BH Macro Limited - Annual Report and Audited Financial Statements 2023

BH Macro Limited

Annual Report and Audited Financial Statements 2023

 

LEI: 549300ZOFF0Z2CM87C29

(Classified Regulated Information, under DTR 6 Annex 1 section 1.1)

 

The Company has today, in accordance with DTR 6.3.5, released its Annual Report and Audited financial statements for the year ended 31 December 2023. The Report will shortly be available from the Company’s website: www.bhmacro.com.

 

Chair’s Statement

In the interim report, I stated that 2023 had been a rollercoaster year to date for BH Macro Limited (the “Company”) afterthesuccessfulequityraisingatthebeginningoftheyear.Duringthefirstsixmonthsoftheyear,weexperienced the greatest reversal in interest rate expectations for 40 years, which had a detrimental impact on the NAV per share performanceforBrevanHowardMasterFundLimited(the“MasterFund”).Theperiodalsosawtheannouncementof themergeroftwoofourlargestshareholders,namely,InvestecandRathbonescreatingacombinedentitywhich held votingrightsof26.08%oftheSterlingClasssharesand0.92%oftheUSDollarClassshares, as at14 February 2024. ThefearofasignificantoverhangofstockasaresultofthemergercontributedtothepriceoftheCompany’s shares movingto a significant discount during the year, having started the year at a large premium.

Thesecondhalfoftheyearsawasignificantreversalinthefirsthalfyear’sdisappointingNAVpershareperformance, which at June had fallen by slightly more than 6%. Notwithstanding the positive second half of the year in NAV per shareperformance,thediscountontheCompany’ssharespersistedthroughouttheremainderofthefinancialyear.No doubtsomeofthisresultedfromfearsbysomeinvestorsofselling,resultingfromthemergerreferredtoabove,butitis worthrememberingthewordsofPresidentRooseveltthatwe‘havenothingtofear,butfearitself’.As yourBoard,we retainabsoluteconfidenceinBrevanHowardCapitalManagementLP(the“Manager”)astheCompany’smanager,and wehavetheexpectationthatitwillcontinuetodeliverthegoodreturnsitdemonstratedformorethan20years.Inthese circumstances and given the clearance that the Takeover Panel has given that the combined Investec and Rathbones entityisnotunderanyobligationtomakesalesofthestock,theCompanyisanticipatingitwillbeabletostand or fall on its NAV per share performance and the relative attractiveness of other investments. The increase in interest rates and the competing attractiveness not just of cash, but other investment vehicles means that it is a challenging environmentformacrofunds.However,thisdifficultandvolatileenvironmentisoneinwhichhistoricallytheMaster Fund has flourished.

 

Whilst the overall return for the NAV per share during the financial year was slightly negative, being -1.81% for the Sterling Class shares and -1.33% for the US Dollar Class shares, the share price return for the financial year was significantly different, being -18.26% for the Sterling Class shares and -16.59% for the US Dollar Class shares. This share price performance is obviously disappointing. Your Board consequently initiated a share buyback programme duringDecember2023andthediscountnarrowedfrom13.12%(asat30November2023)to10.71%(asat31December 2023)fortheSterlingClassshares,andsimilarlyfrom11.90%(asat30November2023)to11.71%(asat31December 2023)fortheUSDollarClassshares.YourBoardhascontinuedtoimplementbuybackssubsequenttotheyearendand hastheabilitytobuyback,onanannualbasis,5%oftheCompany’ssharesinissue(disregardingsharesheldintreasury) asat31Decemberintheimmediatelyprecedingyearwithoutpayinganyadditionalfees.TheCompanyisfarfrombeing aloneinstandingatasignificantdiscount. Otherclosed-endedinvestmentcompaniessawtheirdiscountwidenduring the course of the year, and for the reasons set out above the Company was no exception.

 

Againstthisbackground,yourBoardhascontinueditsregulardialoguewiththeManagerinordertoassureitselfofthe qualityoftheinvestmentteamandsupportingsystems,operationsandinfrastructureacrosstheorganisation.Duringthe course of 2023, the Manager’s business continued to flourish with assets under management growing from approximatelyUS$30.0billiontoapproximatelyUS$36.6billionandtheteambeingstrengthenedbothattheportfolio manager level and in terms of support staff.

 

YourBoardhasremainedreassuredthatthesecontinuingdevelopmentsintheManager’soperationsaresupportiveof the Manager’s core activities and are positive for the services which the Manager provides to the Company.

 

The Company and its Manager have continued to pursue an active program of public communication and investor relations.Up-to-dateperformanceinformationisprovidedthroughNAVpersharedatapublishedmonthlyonadefinitive 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 the Company's website (www.bhmacro.com).

 

YourBoardiswhollyindependentoftheBrevanHowardgroupofcompanies.TheDirectorsareverycloselyfocused on safeguarding the interests of shareholders and believe that the Company observes high standards of corporate governance.Duringthecourseoftheyear,ClaireWhittetretiredfromtheBoardandasSeniorIndependentDirectoron 13September2023,aftercompleting9yearsofserviceand,onyourbehalf,wethankherforherwisecounsel,dedicated contributionandeffectiveengagementwithherfellowBoardmembers.TheBoardcontinuestooperatewellwithahigh levelofengagementandacloseworkingrelationshipbetweenthediversemembersoftheBoard.Wearepleasedtosay that we are in compliance with all current regulations and recommendations relating to Board composition.

Thegeopoliticalandeconomicenvironmentremainshighlyuncertain.TheconflictinUkrainecontinuesunabated,and itisunlikely thatany solutionwillbeseen inthenear term.In theMiddleEast, thehorrificattack byHamasonIsrael and the Israeli response has created even more uncertainty and risk. This has been exacerbated by the Houthi attacks onshippinginthe Gulf.Forthefirsttimeinhistoryanavalblockadecanbeenforcedusingrelativelyeasilyavailable drone technology rather than sophisticated and highly expensive naval or air force equipment. It remains unknown what the impact longer term might be on shipping costs and trading routes. At the same time, we are seeing civil disobediencein Europe inrelation to thereduction infarmsubsidies,particularlyintheformof dieselfuel tofarmers inGermanyandFrance.Theshiftofreturnfromcapitaltolabourlookssettocontinue,increasingcostsforcompanies and potentially putting upward pressure on inflation.

 

On the political front, Donald Trump appears to be the leader for the Republican nomination for US President and thereforewhatseemed to be the highly unlikely eventofarerunof a Biden-Trump election campaignnowappears to be a near certainty for the US. This has also increased the uncertainty for the global economy and political stability worldwide.Meanwhile,closertohomeinEuropeboththeeconomicandpoliticaloutlookarecauseforconcern.Inthe UK, the governing Conservative party remains deeply divided and embroiled in internal conflicts despite the forthcoming General Election.

In these circumstances, your Board believes that the Company represents an attractive diversifying investment uncorrelated to both bond and equity markets.

 

YourBoardwillcontinuetoworkhardinconjunctionwiththeManagertodeliverthebestoutcomeforallshareholders.

 

RichardHorlick

Chair

 

27 March 2024

 

 

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

RichardHorlick(Chair)

RichardHorlickisUKresident.Heiscurrentlythenon-executivechairmanofCCLAInvestmentManagementwhich manages assets for over 38,000 charities and church and local authority funds. He has served on a number of closed- endedfundboards.HehashadalonganddistinguishedcareerininvestmentmanagementgraduatingfromCambridgeUniversityin1980withanMAinModernHistory.After3yearsinthecorporatefinancedepartmentofSamuelMontagu 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 Mutualfundrangeandresponsiblefortheirdefinedbenefitpensionbusiness.In2003,hejoinedSchrodersPlcasamain board Director and head of investment worldwide. Mr. Horlick was appointed to the Board in May 2019 and was appointed Chair in February 2021.

 

CarolineChan

Caroline Chan is a Guernsey resident and has over 30 years’ experience as a corporate lawyer, having retired from privatepracticein2020.AfterstudyinglawatOxfordUniversity,CarolinequalifiedasanEnglishsolicitorwithAllen & Overy, working in their corporate teams in London and Hong Kong. On returning to Guernsey in 1998, Caroline qualifiedasaGuernseyadvocateandpractisedlocally,includingasapartnerwithlawfirmsOgierandMourantOzannes. Sinceretiringfromprivatepractice,Carolinehastakenonnon-executivedirectorshiprolesandisChairoftheBoardof GovernorsofTheLadies’College,Guernsey.ShewasamemberoftheGuernseyCompetitionandRegulatoryAuthority until March 2023. Ms. Chan was appointed to the Board in December 2022.

