to cut interest rates further. China is facing structural headwinds, with the real estate sector and local governments in a balance-sheet recession. Policymakers unveiled a series of forceful responses at the end of 2024, however investors appear unconvinced, with sentiment in the Chinese bond market suggesting deflation is a significant worry. Furthermore, China will have to confront an expected aggressive trade, technology, and military agenda by the Trump administration.


Japan, by contrast, is moving in the opposite direction, pursuing hyper-easy monetary and fiscal policy in an economy that is overheating. How Japanese policymakers navigate policy normalisation will likely be another key question for 2025.


Finally, emerging markets are a heterogeneous mix, ranging from the amazing success in India to the surprising breakdown in Brazil. With the US pursuing America First policies and setting US Dollar rates at a relatively high level, other countries will have to fend for themselves in a relatively hostile financial and trade environment.


Taking a step back, perhaps the biggest question mark for the global economy is how the political realignment in the US will affect the global international order. President Trump has promised to change almost every part of the post-Cold War international order, starting with trade, defence, multilateral alliances and human rights.


With this macro landscape of high uncertainty in geopolitics, fiscal and monetary policy across all regions, markets are likely to be 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. 27 March 2025


INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF BH MACRO LIMITED


OUR OPINION IS UNMODIFIED

We have audited the financial statements of BH Macro Limited (the “Company”), which comprise the Audited Statement of Assets and Liabilities as at 31 December 2024, the Audited Statements of Operations, Changes in Net Assets and Cash Flows for the year then ended, and notes, comprising significant accounting policies and other explanatory information.


In our opinion, the accompanying financial statements:



RESPECTIVE RESPONSIBILITIES

Directors’ responsibilities

As explained more fully in their statement set out on page 18, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is

necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; 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 liquidation is imminent.


Auditor’s responsibilities

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue our opinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does not guarantee that an audit conducted in accordance with ISAs (UK) will always detect a


INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF BH MACRO LIMITED CONTINUED

material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements.


A fuller description of our responsibilities is provided on the FRC’s website at www.frc.org.uk/auditorsresponsibilities.


THE PURPOSE OF THIS REPORT AND RESTRICTIONS ON ITS USE BY PERSONS OTHER THAN THE COMPANY’S MEMBERS AS A BODY

This report is made solely to the Company’s members, as a body, in accordance with section 262 of the Companies (Guernsey) Law, 2008. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.


Deborah Smith

For and on behalf of KPMG Channel Islands Limited

Chartered Accountants and Recognised Auditors Guernsey 27 March 2025


AUDITED STATEMENT OF ASSETS AND LIABILITIES

As at 31 December 2024






31.12.24

US$’000

31.12.23

US$’000

ASSETS



Investment in the Master Fund (note 3)

1,911,988

2,038,614

Master Fund redemption proceeds receivable

45,111

20,697

Prepaid expenses

31

47

Cash and bank balances denominated in Sterling

42,122

18,367

Cash and bank balances denominated in US Dollars

3,111

1,284

TOTAL ASSETS

2,002,363

2,079,009




LIABILITIES



Performance fees payable (note 4)

14,536

2

Management fees payable (note 4)

2,667

2,771

Purchase of shares into treasury payable

498

1,477

Accrued expenses and other liabilities

164

148

Administration fees payable (note 4)

155

80

TOTAL LIABILITIES

18,020

4,478




NET ASSETS

1,984,343

2,074,531




NUMBER OF SHARES IN ISSUE (NOTE 5)



Sterling shares

342,211,496

372,024,149

US Dollar shares

27,478,960

29,856,472




NET ASSET VALUE PER SHARE (NOTES 7 AND 9)



Sterling shares

£4.35

£4.11

US Dollar shares

US$4.48

US$4.27


See accompanying Notes to the Audited Financial Statements.