JuliaChapman

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 generalcounseltoMourantInternationalFinanceAdministration(thefirm’sfundadministrationdivision). Following itsacquisitionbyStateStreetinApril2010,JuliawasappointedEuropeanSeniorCounselforStateStreet’salternative 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.

 

BronwynCurtis

BronwynCurtisisa UKresidentandSeniorExecutivewith30yearsleadershipinfinance,commodities,consultingand themedia.HerexecutiverolesincludedHeadofGlobalResearchatHSBCPlc,ManagingEditorandHeadofEuropean BroadcastatBloombergLP,ChiefEconomistofNomuraInternational,andGlobalHeadofForeignExchangeandFixed IncomeStrategyatDeutscheBank.ShehasalsoworkedasaconsultantfortheWorldBankandUNCTAD.Herother current appointments include non-executive member of the Oversight Board of the UK Office for Budget Responsibility,trusteeoftheCentreforEconomicandPolicyResearch,theAustralia-UKChamberofCommerceand TheTimesshadowMPC. Sheisagraduateof theLondonSchoolofEconomicsandLaTrobeUniversity inAustralia where she received a Doctor of Letters in 2017. Bronwyn was awarded an OBE in 2008 for her services to business economics.Mrs.CurtiswasappointedtotheBoardinJanuary2020andwasappointedSeniorIndependentDirectoron 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 WalesandaformerpartnerofBDOLLPinLondonwhere,asHeadofConsumerMarkets,hedevelopedanextensive breadthofexperienceandknowledgeoflistedbusinessesintheUKandoverseas.Heisanexperiencednon-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.

DirectorwhoretiredfromtheBoardduringtheyear

 

Claire Whittet

ClaireWhittetisGuernseyresidentandhasover40years’experienceinthefinancialservicesindustry.Afterobtaining a MA (Hons) in Geography from the University of Edinburgh, Mrs. Whittet joined the Bank of Scotland for 19 years and undertook a wide variety of roles. She moved to Guernsey in 1996 and was Global Head of Private Client Credit for Bank of Bermuda before joining Rothschild & Co Bank International Limited in 2003, initially as Director of Lending and latterly as Managing Director and Co-Head until May 2016 when she became a non-executive Director, until retiring in July 2023. She is an ACIB member of the Chartered Institute of Bankers in Scotland, a Chartered Banker, a member of the Chartered Insurance Institute and holds an IoD Director’s Diploma in Company Direction. Sheisanexperiencednon-executivedirectorofanumberoflistedinvestmentandprivateequityfunds.Untilherrecent retirement, and after serving for 9 years, she chaired a listed fund and is Senior Independent Director on others. Mrs. Whittet was appointed to the Board in June 2014 and retired from the Board on 13 September 2023.

 

DisclosureofDirectorshipsinPublicCompaniesListedonRecognisedStock Exchanges

ThefollowingsummarisestheDirectors’currentdirectorshipsinotherpublic companies:

 

	Exchange
RichardHorlick
RiverstoneEnergyLimited	London
VHGlobalSustainableEnergyOpportunitiesPlc	London
CarolineChan
NextEnergySolarFundLimited*	London
JuliaChapman
GCPInfrastructureInvestmentsLimited	London
HendersonFarEastIncomeLimited	London
TheInternationalStockExchangeGroupLimited	TheInternationalStockExchange
BronwynCurtis
PershingSquareHoldingsLimited	LondonandEuronextAmsterdam
ScottishAmericanInvestmentCompanyPlc	London
TwentyFourIncomeFundLimited	London
John Le Poidevin
InternationalPublicPartnershipsLimited	London
SuperGroup(SGHC)Limited	NewYork
TwentyFourIncomeFundLimited	London

 

*Effectivefrom1April 2024

 

StrategicReport

Fortheyearended31December2023

TheDirectorssubmit to theShareholders their Strategic Report of the Company for theyear ended31December 2023.

 

TheStrategicReportprovidesareviewofthebusinessforthefinancialyearanddescribeshowrisksaremanaged. 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.

 

BUSINESSMODELANDSTRATEGY

InvestmentObjectiveandCompany Structure

TheCompanyisorganisedasafeederfundthatinvestssolelyintheordinarySterlingandUSDollar-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.

 

SourcesofCashandLiquidity 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.

 

BUSINESSENVIRONMENT

PrincipalRisksand Uncertainties

The Board is responsible for the Company’s system of internal controls and for reviewing its effectiveness. The Board is satisfied that by using the Company’s risk matrix in establishing the Company’s system of internal controls, while monitoring the Company’s investment objective and policy, the Board has carried out a robust assessmentoftheprincipalandemergingrisksanduncertaintiesfacingtheCompany.Theprincipalandemerging risksanduncertaintieswhichhavebeenidentifiedandthestepswhicharetakenbytheBoardtomitigatethemare as follows:

 

• Investment Risks: The Company is exposed to the risk that the Master Fund’s portfolio fails to perform in line with the Company’s objectives if it is inappropriately invested or markets move adversely. The Board reviews reports from the Manager, which has total discretion over portfolio allocation, at each quarterly Board meeting, paying particular attention to this allocation and to the performance and volatility of underlying investments;

 

• Operational and Cyber Security Risks: The Company is exposed to the risks arising from any failure of systems and controls in the operations of the Manager, Northern Trust International Fund Administration Services (Guernsey) Limited (the “Administrator”) and Computershare Investor Services (Guernsey) Limited (the “Registrar”), or from the unavailability of any of the Manager, the Administrator or the Registrar for whatever reason, including those arising from cyber security issues. The Board receives regular reports from each of those parties on cyber security and annual independent third-party reporting on their respective internal controls;

 

• Accounting, Legal and Regulatory Risks: The Company is exposed to risk if it fails to comply with the regulations of the UK Listing Authority or the Guernsey Financial Services Commission and/or any other applicable regulatory and legislative matters, or if it fails to maintain accurate or timely accounting records and published financial information. The Administrator provides the Board with regular internal control and compliance reports and reports on changes in regulations and accounting requirements;

 

• Financial Risks: The financial risks faced by the Company include market, credit and liquidity risk. These risks and the controls in place to mitigate them are reviewed at each quarterly Board meeting;

 

• Geopolitical Risks: Elevated levels of global inflation, recessionary risks and the current conflicts in Ukraine and the Middle East have led to greater economic uncertainty, variability and volatility. Whilst the Master Fund has no material direct exposure to Russia, Ukraine or Belarus, the Board has also made enquiries of key service providers in respect of any impact from Russia’s invasion of Ukraine and the related instability in world markets and has been assured that none of the service providers have operations in the region or are in any way impacted in terms of their ability to continue to supply their services to the Company; and

 

• Climate Change and ESG Risks: 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 environmental, social and governance (“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

WhenappointingnewdirectorsandreviewingtheBoardcomposition,theBoardconsiders,amongstotherfactors, diversity, balance of skills, knowledge, gender and experience. At 31 December 2023, the Board believes that it was fully compliant in terms of Listing Rules LR 9.8.6R(9) and LR 14.3.33R(1) in relation to board diversity. There have been no changes to board composition since that date. We have set out additional details in the table below:

 

Name	GenderIdentity	Ethnicity
RichardHorlick	Male	WhiteBritish
CarolineChan	Female	WhiteAsianBritish
JuliaChapman	Female	WhiteBritish
BronwynCurtis	Female	WhiteEuropean
JohnLePoidevin	Male	WhiteBritish

Environmental,SocialandGovernance(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.

 

TheManagercontinuestomonitordevelopmentsinthisareaandseekstoimplementindustrybestpracticewhere 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 Regulations 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 UNGlobalCompactprinciples,specifically:implementingaprecautionaryapproachtoaddressingenvironmental issues through effective programmes, undertaking initiatives that demonstrate the acknowledgement of environmentalresponsibility,promotingandusingenvironmentallysustainabletechnologies,andUNSustainable DevelopmentGoals,specifically:usingonlyenergyefficientappliancesandlightbulbs,avoidingunnecessaryuse and waste of water, implementing responsible consumption and production, and taking action to reduce climate change.

 

POSITIONANDPERFORMANCE

PackagedRetailandInsuranceBasedInvestmentProducts(“PRIIPs”)

From1 January 2021, the Company became subjectto theUK version of Regulation (EU) No 1286/2014on 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 InvestmentProducts(Amendment)(EUExit)Regulations2019(the“UKPRIIPsLaws”).Inaccordancewiththe requirementsof the UK PRIIPs Laws, the Manager published the lateststandardised three-pageKey Information Document (a “KID”) for the Company’s Sterling shares and another for its US Dollar shares on 27 April 2023 (based on data as at 31 December 2022). 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 containedineachKID.Theprocessforcalculatingtherisks,costandpotentialreturnsisprescribedbyregulation. ThefiguresintheKID,relatingtotherelevantshareclass,maynotreflecttheexpectedreturnsforthatshareclass of the Company and anticipated returns cannot be guaranteed.

 

Performance

KeyPerformanceIndicators(“KPIs”)

At each quarterly Board meeting, the Directors consider a number of performance measures to assess the Company’ssuccessinachievingitsobjectives.BelowarethemainKPIswhichhavebeenidentifiedbytheBoard for determining the progress of the Company:

1. NAV

TheCompany’sNAV per share hasappreciatedfrom£1.00*perSterlingshareandUS$1.00*perUS Dollarshareatlaunchto£4.11perSterlingshareandUS$4.27perUSDollarshareatthe2023financialyearend. ThisincreaseinNAV per share islargelyattributabletotheCompany’slong-termgrowthstrategyandreturns.TheDirectors 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 bya factor of 10 to reflect the 10for 1sharesub-division, which occurred on 7February 2023.

 

2. SharePrices, Discount/Premium

The Company’s shares traded at an average discount of 3.27% and 2.46% to NAV for its Sterling shares and US Dollar shares respectively for the year ended 31 December 2023.

3. OngoingCharges

TheCompany’songoingchargesratioforthefinancialyearended2023ascomparedtotheongoingchargesratio for the financial year ended 2022 has decreased from 6.11% to 2.16% on the Sterling shares and decreased from 6.16%to2.14%ontheUSDollarshares,primarilyduetochangesintheleveloftheManager’sperformancefee as a result of relative performance.

 

TheCompanyreportsanaggregatedviewofthechargesforboththeSterlingsharesandUSDollarshares.Further details are in the Directors’ Report.

 

(Loss)/GainperShare

Total (loss)/gain per share is based on the net total loss on ordinary activities after tax of £32,535,028 for the Sterling share class and a net loss of US$1,540,012 for the US Dollar share class (2022: gains of £195,693,403 and US$ 19,301,255 respectively).

These calculations are based on the weighted average number of shares in issue for the year ended 31 December 2023,resultingin353,094,861Sterlingsharesand28,097,148USDollarshares(2022:Sterlingshares:28,620,989 andUSDollarshares:2,722,649).The10for1sharesub-divisionapprovedattheEGMheldon6February2023 has been applied throughout the year for the 2023 weighted average share figures, but not for the 2022 weighted average share figures.

 

	Yearended31.12.23 Pershare	'000	Yearended31.12.22 Pershare	'000
Nettotal(loss)/gainforSterling Shares	(9.21p)	(£32,535)	683.74p	£195,693
Nettotal(loss)/gainforUSDollarShares	(5.48c)	(US$1,540)	708.91c	US$19,301

 

NAV

The NAV per Sterling share, as at 31 December 2023 was £4.11 based on net assets of £1,527,458,326, divided by the number of Sterling shares in issue of 372,024,149 (2022: £41.81*).

 

The NAV per US Dollar share, as at 31 December 2023 was US$4.27 based on net assets of US$127,481,611 divided by the number of US Dollar shares in issue of 29,856,472 (2022: US$43.28*).

 

* The NAV per share as of 31 December 2022 is not adjusted by a factor of 10 to reflect the 10 for 1 share sub- division, which occurred on 7 February 2023.

 

Dividends

Nodividendswerepaidduringtheyear(2022: US$Nil).

 

Viability Statement

TheinvestmentobjectiveoftheCompanyistoseektogenerateconsistentlong-termcapitalappreciationthrough 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 2026. 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.

 

ThecontinuationoftheCompanyinitspresentformislargelydependentonthemanagementagreementbetween theCompanyandtheManager(the“ManagementAgreement”)remaininginplace.TheManagementAgreement was,asatthe2022financialyearend,generallyterminableonthreemonths’noticebyeitherpartysaveforcertain exceptions.This was changed in January 2023 to a twelve month notice period save for certain exceptions. To ensurethattheCompanymaintainsaconstructiveandinformedrelationshipwiththeManager,theDirectorsmeet regularlywiththeManagertoreviewtheMasterFund’sperformance,andthroughtheManagementEngagement Committee, the Directors review the Company’s relationship with the Manager and the Manager’s performance andeffectiveness.TheDirectorscurrentlyknowofnoreasonwhyeithertheCompanyortheManagermightserve notice of termination of the Management Agreement over the period of this Viability Statement.

 

TheCompany’sassetsexceeditsliabilitiesbyaconsiderablemargin.Furthermore,themajorityoftheCompany’s mostsignificantexpenses,beingthefeesowingtotheManagerandtotheAdministrator,fluctuatebyreferenceto theCompany’sinvestmentperformanceandNAV.TheCompanyisabletomeetitsexpensesbyredeemingshares intheMasterFundasnecessary,asandwhenrequiredtoenabletheCompanytomeetitsordinarycourseoperating expenses.

 

The Company’s investment performance depends upon the performance of the Master Fund and the Manager as manager of theMaster Fund.TheDirectors,in assessing the viability of the Company,payparticular 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 shareslargely traded atapremiumupuntil themiddleof 2023,sincewhen, in commonwiththe broaderinvestmenttrustsector,theshareshavetradedatadiscount.Intheeventofanydownwardpressureonthe Company’sshareprices,theCompanyisabletoconsiderresumingactivediscountmanagementactions,including share buybacks, so that as far as possible the share prices would more closely reflect the Company’s underlying performance; such actions should help to mitigate the risk of class closure resolutions being triggered after that date. Share buybacks commenced during December 2023 and have continued through into 2024.The Company isabletomeetthecostsofsharebuybacksbyredeemingsharesintheMasterFund.PursuanttotheManagement Agreement,therearerestrictionsontheamountofMasterFundshareswhichtheCompanymayredeeminagiven period;andtheCompanymayincurfeestotheManagerincertaincircumstances.TheCompanyisalsosubjectto theShareholders’ authorityfor Sharepurchasesinthemarket approvedattheAGMheldinSeptember2023.The CompanymayredeemuptofivepercentoftheCompany’sholdingofMasterFundsharesonamonthlybasis to funditson-marketsharebuybacks;anditmay,nomorethanonceayear,onthreemonths’notice,redeempartof its interest in the Master Fund representing up to 10 per cent of each class of the Company’s shares held in the MasterFund,totheextentrequiredtoenabletheCompanytomakeanannualredemptionoffer(asdefinedinthe Articles). Refer to notes 2 and 8 in the Audited Financial Statements for details of the Company’s discount management mechanisms.

 

TheDirectorshavecarriedoutarobustassessmentoftherisksand,ontheassumptionthattherisksaremanaged 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.

Section172,CompaniesAct 2006

Although the Company is domiciled and resident in Guernsey, the Board has considered the guidance set out in theAssociationofInvestmentCompanies(the“AIC”)CodeinrelationtoSection172oftheCompaniesAct2006 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.

 

KeyService 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

TheManager is a leading and well-establishedhedgefundmanager.In exchangefor its services,afee 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.

 

AdministratorandCorporateSecretary

Northern Trust International Fund Administration Services (Guernsey) Limited is the Administrator and the Company’scorporatesecretary(the“CorporateSecretary”).Furtherdetailsonfeestructureareincludedinnote4 to the Audited Financial Statements.

 

SignedonbehalfoftheBoardby:

 

RichardHorlick Chair

 

JohnLePoidevin Director

 

27 March 2024

 

Directors’Report

31December2023

 

TheDirectorssubmittheir Reporttogetherwith theCompany’sAuditedStatementofAssetsandLiabilities, 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 2023. 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 withUnitedStates GenerallyAcceptedAccountingPrinciples (“US GAAP”) and are in agreement with the accounting records.

 

The Company

BHMacroLimitedisalimitedliabilityclosed-endedinvestmentcompanywhichwasincorporatedinGuernseyon17 January 2007 and then admitted to the Official List of the London Stock Exchange ("LSE") later that year.

 

TheCompany’sordinarysharesareissuedinSterling andUSDollars.

 

InvestmentObjectiveandPolicy

TheCompanyisorganisedasafeederfundthatinvestsallofitsassets(netofshort-termworkingcapitalrequirements) 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 buy-backs, satisfying working capitalrequirementsorfinancing furtherinvestmentintotheMasterFund,subjecttoanaggregateborrowing limitof 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.

 

ResultsandDividends

TheresultsfortheyeararesetoutintheAuditedStatementofOperations.TheDirectorsdonotrecommend the payment of a dividend.