Signed on behalf of the Board by:


Richard Horlick

Chair


John Le Poidevin Director


27 March 2025


AUDITED STATEMENT OF OPERATIONS

For the year ended 31 December 2024






01.01.24

TO 31.12.24 US$’000

01.01.23

TO 31.12.23 US$’000

NET INVESTMENT GAIN ALLOCATED FROM THE MASTER FUND



Interest income

111,463

99,983

Dividend and other income (net of withholding tax:

31 December 2024: US$100,043; 31 December 2023: US$94,653)


13,879


5,176

Expenses

(92,649)

(91,827)

NET INVESTMENT GAIN ALLOCATED FROM THE MASTER FUND

32,693

13,332




COMPANY INCOME



Bank interest income

825

792

Foreign exchange gains (note 3)

–

108,508

TOTAL COMPANY INCOME

825

109,300




COMPANY EXPENSES



Performance fees (note 4)

14,819

2

Management fees (note 4)

29,967

29,579

Other expenses

886

969

Directors' fees

409

442

Administration fees (note 4)

307

303

Foreign exchange losses (note 3)

34,544

–

TOTAL COMPANY EXPENSES

80,932

31,295




NET INVESTMENT (LOSS)/GAIN

(47,414)

91,337




NET REALISED AND UNREALISED GAIN/(LOSS) ON INVESTMENTS ALLOCATED FROM THE MASTER FUND



Net realised gain on investments

44,345

188,681

Net unrealised gain/(loss) on investments

61,300

(213,524)

NET REALISED AND UNREALISED GAIN/(LOSS) ON INVESTMENTS ALLOCATED FROM THE MASTER FUND


105,645


(24,843)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

58,231

66,494

See accompanying Notes to the Audited Financial Statements.


AUDITED STATEMENT OF CHANGES IN NET ASSETS

For the year ended 31 December 2024






01.01.24

TO 31.12.24 US$’000

01.01.23

TO 31.12.23 US$’000

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS



Net investment (loss)/gain

(47,414)

91,337

Net realised gain on investments allocated from the Master Fund

44,345

188,681

Net unrealised gain/(loss) on investments allocated from the Master Fund

61,300

(213,524)


58,231

66,494




SHARE CAPITAL TRANSACTIONS



ISSUE OF NEW SHARES



Sterling shares

–

379,021

US Dollar shares

–

3,336




SHARE ISSUE COSTS



Sterling shares

–

(7,761)

US Dollar shares

–

(67)




PURCHASE OF SHARES INTO TREASURY



Sterling shares

(148,419)

(6,940)

US Dollar shares

–

–

TOTAL SHARE CAPITAL TRANSACTIONS

(148,419)

367,589




NET (DECREASE)/INCREASE IN NET ASSETS

(90,188)

434,083

NET ASSETS AT THE BEGINNING OF THE YEAR

2,074,531

1,640,448

NET ASSETS AT THE END OF THE YEAR

1,984,343

2,074,531

See accompanying Notes to the Audited Financial Statements.


AUDITED STATEMENT OF CASH FLOWS

For the year ended 31 December 2024






01.01.24

TO 31.12.24 US$’000

01.01.23

TO 31.12.23 US$’000

CASH FLOWS FROM OPERATING ACTIVITIES

Net increase in net assets resulting from operations

58,231

66,494

Adjustments to reconcile net increase in net assets resulting from operations to net cash generated from/(used in) operating activities:

Net investment gain allocated from the Master Fund

(32,693)

(13,332)

Net realised gain on investments allocated from the Master Fund

(44,345)

(188,681)

Net unrealised (gain)/loss on investments allocated from the Master Fund

(61,300)

213,524

Purchase of investment in the Master Fund

–

(365,214)

Proceeds from sale of investment in the Master Fund

205,961

101,862

Foreign exchange losses/(gains)

34,544

(108,508)

Decrease/(increase) in prepaid expenses

16

(4)

Increase/(decrease) in performance fees payable

14,534

(62,259)

Decrease in management fees payable

(104)

(1,453)

Increase/(decrease) in accrued expenses and other liabilities

16

(68)

Decrease in Directors' fees payable

–

(14)

Increase in administration fees payable

75

14

NET CASH GENERATED FROM/(USED IN) OPERATING ACTIVITIES

174,935

(357,639)


CASH FLOWS FROM FINANCING ACTIVITIES

Purchase of own shares into treasury

(149,398)

(5,463)

Proceeds from share issue

–

382,357

Share issue costs

–

(7,828)

NET CASH (USED IN)/GENERATED FROM FINANCING ACTIVITIES

(149,398)

369,066


CHANGE IN CASH

25,537

11,427

CASH, BEGINNING OF THE YEAR

19,651

7,910

Effect of exchange rate fluctuations

45

314

CASH, END OF THE YEAR

45,233

19,651


CASH, END OF THE YEAR

Cash and bank balances denominated in Sterling1

42,122

18,367

Cash and bank balances denominated in US Dollars

3,111

1,284


45,233

19,651


SUPPLEMENTAL DISCLOSURE OF NON-CASH FINANCING ACTIVITIES

1 Cash and bank balances in Sterling (GBP’000)

33,664

14,408


See accompanying Notes to the Audited Financial Statements.