 

Share Capital

On 23 January 2023, the Board announced the commencement of its initial issue (the“Initial Issue”), comprising of the initial placing (the “Placing”), intermediaries offer (the “Intermediaries Offer”) and offer for subscription (the “OfferforSubscription”), together withanissuanceprogrammefor subsequent issues,whichremainedopenuntil23 January 2024 (the “Issuance Programme”), in respect of the issue of up to an aggregate of 220 million shares (based ona10:1sharesub-division);theissueofcircularforanEGM,whichwasheldon6February2023,inrelationtothe InitialIssue,IssuanceProgrammeandsharesub-division;anddetailsofamendmentstotheManagementAgreement, including terms of the Company's investment in the Master Fund, in order to reflect the increased investment of the CompanyintheMasterFundasaresultoftheInitialIssueandtheIssuanceProgramme.Furtherdetailsaredisclosed in notes 2 and 5 to the Audited Financial Statements.

 

On 6 February 2023, following the EGM, the Company announced that (i) the Board was empowered to allot and issue, in aggregate,up to220million new sharesofnoparvalue in the Companydesignated as Sterling sharesor US Dollar shares, as if the pre-emption provisions of the Company’s articles of incorporation (“Articles”) did not apply; and (ii) each existing share would be sub-divided into 10 shares of the same currency class and with the same rights andsubjecttothesamerestrictionsasthethenexistingsharesofthesamecurrencyclass,inthecapitaloftheCompany, with the sub-divided shares to be admitted to listing the following day. These resolutions superseded the relevant resolutions adopted at the 2022 Annual General Meeting.

 

On 13 February 2023, the completion of the Initial Issue was announced. 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 £312.3m for the Sterling share class and US$3.3m for the US Dollar share class.

AttheAnnualGeneralMeetingheldon13September2023, Shareholders approved anOrdinary Resolution to allow theDirectorstohavethepowertoissuefurthershares totalling124,568,816Sterlingshares and9,862,449USDollar 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 56,024,199 Sterling shares and 4,435,587 US Dollar shares.

 

In December 2023, the Company bought back 1,504,277 Sterling shares on the London Stock Exchange with prices ranging from £3.48 to £3.67 per share. The Company did not buy-back any US Dollar class shares. The purchased shares were then held in Treasury.

 

Thenumberofsharesinissueattheyearendisdisclosedinnote5of theAuditedFinancialStatements.

 

Going Concern

The Directors, having considered the Principal and Emerging Risks and Uncertainties to which the Company is exposed and on the assumption that these are managed or mitigated as noted, are notawareofanymaterialuncertaintieswhich maycastsignificantdoubtupontheCompany’sabilitytocontinueasa goingconcernand,accordingly,considerthatitisappropriatethattheCompanycontinuestoadoptthegoingconcern basis of accounting for these Audited Financial Statements.

 

The Board continues to monitor the ongoing impact of various geopolitical events, including elevated levels of global inflation, recessionary risks and the ongoing conflicts in Ukraine and the Middle East. 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 these geopolitical events either. For these reasons, the Board is confident that these events have not impacted the going concern assessment of the Company.

 

The Board

TheBoardofDirectorshasoverallresponsibilityforsafeguardingtheCompany’sassets,forthedeterminationofthe 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 in the Board Members section.

 

The Articles provide that, unless otherwise determined by ordinary resolution, the number of Directors shall not be less than two.

 

The Board meets at least four times a year and between these formal meetings, there is regular contact with the Manager, the Corporate Broker and 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 entitledtoattendduringtheyearended31December2023andthenumberofsuchmeetingsattendedbyeachDirector.

 

ScheduledBoardMeetings	Held	Attended
RichardHorlick	4	4
Caroline Chan	4	4
JuliaChapman	4	4
BronwynCurtis	4	4
JohnLePoidevin	4	4
ClaireWhittet*	3	3
AuditCommitteeMeetings	Held	Attended
JohnLePoidevin	4	4
Caroline Chan	4	4
JuliaChapman	4	4
BronwynCurtis	4	4
ClaireWhittet*	3	3
RemunerationandNominationCommitteeMeetings	Held	Attended
Caroline Chan	1	1
JuliaChapman	1	1
BronwynCurtis	1	1
RichardHorlick	1	1
JohnLePoidevin	1	1
ClaireWhittet*	N/A	N/A
ManagementEngagementCommitteeMeetings	Held	Attended
JuliaChapman	1	1
Caroline Chan	1	1
BronwynCurtis	1	1
RichardHorlick	1	1
JohnLePoidevin	1	1
ClaireWhittet*	N/A	N/A

 

*ClaireWhittetretiredfromtheBoardon 13September2023.

 

Inadditiontothesescheduledmeetings,16ad-hoccommitteemeetingswereheldduringtheyearended31December 2023, which were attended by those Directors available at the time.

 

TheBoardhasreviewedthecomposition,structureanddiversityoftheBoard,successionplanning,theindependence 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 Directors’ tenures are limited to nine years, which is consistent with the principles listed in the UK Corporate Governance Code.

 

Notwithstanding that some of the Directors sit on the boards of a number of other listed investment companies, the Boardnotesthateachappointmentisnon-executiveandthatlistedinvestmentcompaniesgenerallyhavealowerlevel ofcomplexityandtimecommitmentthantradingcompanies.Furthermore,theBoardnotesthatattendanceofallBoard 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

TheDirectorshadthefollowinginterestsintheCompany,heldeitherdirectlyor beneficially:

		SterlingShares
				31.12.23		31.12.22
Richard Horlick				200,000		20,000
Caroline Chan				11,587		Nil
Julia Chapman				6,260		626
Bronwyn Curtis				33,174		1,000
JohnLePoidevin				75,620		5,482
ClaireWhittet1				N/A		1,500
					US DollarShares
					31.12.23		31.12.22
Richard Horlick					20,000		Nil
Caroline Chan					Nil		Nil
Julia Chapman					Nil		Nil
Bronwyn Curtis					Nil		Nil
JohnLePoidevin					Nil		Nil
ClaireWhittet1					N/A		Nil

 

1 AllunitsareheldthroughaRetirementAnnuityTrustScheme,jointlyownedbyMrsWhittetandherhusband. Mrs Whittet retired from the Board on 13 September 2023.

 

Duetothe10:1sharesub-division,whichwasapprovedattheEGMheldon6February2023(asmentionedin theDirectors’ Report), the following changes were made to the Directors’ shareholdings in the Company:

 

RichardHorlick,20,000Sterlingsharescancelled,200,000Sterlingsharesissued;

Julia Chapman, 626 Sterling shares cancelled, 6,260 Sterling shares issued;

Bronwyn Curtis, 1,000 Sterling shares cancelled, 10,000 Sterling shares issued;

JohnLePoidevin,5,482Sterlingsharescancelled,54,820Sterlingsharesissued;and

Claire Whittet, 1,500 Sterling shares cancelled, 15,000 Sterling shares issued.

On13February2023,theBoardparticipatedintheInitialIssueforthefollowingamounts:

Richard Horlick, US$89,400 of US Dollar shares (20,000 shares);

Caroline Chan, £50,000 of Sterling shares (11,587 shares); Bronwyn

 Curtis, £100,000 of Sterling shares (23,174 shares);

JohnLePoidevin,£90,000ofSterlingshares(20,800shares);and

Claire Whittet, £35,000 of Sterling shares (8,111 shares).

Directors’ Indemnity

Directors’andOfficers’liabilityinsurancecoverisinplaceinrespectoftheDirectors.

 

The Directors entered into indemnity agreements with the Company which provide, subject to the provisions of the Companies(Guernsey)Law,2008,foranindemnityforDirectorsinrespectofcostswhichtheymayincurrelatingto thedefenceofproceedingsbroughtagainstthemarisingoutoftheirpositionsasDirectors,inwhichtheyareacquitted, orjudgementisgivenintheirfavourbytheCourt.Theagreementdoesnotprovideforanyindemnificationforliability which attaches to the Directors in connection with any negligence, unfavourable judgements and breach of duty or trust in relation to the Company.

CorporateGovernance

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.

 

TheCompanyisamemberoftheAICandbycomplyingwiththeAICCodeitisdeemedtocomplywithboththeUK Corporate Governance Code and the Guernsey Code of Corporate Governance.

 

ToensureongoingcompliancewiththeprinciplesandtherecommendationsoftheAICCode,theBoardreceivesand 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 compliedwith the requirements of theAIC Code andthe relevant provisionsof the UK Corporate Governance Code, except as set out below.

 

TheUKCorporateGovernanceCodeincludesprovisionsrelatingto:

 

• the role of the chief executive;
• executive directors’ remuneration;
• the need for an internal audit function; and
• a whistle-blowing policy.

 

ForthereasonsexplainedintheUKCorporateGovernanceCode,theBoardconsiderstheseprovisionsarenotrelevant to the position of the Company as it is an externally managed investment company with a Board formed exclusively of non-executive Directors. The Company has therefore not reported further in respect of these provisions. The Company does not have employees, hence no whistle-blowing policy is necessary. However, the Directors have satisfied themselves that the Company’s service providers have appropriate whistle-blowing policies and procedures and seek regular confirmation from the service providers that nothing has arisen under those policies and procedures which should be brought to the attention of the Board.

 

TheCompanyhasadoptedapolicythatthecompositionoftheBoardofDirectorsisatalltimessuchthat(i)amajority oftheDirectorsareindependentoftheManagerandanycompanyinthesamegroupastheManager(the“Manager’s Group”); (ii) the Chair of the Board of Directors is free from any conflicts of interest and is independent of the Manager’s Group; and (iii) no more than one director, partner, employee or professional adviser to the Manager’s Group may be a Director of the Company at any one time.

 

TheCompanyhasadoptedaCodeofDirectors’dealingsinsecurities.

The Company’s risk appetite and risk exposure and the effectiveness of its risk management and internal control systems are reviewed by the Audit Committee and by the Board at their meetings. The Board believes that the Companyhasadequateandeffectivesystemsinplacetoidentify,mitigateandmanagetheriskstowhichitisexposed.

 

For new appointments to the Board, a specialist independent recruitment firm is engaged as and when appropriate, nominationsaresoughtfromtheDirectorsandfromotherrelevantpartiesandcandidatesaretheninterviewedby the Directors.ThecurrentBoardhasabreadthofexperiencerelevanttotheCompany,andtheDirectorsbelievethatany changes to theBoard’s composition can be managed without undue disruption. An induction programme is provided for newly-appointed Directors.

 

In line with the AIC Code, Article 21.3 of the Company’s Articles requires all Directors to retire at each Annual GeneralMeeting.AttheAnnualGeneralMeetingoftheCompanyon13September2023,Shareholdersre-electedall thethenincumbentDirectorsoftheCompany,exceptforClaireWhittet,whoretiredfromtheBoardanddidnotseek re-election on the same date.

 

TheBoard,throughtheRemunerationandNominationCommittee,regularlyreviewsitscompositionandbelievesthat the current appointments provide an appropriate range of skill, experience and diversity.

 

Each of the Board, the Audit Committee, the Management Engagement Committee and the Remuneration and Nomination Committee undertakes an evaluation of their own performance and that of individual Directors on an annual basis. In order to review their effectiveness, the Board and its Committees carry out a process of formal self- appraisal.TheBoard andtheCommitteesconsiderhowtheyfunctionasawholeandreviewtheindividualperformance of their members. This process is conducted by the Chair of each Committee reviewing the relevant Directors’ performance, contribution and commitment to the Company.

The Senior Independent Director takes the lead in evaluating the performance of the Chair. Prior to her retirement from the Board on 13 September 2023, Claire Whittet served as Senior Independent Director. Bronwyn Curtis was appointed Senior Independent Director on the same date.

 

Board Performance

The performance of the Board and that of each individual Director is scheduled for external evaluation every three years, the most recent of which was completed in 2022.

 

The Board carries out an annual internal evaluation of its performance in years when an external evaluation is not taking place. There were no matters of note in the last annual internal evaluation.

 

The Board needs to ensure that the Audited Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company’s performance, businessmodelandstrategy.Inseekingtoachievethis,theDirectorshavesetouttheCompany’sinvestmentobjective andpolicyandhaveexplainedhowtheBoardanditsdelegatedCommitteesoperateandhowtheDirectorsreviewthe riskenvironmentwithinwhichtheCompanyoperatesandsetsappropriateriskcontrols.Furthermore,throughoutthe Annual Report, the Board has sought to provide further information to enable Shareholders to better understand the Company’s business and financial performance.

 

PolicytoCombatFraud,BriberyandCorruption

The Board has adopted a formal policy to combat fraud, bribery and corruption. The policy applies to the Company and to each of its Directors. Furthermore, the policy is shared with each of the Company’s service providers.

 

In respect of the UK Criminal Finances Act 2017, which introduced a new corporate criminal offence of ‘failing to take reasonable steps toprevent thefacilitation of tax evasion’, the Boardconfirmsthatit is committedtopreventing the facilitation of tax evasion and takes all reasonable steps to do so.

 

SocialandEnvironmentalIssues

The Board also keeps under review developments involving other social and environmental issues, such as modern slavery, and will report on those to the extent they are considered relevant to the Company’s operations. Further explanation of these issues is detailed in the Strategic Report under 'Climate Change and ESG Risks'.

OngoingCharges

The ongoing charges (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, expressed as a percentage of the average of the daily net assets during the year.

 

Ongoing Charges for the years ended 31 December 2023 and 31 December 2022 have been prepared in accordance with the AIC’s recommended methodology.

 

The following table presents the Ongoing Charges for each share class of the Company for the years ended 31 December 2023 and 31 December 2022.

 

31.12.23
	Sterling		USDollar
	Shares		Shares
Company–OngoingCharges	1.59%		1.56%
MasterFund–OngoingCharges	0.57%		0.58%
Performancefees	-		-
OngoingChargesplusperformance fees	2.16%		2.14%
31.12.22
		Sterling	USDollar
		Shares	Shares
Company–OngoingCharges		1.68%	1.74%
MasterFund–OngoingCharges		0.20%	0.22%
Performancefees		4.23%	4.20%
OngoingChargesplusperformance fees		6.11%	6.16%

 

The Master Fund’s ongoing charges represent the portion of the Master Fund’s operating expenses which have been allocated to the Company. The Company invests substantially all of its investable assets in ordinary Sterling and US Dollar-denominated Class B shares issued by the Master Fund. These shares are not subject to management fees and performance fees within the Master Fund. The Master Fund’s operating expenses include an operational services fee payabletotheManagerof1/12of0.5%permonthoftheprevailingMasterFundNAVattributabletotheCompany’s investment in the Master Fund.

AuditCommittee

TheCompany’sAuditCommitteeconductsformalmeetingsatleastthreetimesayearforthepurpose,amongstothers, of consideringthe appointment, independence and effectivenessof the auditand remuneration of the auditors, and to reviewandrecommendtheannualstatutoryaccountsandinterimreporttotheBoardofDirectors.ItischairedbyJohn Le Poidevin and comprises Bronwyn Curtis, Julia Chapman and Caroline Chan. Claire Whittet also served on the Audit Committee until her retirement from the Board on 13 September 2023. The Terms of Reference of the Audit Committee are available on the Company’s website (www.bhmacro.com) or from the Administrator.

 

ManagementEngagementCommittee

The Board has established a Management Engagement Committee with formal duties and responsibilities. The ManagementEngagementCommitteemeetsformallyatleastonceayear,ischairedbyJuliaChapmanandcomprises all members of the Board.

 

ThefunctionoftheManagementEngagementCommitteeistoensurethattheCompany’sManagementAgreementis competitive and reasonable for the Shareholders, along with the Company’s agreements with all other third-party service providers (other than KPMG Channel Islands Limited (the “Independent Auditor”)). The Management Engagement Committee alsomonitors the performanceof all service providers on an annualbasis andwrites to each service provider regarding their Business Continuity Plans. To date, all services have proved to be robust and there has been no disruption to the Company. The Terms of Reference of the Management Engagement Committee are available from the Administrator.

 

ThedetailsoftheManager’sfeesandnoticeperiodaresetoutinnote4totheAuditedFinancialStatements.

 

The Board continuously monitors the performance of the Manager and a review of the Manager is conducted by the Management Engagement Committee annually.

 

TheManagerhas wideexperience inmanaging and administering investment companies and hasaccess toextensive investment management resources.

 

At its meeting on 13 September 2023, the Management Engagement Committee concluded that the continued appointmentofeachoftheManager,theAdministrator,theCompany’sUKandGuernseylegaladvisers,theRegistrar and the Corporate Broker on the terms agreed was in the interests of the Company’s Shareholders as a whole. At the date of this report, the Board continues to be of the same opinion.

 

RemunerationandNomination Committee

The Board established a Remuneration and Nomination Committee on 17 June 2022 with formal duties and responsibilities.TheRemunerationandNominationCommitteemeetsformallyatleastonceayear.Itwaschairedby BronwynCurtisuntil13September2023,afterwhich,CarolineChanbecameChair,andtheCommitteecomprisesall members of the Board.