NOTES TO THE AUDITED FINANCIAL STATEMENTS

For the year ended 31 December 2024



  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 Audited 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 Audited 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 Audited 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 Audited 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 Audited 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 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 in Q1 2023, 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:


NOTES TO THE AUDITED FINANCIAL STATEMENTS CONTINUED

For the year ended 31 December 2024



2. ORGANISATION (CONTINUED)

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.

Notwithstanding this fact, on 14 June 2024, the Company and Manager agreed that for the calendar year of 2024 only, the Management Agreement was treated as amended to provide that the annual buyback allowance in respect of the Sterling share class for the calendar year ending 31 December 2024 would be equal in aggregate to 32,175,157 Sterling shares, being equal to 8.65 per cent of the number of Sterling shares in issue at 31 December 2023, disregarding any shares held in treasury. The parties also agreed that the foregoing would not alter the annual buyback allowance in respect of the Sterling share class for any subsequent 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 Audited 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.


As further described in the Directors’ Report, these Audited 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.


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. Fair value is determined as the Company’s proportionate share of the Master Fund’s capital, which approximates fair value.

At 31 December 2024, 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 Audited Statement of Assets and Liabilities.



3. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Valuation of Investments (continued)



PERCENTAGE OF MASTER FUND’S

CAPITAL


NAV PER SHARE

(CLASS B)

SHARES HELD IN THE MASTER FUND

(CLASS B)

INVESTMENT IN MASTER FUND

CCY ‘000

INVESTMENT IN MASTER FUND

US$’000

31 DECEMBER 2024

Sterling

14.95%

£7,101.86

201,713

£1,432,534

1,792,458

US Dollar

1.00%

US$7,126.07

16,772

US$119,530

119,530

1,911,988


31 DECEMBER 2023

Sterling

15.58%

£6,614.07

226,847

£1,500,386

1,912,542

US Dollar

1.03%

US$6,620.65

19,041

US$126,072

126,072

2,038,614


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.


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 Audited 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 Audited 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.


NOTES TO THE AUDITED FINANCIAL STATEMENTS CONTINUED

For the year ended 31 December 2024



3. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

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 Audited 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 Audited 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 Audited 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.


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.



4. MANAGEMENT AGREEMENT AND ADMINISTRATION AGREEMENT (CONTINUED)

Management and performance fee (continued)

During the year ended 31 December 2024, US$29,966,995 (year ended 31 December 2023: US$29,579,495) was earned by the Manager as net Management Fees. At 31 December 2024, US$2,667,015 (31 December 2023: US$2,770,618) 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 that 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 year ended 31 December 2024, US$14,819,110 (year ended 31 December 2023: US$2,326) was earned by the Manager as performance fees. At 31 December 2024, US$14,536,362 (31 December 2023: US$2,340) 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 2023: £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 year ended 31 December 2024, US$307,365 (year ended

31 December 2023: US$303,372) was earned by the Administrator as administration fees. The amounts outstanding are disclosed on the Audited Statement of Assets and Liabilities.


NOTES TO THE AUDITED FINANCIAL STATEMENTS CONTINUED

For the year ended 31 December 2024



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 year ended 31 December 2024



STERLING SHARES

US DOLLAR SHARES

NUMBER OF ORDINARY SHARES



In issue at 1 January 2024

372,024,149

29,856,472

Share conversions

1,927,480

(2,377,512)

Purchase of shares into Treasury

(31,740,133)

–

IN ISSUE AT 31 DECEMBER 2024

342,211,496

27,478,960


NUMBER OF TREASURY SHARES

In issue at 1 January 2024

1,504,277

–

Shares purchased and held in Treasury during the year: On market purchases*


31,740,133


–

In issue at 31 December 2024

33,244,410

–

PERCENTAGE OF CLASS

8.85%

–


* On market purchases for the year ended 31 December 2024.