 

ThefunctionoftheRemunerationandNominationCommitteeisto:

 

• regularly review the structure, size and composition of the Board and make recommendations to the Board with regard to any changes that are deemed necessary;
• identify,fromavarietyofsources,candidatestofillBoardvacanciesasandwhentheyarisewithacontinued focus on Board diversity;
• assess and articulate the time needed to fulfil the role of the Chair and of a non-executive director, and undertake an annual performance evaluation to ensure that all the members of the Board have devoted sufficient timeto their duties,and also to review their contribution to thework of the Board and the breadth of experience of the Board as a whole; and
• annually review the levels of remuneration of each of the Chair of the Board, the Chair of the Audit Committee,theChairofeachother Boardcommitteeandothernon-executivedirectorshavingregardtothe maximum aggregate remuneration that may be paid under the Company’s Articles.

 

InternalControls

ResponsibilityfortheestablishmentandmaintenanceofanappropriatesystemofinternalcontrolrestswiththeBoard and to achieve this, a process has been established which seeks to:

 

• reviewtherisksfacedbytheCompanyandthecontrolsinplacetoaddressthose risks;
• identifyandreportchangesintheriskenvironment;
• identifyandreportchangesintheoperational controls;
• identifyandreportontheeffectivenessofcontrolsanderrorsarising;and
• ensurenooverrideofcontrolsbytheManager,theAdministratorandtheCompany’sotherserviceproviders.

A report is tabled and discussed at each Audit Committee meeting, and reviewed at least once a year by the Board, setting out the Company’s risk exposure and the effectiveness of its risk management and internal control systems. The Board believes that the Company has adequate and effective systems in place to identify, mitigate and manage the risks to which it is exposed.

 

In order to recognise any new risks that could impact the Company and ensure that appropriate controls are in place to manage those risks, the Audit Committee undertakes a regular review of the Company’s risk matrix. This review took place on two occasions during the year.

 

The Board has delegated the management of the Company and the administration, corporate secretarial and registrar functions,includingtheindependentcalculationoftheCompany’sNAVandtheproductionoftheAnnualReportand AuditedFinancialStatements,whichareindependentlyaudited.WhilsttheBoarddelegatesthesefunctions,itremains responsiblefor the functions it delegates and for the systems of internal control. Formal contractual agreements have been put in place between the Company and the providers of these services. On an ongoing basis, Board reports are provided at each quarterly Board meeting by the Manager, the Corporate Broker, the Administrator and Corporate Secretary and the Registrar. A representative from the Manager is asked to attend these meetings.

 

In common with most investment companies, the Company does not have an internal audit function. All of the Company’s management functions are delegated to the Manager, the Administrator and Corporate Secretary and the Registrar which have their own internal audit and risk assessment functions.

 

Further reports are received from the Administrator in respect of compliance, LSE continuing obligations and other matters. The reports were reviewed by the Board. No material adverse findings were identified in these reports.

InternationalTaxReporting

ForpurposesoftheUSForeignAccountTaxComplianceAct,theCompanyregisteredwiththeUSInternalRevenue Services (“IRS”) as a Guernsey reporting Foreign Financial Institution (“FFI”), received a Global Intermediary Identification Number (5QHZVI.99999.SL.831), and can be found on the IRS FFI list.

 

The Common Reporting Standard (“CRS”) is a global standard for the automatic exchange of financial account information developed by the Organisation for Economic Co-operation and Development (“OECD”). The Company made its latest report for CRS to the Director of Income Tax on 30 June 2023.

 

RelationswithShareholders

The Board welcomes Shareholders’ views and places great importance on communication with the Company’s Shareholders. The Board receives regular reports on the views of Shareholders and the Chair and other Directors are availabletomeetShareholders,withanumberofsuchmeetingstakingplaceduringtheyear.TheCompanyprovides weekly unaudited estimates of NAV, month end unaudited estimates and unaudited final NAVs. The Company also provides a monthly newsletter. These are published via RNS and are also available on the Company’s website. Risk reports of the Master Fund are also available on the Company’s website.

The Manager maintains regular dialogue with institutional Shareholders, the feedback from which is reported to the Board. Shareholders who wish tocommunicate with the Board should contact the Administrator in thefirst instance.

 

Having reviewed the Financial Conduct Authority’s restrictions on the retail distribution of non-mainstream pooled investments, the Company, after taking legal advice, announced on 15 January 2014 that it is outside the scope of those restrictions, so that its shares can continue to be recommended by UK authorised persons to ordinary retail investors.

 

In accordance with the AIC Code, when 20 per cent or more of Shareholder votes have been cast against a Board recommendationforaresolution,theCompanyshouldexplain,whenannouncingvotingresults,whatactionsitintends to take to consult Shareholders in order to understand the reasons behind the result. An update on theviews received fromShareholdersandactionstakenshouldbepublishednolaterthansixmonthsaftertheShareholdermeeting.The Board should then provide a final summary in the Annual Report and, if applicable, in the explanatory notes to resolutions at the next Shareholders’ meeting, on what impact the feedback has had on the decisions the Board has takenandanyactionsorresolutionsnowproposed.Duringtheyear,noresolutionrecommendedbytheBoardreceived 20 per cent or more votes against it.

 

SignificantShareholders

Asat21 March 2024,thefollowingShareholdershadsignificantshareholdingsintheCompany:

 

			% holding
			in class
Significant Shareholders
Sterling Shares
Ferlim Nominees Limited			15.7%
Rathbone Nominees Limited			8.9%
Smith & Williamson Nominees Limited			8.0%
Cheviot Capital (Nominees) Limited			6.1%
Lion Nominees Limited			4.8%
Vidacos Nominees Limited			4.5%
Pershing Nominees Limited			4.3%
Vestra Nominees Limited			3.7%
Nortrust Nominees Limited			3.4%
Brewin Nominees Limited			3.2%
HSBC Global Custody Nominee (UK) Limited			3.2%
			% holding
			in class
Significant Shareholders
US Dollar Shares
Hero Nominees Limited			14.5%
Euroclear Nominees			12.8%
Vidacos Nominees			11.8%
Luna Nominees Limited			4.6%
CGWL Nominees Limited			3.8%
Aurora Nominees Limited			3.4%
Lynchwood Nominees Limited			3.0%
Rathbone Nominees Limited			3.0%

 

Signed on behalf of the Board by:

RichardHorlick

Chair

 

John Le Poidevin

Director

 

27 March 2024

 

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

The Directors are responsible for preparing the Annual Report and Audited Financial Statements in accordance with applicable law and regulations.

 

The Companies (Guernsey) Law, 2008 requires the Directors to prepare financial statements for each financial year. Theyhaveresolvedtopreparethefinancialstatementsinaccordancewithaccountingprinciplesgenerallyacceptedin the United States of America.

 

TheDirectors,bylaw,mustnotapprovethefinancialstatementsunlesstheyaresatisfiedthattheygiveatrueandfair viewofthestateofaffairsoftheCompanyandofitsprofitorlossforthatyear.Inpreparingthesefinancialstatements, the Directors are required to:

 

• select suitable accounting policies and then apply them consistently;
• make judgements and estimates that are reasonable, relevant and reliable;
• state whether applicable accounting standards have been followed, subject to any material departures disclosed and explained in the financial statements;
• assess the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to the going concern basis; and
• use the going concern basis of accounting unless liquidation is imminent.

 

The Directors are responsible for keeping proper accounting records that are sufficient to show and explain the Company’stransactionsanddisclosewithreasonableaccuracyatanytimethefinancialpositionoftheCompanyand enable them to ensure that its financial statements comply with the Companies (Guernsey) Law, 2008. They are responsible for such internal control as they determine is necessary to enable the preparation of financial statements thatarefreefrommaterialmisstatement,whetherduetofraudorerror,andhavegeneralresponsibilityfortakingsuch stepsasarereasonablyopentothemtosafeguardtheassetsoftheCompanyandtopreventanddetectfraudandother irregularities.

TheDirectorsareresponsibleforthemaintenanceandintegrityofthecorporateandfinancialinformationincludedon theCompany’swebsite.LegislationinGuernseygoverningthepreparationanddisseminationoffinancialstatements may differ from legislation in other jurisdictions.

RESPONSIBILITY STATEMENT OF THE DIRECTORS IN RESPECT OF THE ANNUAL FINANCIAL REPORT

Weconfirmthatto thebestofour knowledge:

 

• so far as each of the Directors is aware, there is no relevant audit information of which the Company’s Independent Auditor is unaware, and each has taken all the steps they ought to have taken as a Director to make themselves aware of any relevant information and to establish that the Company’s Independent Auditor is aware of that information;
• the financial statements, prepared in accordance with the applicable set of accounting standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and
• each of the Chair’s Statement, the Strategic Report, the Directors’ Report and the Manager’s Report includes a fair review of the development and performance of the business and the position of the Company, together with a description of the principal risks and uncertainties that it faces.