TREASURY SHARES

NUMBER OF SHARES PURCHASED


COST (US$)


COST (IN CURRENCY)

US Dollar shares

–

–

–

Sterling shares

31,740,133

148,418,885

£115,985,967



5. SHARE CAPITAL (CONTINUED)

Issued and authorised share capital (continued) For the year ended 31 December 2023



STERLING SHARES

US DOLLAR SHARES

NUMBER OF ORDINARY SHARES

In issue at 1 January 2023

30,156,454

2,858,135

Share conversions

(717,994)

884,077

Net issue of new shares from Share Sub-Division

271,711,966

25,367,860

Issue of new shares

72,378,000

746,400

Purchase of shares into treasury

(1,504,277)

–

IN ISSUE AT 31 DECEMBER 2023

372,024,149

29,856,472


NUMBER OF TREASURY SHARES

In issue at 1 January 2023

–

–

On market purchases*

1,504,277

–

IN ISSUE AT 31 DECEMBER 2023

1,504,277

–

PERCENTAGE OF CLASS

0.40%

–


* On market purchases in the year ended 31 December 2023.



TREASURY SHARES

NUMBER OF SHARES PURCHASED


COST (US$)


COST (IN CURRENCY)

US Dollar shares

–

–

–

Sterling shares

1,504,277

6,939,943

£5,457,432


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 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, prepaid 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. On a vote, a single US Dollar ordinary share has 0.7606 votes and a single Sterling ordinary share has 1.4710 votes.

Repurchase of ordinary shares

Under the Company’s Articles, Shareholders of a class of shares have the ability to call for repurchase of that class of shares in certain circumstances. At the Annual General Meeting held on 5 June 2024, Shareholders 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 53,804,834 Sterling shares and 4,416,869 US Dollar shares.


NOTES TO THE AUDITED FINANCIAL STATEMENTS CONTINUED

For the year ended 31 December 2024



  1. SHARE CAPITAL (CONTINUED)

    Further issue of shares

    As described in the Directors’ Report on page 10, on 13 February 2023, a total of 72,378,000 Sterling shares and 746,400 US Dollar shares were issued in the Initial Issue 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 £315 million (based on a US Dollar/Sterling Fx spot rate of 1.2113 being the prevailing rate as at 3.00 p.m. on 10 February 2023). Costs attributed to the Initial Issue and the related share sub-division were US$7,773,233.


    As approved by the Shareholders at the Annual General Meeting held on 5 June 2024, the Directors have the power to issue further shares totalling 119,634,098 Sterling shares and 9,820,829 US Dollar shares, respectively. This power is due to expire fifteen months after the passing of the resolution or on the conclusion of the next Annual General Meeting of the Company, whichever is

    earlier, unless such power was varied, revoked or renewed prior to that Meeting by a resolution of the Company in general meeting.


    Distributions

    The Master Fund has not previously paid dividends to its investors. 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.


    As announced on 15 January 2014, the Company intends to be operated in such a manner to ensure that its shares are not categorised as non-mainstream pooled investments. This may mean that the Company may pay dividends in respect of any income that it receives or is deemed to receive for UK tax

    purposes so that it would qualify as an investment trust if it were UK tax-resident.


    Further, the Company will first apply any such income in payment of its Management Fee and performance fees.


    Treasury shares are not entitled to distributions. During the year ended 31 December 2024, the Company purchased 31,740,133 (31 December 2023: 1,504,277) Sterling share class to be held in Treasury.

    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 the other 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.


  2. 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 Audited Financial Statements. Income tax and related interest and penalties would be recognised by the Company as tax expenses in the Audited 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: Guernsey; 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 remainder of the year.



  3. PUBLICATION AND CALCULATION OF THE COMPANY’S NET ASSET VALUE (“NAV”)

    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.


  4. DISCOUNT MANAGEMENT PROGRAMME

    The Company has previously implemented a number of methods in order to seek to manage any discount to NAV at which the Company’s shares trade. See note 2 for further details regarding the Company’s annual buyback allowance and the 2024 arrangements agreed with the Manager.


    Market purchases

    Subject to the authority granted by Shareholders at the 2023 AGM and subsequently, the 2024 AGM (see note 5), from December 2023, market purchases by the Company of the Sterling share class have resumed, due to the class trading at a discount.


    Under the terms of the Management Agreement, the Company may, on one month’s notice, redeem up to 5 per cent of

    its shares of each class in the Master Fund, in order to fund buybacks. On 17 June 2024, the Board announced that the Sterling share class annual buyback allowance for the financial year 2024 had been increased by an amount equal to the unused allowance for the financial year 2023, allowing the Board to repurchase an additional c.16.3 million shares during the financial year ending December 2024. As such, the additional allowance is not subject to the 2 per cent fee, payable to the Manager, which would otherwise be applied to the Company’s share buybacks over the normal 5 per cent allowance.