We consider the Annual Report and Audited Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary for Shareholders to assess the Company’s position and performance, business model and strategy.

SignedonbehalfoftheBoardby:

RichardHorlick

Chair

 

JohnLePoidevin

Director

 

27 March 2024

 

Directors’RemunerationReport

31December2023

 

Introduction

An ordinary resolution for the approval of the Directors’ Remuneration Report in the Company’s annual audited financial statements for the year ended 31 December 2022, was passed by the Shareholders at the Annual General Meeting held on 13 September 2023.

Remunerationpolicy

A Remuneration and Nomination Committee was established on 17 June 2022. Prior to this, the Board as a whole consideredmattersrelatingtotheDirectors’remuneration.Noadviceorserviceswereprovidedbyanyexternalperson in respect of its consideration of the Directors’ remuneration.

 

The Company’s policy is that the fees payable to the Directors should reflect the time spent by the Directors on the Company’s affairs and the responsibilities borne by the Directors and be sufficient to attract, retain and motivate Directors of a quality required to run the Company successfully. The Chair of the Board is paid a higher fee in recognition of his additional responsibilities, as are the Chairs of the various Board committees and the Senior IndependentDirector.Thepolicyistoreviewfeeratesperiodically,althoughsuchareviewwillnotnecessarilyresult in any changes to the rates, and account is taken of fees paid to Directors of comparable companies.

 

Therearenolong-termincentiveschemesprovidedbytheCompanyandnoperformancefeesarepaidtoDirectors.

NoDirectorhasaservicecontractwiththeCompanybuteachoftheDirectorsisappointedbyaletterofappointment which sets out the main terms of their appointment. The Directors were appointed to the Board for an initial term of threeyearsandArticle21.3oftheCompany’s Articles requires,asdoestheAIC Code,that all of theDirectorsretire ateachAnnualGeneralMeeting.AttheAnnualGeneralMeetingoftheCompanyon13September2023,Shareholders re-electedalltheDirectors,exceptforClaireWhittet,whoretiredfromtheBoardanddidnotseekre-election.Director appointments can also be terminated in accordance with the Articles. Should Shareholders vote against a Director standingforre-election,theDirectoraffectedwillnotbeentitledtoanycompensation.Therearenosetnoticeperiods and a Director may resign by notice in writing to the Board at any time.

 

Directorsareremuneratedintheformoffees,payablequarterlyinarrears,totheDirector personally.

No otherremuneration or compensation was paid or payable by the Company during the year to any of the Directors apart from the reimbursement of allowable expenses.

 

Directors’fees

Until30June2022,theCompany’sArticleslimitedthefeespayabletoDirectorsinaggregateto£400,000perannum. The annualDirectors’ fees were: £70,000 for RichardHorlick, the Chair; £55,000 for John Le Poidevin, the Chair of theAuditCommittee;£50,000forClaireWhittet,asChairoftheManagementEngagementCommitteeandtheSenior Independent Director and £45,000 for all other Directors.

 

TheannualDirectors’feesfrom1July2022havebeen:

Role	Fee per annum £
BoardChair	90,000
Audit CommitteeChair	65,000
ManagementEngagementCommitteeChair	55,000
RemunerationandNominationCommitteeChair	55,000
SeniorIndependentDirector	55,000
Allother Directors	50,000

 

The annual aggregate limit of fees payable to Directors is £800,000 per annum. The Remuneration and Nomination Committee carried out a review of the fees at the most recent meeting, held on 7 December 2023, where it was concluded that no changes should be made.

 

ThefeespayablebytheCompanyinrespectofeachof theDirectorswhoservedduringtheyearended31December 2023 and the year ended 31 December 2022 were as follows:

 

	Year ended	Year ended
	31.12.23 £	31.12.22 £
RichardHorlick	90,000	80,000
Caroline Chan*	51,586	3,562
JuliaChapman	55,000	50,000
BronwynCurtis	55,000	50,000
JohnLePoidevin	65,000	60,000
Claire Whittet**	38,801	52,500
Total	355,387	296,062

 

* CarolineChanwasappointedtotheBoardon6December2022atafeeof£50,000p.a.Followingher appointmentasChairoftheRemunerationandNominationCommittee,herfeewasincreasedto£55,000p.a.

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

 

CarolineChan

RemunerationandNominationCommittee Chair

27 March 2024

 

ReportoftheAuditCommittee

31December 2023

 

We present the Audit Committee’s (the “Committee”) Report for 2023, setting out the Committee’s structure and composition, principal duties and key activities during the year. As in previous years, the Committee has reviewed the Company’s financial reporting, the independence and effectiveness of the Independent Auditor and the internal control and risk management systems of the service providers.

 

Structure andComposition

TheCommitteeischairedbyJohnLePoidevinanditsothermembersareBronwynCurtis, JuliaChapmanandCaroline Chan. Claire Whittet served on the Audit Committee until her retirement from the Board on 13 September 2023.

Appointment to the Committee is for a period of up to three years which may be extended for two further three-year periods, provided that the majority of the Committee remains independent of the Manager. John Le Poidevin is currentlyservinghisthirdterm,BronwynCurtisisservinghersecondtermandJuliaChapmanandCarolineChanare serving their first terms.

 

The Committee conducts formal meetings at least three times a year. The table in the Directors’ Report sets out the number of Committee meetings held during the year ended 31 December 2023 and the number of such meetingsattendedby each committee member. TheIndependentAuditor is invited to attend those meetings atwhich theannualandinterimreportsareconsidered.TheIndependentAuditorandtheCommitteewillmeettogetherwithout representatives of either the Administrator or the Manager being present if the Committee considers this to be necessary.

PrincipalDuties

TheroleoftheCommitteeincludes:

•      monitoring the integrity of the published Financial Statements of the Company;
• reviewing and reporting to the Board on the significant issues and judgements made in the preparation of the Company’s published Financial Statements (having regard to matters communicated by the Independent Auditor), significant financial returns to regulators and other financial information;
• monitoring and reviewing the quality and effectiveness of the Independent Auditor and their independence;
• considering and making recommendations to the Board on the appointment, reappointment, replacement and remuneration to the Company’s Independent Auditor; and
• monitoring and reviewing the internal control and risk management systems of the service providers.
• The complete details of the Committee’s formal duties and responsibilities are set out in the Committee’s Terms of Reference, which can be obtained from the Company’s Administrator.

 

TheindependenceandobjectivityoftheIndependentAuditorisreviewedbytheCommittee, whichalsoreviewsthe termsunderwhichtheIndependentAuditorisappointedtoperformnon-auditservices,whichincludesconsideration of the Financial Reporting Council (“FRC”) Revised Ethical Standard 2019. The Committee has also established policies and procedures for the engagementof the Company’s auditor to provide audit, assurance and other services. Theservices which the Independent Auditor may notprovide are any which:

•      places them in a position to audit their own work;
•      creates a mutuality of interest;
•      results in the Independent Auditor functioning as a manager or employee of the Company; or
•      puts the Independent Auditor in the role of advocate of the Company.

 

IndependentAuditor

The audit and any non-audit fees proposed by the Independent Auditor each year are reviewed by the Committee taking into account the Company’s structure, operations and other requirements during the year and the Committee makes recommendations to the Board.

KPMG Channel Islands Limited (“KPMG CI”) has been the Company’s Independent Auditor from the date of the initial listing on the London Stock Exchange. The external audit was most recently tendered for the year ended 31 December 2016, where KPMG CI was re-appointed as auditor following the completion of the tender process.

KeyActivitiesin 2023

ThefollowingsectionsdiscusstheassessmentmadebytheCommitteeduringthe year:

 

SignificantFinancialStatement Issues

TheCommittee’sreviewoftheannualAuditedFinancialStatementsfocusedonthefollowing area:

 

The Company’s investment in the Master Fund had a fair value of US$2,038.6 million as at 31 December 2023 and represents substantially all the net assets of the Company. The valuation of the investment is determined in accordance with the Accounting Policies set out in note 3 to the Audited Financial Statements. The Financial Statements of the Master Fund for the year ended 31 December 2023 were audited by KPMG Cayman who issued an unqualified audit opinion dated 26 March 2024. The Audit Committee has reviewed the Financial Statements of the Master Fund and the accounting policies and determined the fair value of the investment as at 31 December 2023 is reasonable.

 

This matter was discussed during the planning and final stage of the audit and there was no significant divergence of views between the Committee and the Independent Auditor.