    Please see note 5 for details of shares purchased and held in Treasury.


    Annual offer of partial return of capital

    Under the Company’s Articles, once in every calendar year, the Directors have discretion to determine that the Company make an offer of a partial return of capital in respect of such number of

    shares of the Company in issue as they 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 have discretion to determine the particular class or classes of shares in respect of which a partial return of capital would be made, the timetable for that partial return of capital and the price at which the shares of each relevant class are to be returned.


    The Company is entitled to redeem upon three months’ notice, no more than once per year, a portion of its interest in the Master

    Fund representing up to 10 per cent of each class of the Company’s holding of Master Fund shares as at the date of the relevant redemption request in connection with any such offer of a partial capital return of capital which is approved by the Directors.


    The decision to make a partial return of capital in any particular year and the amount of the return 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.


    Class closure resolutions

    If any class of shares trades at an average discount at or in excess of 8% of the monthly NAV in any year from 1 January to 31 December, the Company will hold a class closure vote of the relevant class.


    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.


    The average discount to NAV for the Sterling shares and US Dollar shares for the year ended 31 December 2023 were 3.27% and 2.46% respectively.


    The arrangements for class closure meetings are described more fully in the Company’s principal documents which were approved at the EGM on 24 February 2017.


    NOTES TO THE AUDITED FINANCIAL STATEMENTS CONTINUED

    For the year ended 31 December 2024



  5. FINANCIAL HIGHLIGHTS

The following tables include selected data for a single ordinary share of each of the ordinary share classes in issue at 31 December 2024 and other performance information derived from the Audited 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.



31.12.24

STERLING SHARES

£

31.12.24

US DOLLAR SHARES

US$

PER SHARE OPERATING PERFORMANCE

Net asset value at beginning of the year

4.11

4.27


INCOME FROM INVESTMENT OPERATIONS

Net investment loss2

(0.03)

(0.03)

Net realised and unrealised gain on investment

0.23

0.24

Other capital items3

0.04

–

TOTAL GAIN

0.24

0.21


NET ASSET VALUE, END OF THE YEAR

4.35

4.48


Total gain before performance fees

6.59%

5.86%

Performance fees

(0.73%)

(0.94%)

TOTAL GAIN AFTER PERFORMANCE FEES

5.86%

4.92%



9. FINANCIAL HIGHLIGHTS (CONTINUED)

Total gain reflects the net gain 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 2024 to 31 December 2024. An individual Shareholder’s gain may vary from these gains based on the timing of their purchase or sale of shares.



31.12.24

STERLING SHARES

£’000

31.12.24

US DOLLAR SHARES

US$’000

SUPPLEMENTAL DATA



Net asset value, end of the year

1,487,501

123,111

Average net asset value for the year

1,463,916

121,860



31.12.24

STERLING SHARES

31.12.24

US DOLLAR SHARES

RATIO TO AVERAGE NET ASSETS



Operating expenses



Company expenses4

1.59%

1.57%

Master Fund expenses5

1.07%

1.07%

Master Fund interest expenses6

3.58%

3.55%

Performance fees

0.74%

0.87%


6.98%

7.06%




Net investment gain before performance fees2

0.10%

0.12%




Net investment loss after performance fees2

(0.64%)

(0.75%)


NOTES TO THE AUDITED FINANCIAL STATEMENTS CONTINUED

For the year ended 31 December 2024



9. FINANCIAL HIGHLIGHTS (CONTINUED)


31.12.23

STERLING SHARES

£

31.12.23

US DOLLAR SHARES

US$

PER SHARE OPERATING PERFORMANCE

Net asset value at beginning of the year1

4.18

4.33


INCOME FROM INVESTMENT OPERATIONS

Net investment loss2

(0.04)

(0.01)

Net realised and unrealised (loss)/gain on investment

(0.08)

0.01

Other capital items3

0.05

(0.06)

TOTAL LOSS

(0.07)

(0.06)


NET ASSET VALUE, END OF THE YEAR

4.11

4.27


Total loss before performance fees

(1.81%)

(1.33%)

TOTAL LOSS AFTER PERFORMANCE FEES

(1.81%)

(1.33%)

Total loss reflects the net loss 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 2023 to 31 December 2023. An individual Shareholder’s return may vary from these losses based on the timing of their purchase or sale of shares.



31.12.23

STERLING SHARES

£’000

31.12.23

US DOLLAR SHARES

US$’000

SUPPLEMENTAL DATA



Net asset value, end of the year

1,527,458

127,482

Average net asset value for the year

1,485,598

122,970



  1. FINANCIAL HIGHLIGHTS (CONTINUED)


    31.12.23

    STERLING SHARES

    31.12.23

    US DOLLAR SHARES

    RATIO TO AVERAGE NET ASSETS



    Operating expenses



    Company expenses4

    1.59%

    1.57%

    Master Fund expenses5

    1.41%

    0.83%

    Master Fund interest expenses6

    3.28%

    3.32%

    Performance fees

    –

    –


    6.28%

    5.72%




    Net investment loss before performance fees2

    (0.91%)

    (0.22%)




    Net investment loss after performance fees2

    (0.91%)

    (0.22%)

    Notes

    1. For illustrative purposes, the Net Asset Value at the beginning of 2023 is adjusted by a factor of 10 to reflect the 10 for 1 share sub-division, which was approved at the EGM held on 6 February 2023, with dealings commencing on 7 February 2023. The rest of Net Asset Values are not adjusted by a factor of 10 reflect in order to reflect the factual numbers audited in previous financial statements.

    2. The net investment gain and loss figures disclosed above do not include net realised and unrealised gains/losses on investments allocated from the Master Fund.

    3. Included in other capital items are the discounts and premiums on conversions between share classes and on the sale of treasury shares as well as any partial capi- tal return effected in the relevant year as compared to the NAV per share at the beginning of the year.

    4. Company expenses are as disclosed in the Audited Statement of Operations excluding the performance fee and foreign exchange gains/losses.

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

    6. Master Fund interest expenses include interest and dividend expenses on investments sold short.


  2. RELATED-PARTY TRANSACTIONS

Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the party in making financial or operational decisions.


The management fees, performance fees and administration fees are disclosed in note 4. Details of the amended Management Agreement can be found in note 2.


The annual Directors’ fees from 1 July 2022 have been:


ROLE

FEE PER ANNUM

£

Board Chair

90,000

Audit Committee Chair

65,000

Management Engagement Committee Chair

55,000

Remuneration and Nomination Committee Chair

55,000

Senior Independent Director

55,000

All other Directors

50,000


NOTES TO THE AUDITED FINANCIAL STATEMENTS CONTINUED

For the year ended 31 December 2024





US DOLLAR

SHARES


31.12.24

31.12.23

Richard Horlick

20,000

20,000

Caroline Chan

Nil

Nil

Julia Chapman

Nil

Nil

Bronwyn Curtis

Nil

Nil

John Le Poidevin

Nil

Nil

  1. RELATED-PARTY TRANSACTIONS (CONTINUED)

    ROLE

    FEE PER ANNUM

    £

    Board Chair

    99,000

    Audit Committee Chair

    69,000

    Management Engagement Committee Chair

    58,000

    Remuneration and Nomination Committee Chair

    58,000

    Senior Independent Director

    59,000

    All other Directors

    53,000

    As discussed in the Directors’ Remuneration report the Directors’ fees increased as follows effective 1 January 2025:



    The fees payable by the Company in respect of each of the Directors who served during the year ended 31 December 2024, and the year ended 31 December 2023 were as follows:



    YEAR ENDED 31.12.24

    £

    YEAR ENDED 31.12.23

    £

    Richard Horlick

    90,000

    90,000

    Caroline Chan*

    55,000

    51,586

    Julia Chapman

    55,000

    55,000

    Bronwyn Curtis

    55,000

    55,000

    John Le Poidevin

    65,000

    65,000

    Claire Whittet**

    –

    38,801

    TOTAL

    320,000

    355,387


    * Caroline Chan was appointed to the Board on 6 December 2022 at a fee of

    £50,000 p.a. Following her appointment as Chair of the Remuneration and Nomination Committee, her fee was increased to £55,000 p.a.

    ** Claire Whittet retired from the Board on 13 September 2023.


    The annual aggregate limit of fees payable to Directors is

    £800,000 per annum.




    STERLING SHARES


    31.12.24

    31.12.23

    Richard Horlick

    200,000

    200,000

    Caroline Chan

    11,587

    11,587

    Julia Chapman

    6,260

    6,260

    Bronwyn Curtis

    33,173

    33,174

    John Le Poidevin

    116,940

    75,620

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

  2. SUBSEQUENT EVENTS

On 3 January 2025, the Company completed the share conversion for the 30 November 2024 share conversion date, issuing 47,902 Sterling shares and cancelling 59,187 US Dollar shares.


On 3 February 2025, the Company completed the share conversion for the 31 December 2024 share conversion date, issuing 236,903 Sterling shares and cancelling 287,687 US Dollar shares.


The Company suspended the share conversion for the

31 January 2025 share conversion date because class closure meetings for the Sterling and US Dollar shares were triggered. Following the outcome of the class closure meetings held in February 2025, the share conversion mechanism recommenced for the 28 February 2025 share conversion date.


The Company made the following purchases of ordinary shares to be held in Treasury:


STERLING CLASS SHARES


MONTH

NUMBER OF SHARES BOUGHT

HIGHEST PRICE

POINT

£

LOWEST PRICE

POINT

£

January 2025

639,275

4.12

3.82

February 2025

1,799,545

3.93

3.82

March 2025*

2,008,823

3.85

3.73

TOTAL

4,447,643



* Until 21 March 2025


The Directors have evaluated subsequent events up to 27 March 2025, which is the date that the Audited Financial Statements were approved and available to be issued and have concluded there are no further items that require disclosure or adjustment to the Audited Financial Statements.


HISTORIC PERFORMANCE SUMMARY

As at 31 December 2024









31.12.24

US$’000

31.12.23

US$’000

31.12.22

US$’000

31.12.21

US$’000

31.12.20

US$’000

Net increase in net assets resulting from operations


58,231


66,494


112,078


12,010


181,533

TOTAL ASSETS

2,002,363

2,079,009

1,707,130

1,307,490

802,224

TOTAL LIABILITIES

(18,020)

(4,478)

(66,682)

(9,762)

(41,055)

NET ASSETS

1,984,343

2,074,531

1,640,448

1,297,728

761,169


NUMBER OF SHARES IN ISSUE

Sterling shares

342,211,496

372,024,149

30,156,454*

25,864,663*

15,009,868*

US Dollar shares

27,478,960

29,856,472

2,858,135*

2,689,547*

2,191,379*


NET ASSET VALUE PER SHARE

Sterling shares

£4.35

£4.11

£41.81*

£34.30*

£33.38*

US Dollar shares

US$4.48

US$4.27

US$43.28*

US$35.71*

US$34.78*


* The Number of Shares In Issue and Net Asset Value Per Share prior to 31 December 2023 are not adjusted by a factor of 10 to reflect the 10 for 1 share sub-division approved at the EGM held on 6 February 2023.


AFFIRMATION OF THE COMMODITY POOL OPERATOR

As at 31 December 2024



To the best of my knowledge and belief, the information detailed in these Audited Financial Statements is accurate and complete.


Name: Madhukar Dayal

Title: Chief Financial Officer and Authorised Signatory


Brevan Howard Capital Management Limited as general partner of Brevan Howard Capital Management LP, the manager and commodity pool operator of BH Macro Limited


27 March 2025


GLOSSARY OF TERMS AND ALTERNATIVE PERFORMANCE MEASURES

ALTERNATIVE PERFORMANCE MEASURES (“APMs”)

We assess our performance using a variety of measures that are not specifically defined under US GAAP and therefore termed APMs. The APMs that we use may not be directly comparable with those used by other companies.


AVERAGE DISCOUNT TO NAV

The average discount to NAV of the whole year is calculated for each share class by using the following formula:


(A-B)


B

Where:


DISCOUNT

If the share price of an investment is lower than the NAV per share, the shares are said to be trading at a discount. The size of the discount is calculated by subtracting the share price from the NAV per share of the relevant share class and is usually expressed as a percentage of the NAV per share. If the share price is higher than the NAV per share, the shares are said to be trading at a premium. The Board monitors the level of discount or premium and consideration is given to ways in which share price performance may be enhanced, including the effectiveness of marketing and share buybacks, where appropriate. The discount is shown below.


STERLING SHARES

US DOLLAR SHARES


31.12.24

31.12.23

31.12.24

31.12.23

Share Price at Year End (A)

£4.06

£3.67

US$4.17

US$3.77

NAV per Share (B)

£4.35

£4.11

US$4.48

US$4.27

Discount to NAV (A-B)/B

(6.67%)

(10.71%)

(6.92%)

(11.71%)


GAIN/(LOSS) PER SHARE

Gain/(loss) per share is calculated using the net gain/(loss) on ordinary activities finance costs and taxation (year ended 31 December 2024: a gain of £68,166,209 and a gain of US$5,680,548; year ended 31 December 2023: a loss of £32,535,028 and a loss of US$1,540,012), divided by the weighted average number of shares in issue (year ended 31 December 2024: 380,616,423 Sterling shares and 28,572,373 US Dollar shares, year ended 31 December 2023: 353,094,861 Sterling shares and 28,097,148 US Dollar shares).


The 10 for 1 share sub-division approved at the EGM held on 6 February 2023 has been applied throughout the year for the 2023 weighted average share figures.


The Directors also regard gain/(loss) per share to be a key indicator of performance. The gain/(loss) per share is shown on page 8 in the Strategic Report.




YEAR ENDED

31.12.24


YEAR ENDED

31.12.23


PER SHARE

‘000

PER SHARE

‘000

Net total gain/(loss) for Sterling shares

17.91p

£68,166

(9.21p)

(£32,535)

Net total gain/(loss) for US Dollar shares

19.88c

US$5,681

(5.48c)

(US$1,540)


GLOSSARY OF TERMS AND ALTERNATIVE PERFORMANCE MEASURES CONTINUED

ONGOING CHARGES

The Ongoing Charges are calculated using the AIC Ongoing Charges methodology, which was last updated in April 2022 and is available on the AIC website (theaic.co.uk). The Ongoing Charges represent the Company’s Management Fee and all other operating expenses, excluding finance costs, performance fees, share issue or buyback costs and non-recurring legal and professional fees and are expressed as a percentage of the average of the daily net assets during the year (see page 14). The Board continues to be conscious of expenses and works hard to maintain a sensible balance between good quality service and cost. The Ongoing Charges calculation is shown below:




STERLING SHARES


US DOLLAR SHARES


YEAR ENDED

31.12.24

YEAR ENDED

31.12.23

YEAR ENDED

31.12.24

YEAR ENDED

31.12.23

Average NAV for the year (A)

£1,463,916,101

£1,485,598,348

US$121,859,568

US$122,970,362

Management Fee

£22,022,232

£22,297,675

US$1,833,616

US$1,846,781

Other Company expenses

£1,190,495

£1,309,986

US$79,940

US$84,979

TOTAL COMPANY EXPENSES

£23,212,727

£23,607,661

US$1,913,556

US$1,931,760






Expenses allocated from the Master Fund

£9,161,315

£8,445,240

US$758,658

US$703,225

Performance Fee

£10,771,912

£471

US$1,058,004

US$1,740

TOTAL EXPENSES (B)

£43,145,954

£32,053,372

US$3,730,218

US$2,636,725

ONGOING CHARGES (B/A)

2.95%

2.16%

3.06%

2.14%

THE NAV

The NAV is the net assets of the Company attributable to Shareholders, that is, total assets less total liabilities, expressed as an amount per individual share of the relevant class of shares.


NOTES


NOTES CONTINUED

COMPANY INFORMATION



Directors

Richard Horlick (Chair) Caroline Chan

Julia Chapman Bronwyn Curtis John Le Poidevin


(All Directors are non-executive and independent for the purpose of UKLR 11.2.12)


Registered Office

PO Box 255

Trafalgar Court Les Banques St Peter Port Guernsey

Channel Islands GY1 3QL


Manager

Brevan Howard Capital Management LP 6th Floor

37 Esplanade St Helier Jersey

Channel Islands JE2 3QA


Administrator and Corporate Secretary

Northern Trust International Fund Administration Services (Guernsey) Limited PO Box 255

Trafalgar Court Les Banques St Peter Port Guernsey

Channel Islands GY1 3QL


Independent Auditor

KPMG Channel Islands Limited Glategny Court

Glategny Esplanade St Peter Port Guernsey

Channel Islands GY1 1WR

Registrar and CREST Service Provider

Computershare Investor Services (Guernsey) Limited 1st Floor

Tudor House Le Bordage St Peter Port

Guernsey GY1 1DB


Legal Advisor (Guernsey Law)

Carey Olsen Carey House Les Banques St Peter Port Guernsey

Channel Islands GY1 4BZ


Legal Advisor (UK Law)

Hogan Lovells International LLP Atlantic House

Holborn Viaduct London EC1A 2FG


Corporate Broker

JPMorgan Cazenove 25 Bank Street Canary Wharf London E14 5JP


Tax Adviser

Deloitte LLP PO Box 137

Regency Court Glategny Esplanade St Peter Port Guernsey

Channel Islands GY1 3HW


For the latest information

www.bhmacro.com

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