 

The Committee has carried out a robust assessment of the risks to the Company in the context of making the Viability Statement in these Audited Financial Statements. Furthermore, the Committee has concluded it appropriate to continue to prepare the Audited Financial Statements on the going concern basis of accounting.

 

EffectivenessoftheAudit

The Committee held formal meetings with KPMG CI during the course of the year: 1) before the start of the audit to discuss formal planning and to discuss any potential issues and to agree the scope that would be covered; and 2) after the audit work was concluded, to discuss the significant issues including those stated above.

 

The Committee considered the effectiveness and independence of KPMG CI by using a number of measures, including but not limited to:

•      reviewingtheauditplan presentedtothembeforethestartoftheaudit;
•      reviewingandchallengingtheauditfindingsreportincludingvariationsfromtheoriginalplan;
•      reviewinganychangesinauditpersonnel;and
•      requestingfeedbackfromboththeManagerandthe Administrator.

 

Further to the above, during the year ended 31 December 2023, 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 2023 evaluation.

 

AuditFeesandSafeguardsonNon-AuditServices

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 2023 and 31 December 2022.

 

 

	Year ended	Year ended
	31.12.23 £	31.12.22 £
Annualaudit	70,200	65,000
Interimreview	35,500	33,000

 

The Audit Committee has examined the scope and results of the external audit, its cost effectiveness and the independenceandobjectivityoftheIndependentAuditor,withparticularregardtonon-auditfees,andconsidersKPMG CI, as Independent Auditor, to be independent of the Company. Further, the Committee has obtained KPMG CI’s confirmationthattheservicesprovidedbyotherKPMGmemberfirmstothewiderBrevanHowardorganisationdonot prejudice its independence.

 

FRCAuditCommitteesandExternalAuditMinimumStandard

During the year the Audit Committee conducted an assessment of compliance with the FRC Audit Committees and ExternalAuditMinimumStandard,publishedinMay2023.TheAuditCommitteewassatisfiedthatitscurrentprocesses achieved a high level of adherence and where relevant these standards have been incorporated into its Terms of Reference.

 

InternalControl

TheAuditCommitteehasalsoreviewedtheneedforaninternalauditfunction.TheCommitteehasconcludedthatthe systemsandproceduresemployedbytheManagerandtheAdministrator,includingtheirowninternalauditfunctions, currentlyprovidesufficientassurancethatasoundsystemofinternalcontrol,whichsafeguardstheCompany’sassets, is maintained. An internal audit function specific to the Company is therefore considered unnecessary.

TheCommitteeexaminedexternallypreparedassessmentsofthecontrolenvironmentinplaceattheManagerandthe Administrator,with theManager providing an InternationalStandardonAssuranceEngagements (“ISAE3402”)report and the Administrator providing a Service Organisation Control (“SOC1”) report. No significant findings have been noted during the year.

 

ConclusionandRecommendation

Afterreviewingvariousreportssuchastheoperationalandriskmanagementframeworkandperformancereportsfrom theManagerandtheAdministrator,consultingwherenecessarywithKPMGCI,andassessingthesignificantAudited 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 reportedandthedisclosures).TheCommitteeisalsosatisfiedthatthesignificantassumptionsusedfordeterminingthe 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 2023 Annual Report and Audited FinancialStatementsarefair,balancedandunderstandableandprovidethenecessaryinformationforShareholdersto assess the Company’s performance, business model and strategy.

 

TheIndependentAuditorreportedtotheCommitteethatnounadjustedmaterialmisstatementswerefoundinthecourse ofitswork.Furthermore,boththeManagerandtheAdministratorconfirmedtotheCommittee thattheywerenotaware 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.

Consequentto thereview processontheeffectivenessoftheindependentauditandthereview ofauditandnon-audit services, the Committee has recommended that KPMG CI be reappointed for the coming financial year.

 

ForanyquestionsontheactivitiesoftheCommitteenotaddressedintheforegoing,amemberoftheAuditCommittee remains available to attend each Annual General Meeting to respond to such questions.

JohnLePoidevin

AuditCommitteeChair

 

27 March 2024

 

Manager’sReport

Brevan Howard Capital Management LP (“BHCM” or the “Manager”) is the manager of BH Macro Limited (the “Company”)andofBrevanHowardMasterFundLimited(the“MasterFund”).TheCompanyinvestsallofitsassets (net of short-term working capital) in the ordinary shares of the Master Fund.

 

PerformanceReview

TheNAVpershareoftheUSDsharesoftheCompanydepreciatedby-1.33%during2023andtheNAVpershareof the GBP shares depreciated by -1.81%.

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

 

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	0.00	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)

 

 

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)

Source:MasterFundNAVdataisprovidedbytheadministratoroftheMasterFund,StateStreetFundServices(Ireland)Limited.TheCompany’sNAVandNAVperSharedataisprovidedbytheCompany’sadministrator,NorthernTrustInternationalFundAdministrationServices(Guernsey)Limited.

 

TheCompany’sNAVperShare%MonthlyChangeiscalculatedby BHCM.

TheCompany’sNAVdataisunauditedandnetofallinvestmentmanagementandperformancefeesandallotherfeesandexpenses payablebytheCompany. In addition, the Company’s investment in the Master Fund is subject to an operational services fee.

 

NAVperformanceisprovidedforinformationpurposesonly.SharesintheCompanydonotnecessarilytradeatapriceequalto theprevailingNAVperShare.

 

Dataasat29December2023.

 

PASTPERFORMANCEISNOTINDICATIVEOFFUTURERESULTS

 

QuarterlyandAnnualcontribution(%)totheperformanceoftheCompany’sUSDShares(netoffeesand expenses) by asset class*

ThisinformationisgiveninUS$only,consistentwithmonthlyshareholderreportingfortheunderlyingUS$denominatedMasterFund.

 

	Rates	FX	Commodities	Credit	Equity	DigitalAssets	DiscountManagement	TOTAL
Q1 2023	(1.37)	(0.71)	(0.22)	0.14	(1.25)	0.19	0.04	(3.19)
Q2 2023	(1.37)	(0.54)	(0.34)	(0.07)	(0.11)	(0.14)	0.00	(2.55)
Q3 2023	2.25	0.03	0.07	(0.07)	0.20	(0.14)	0.00	2.36
Q4 2023	2.30	(0.47)	(0.03)	0.23	(0.52)	0.69	0.00	2.18
2023	1.75	(1.68)	(0.52)	0.23	(1.67)	0.60	0.04	(1.33)

 

Dataasat29December2023.

QuarterlyandYTDfiguresarecalculatedbyBHCMasat29December2023,basedonperformancedataforeachperiodprovidedbytheCompany’sadministrator, Northern Trust. Figures rounded to two decimal places.

PASTPERFORMANCEISNOTINDICATIVEOFFUTURERESULTS

MethodologyandDefinitionofContributiontoPerformance:

Attributionbyassetclassisproducedattheinstrumentlevel,withadjustmentsmadebasedonriskestimates.

*Theaboveassetclassesarecategorisedasfollows:“Rates”: interest rates markets

“FX”:FXforwardsandoptions

“Commodities”:commodityfuturesandoptions

“Credit”: corporate and asset-backed indices, bonds and CDS“Equity”:equitymarketsincludingindicesandotherderivatives“Digital Assets”: crypto-currencies including derivatives

“DiscountManagement”:buybackactivityorsharesfromtreasury

PerformanceandEconomicOutlook Commentary

The environment for macro trading in the past year was very different to 2022, which was, in terms of performance, one of the best years in our more than 20-year history with the NAV per share of the GBP shares of the Company increasingby21.91%.Thisyearsawsignificantchallengesandtherewasadeclinein theNAVpershareoftheGBP shares of the Company of -1.81%.

 

Macro trading in the first quarter was influenced by the surprising strength of the US economy against a background ofwidespreadrecessionfears.ThiscausedtheFedtopivothawkishlyandhintatfurtherhikes.Notably,ChairPowell in his March testimony to Congress suggested that interestrates needed to be increased at a faster pace, suggesting a return to 50-basis-point rate increases.

 

Ourmacroportfoliomanagersleanedintothisviewwitharangeofpositionstobenefitfromanaccelerationoffurther tightening. In the event, the shock triggered two of the largest bank failures in history. Silicon Valley Bank failed almostimmediatelyandCreditSuissewasresolvedjustaweeklater.Thedramaticreversal—especiallyinshort-term interest rates, which staged some of their biggest one-day rallies in history — caused these positions to incur losses. Our well-established risk discipline ensured that the positions most affected were cut immediately. The Master Fund was placed in a strong position given the increased uncertainty about the strength of banks more generally and the possibility of a knock-on effect on financial markets.

Overthesubsequentquarter,itwasunclearwhethertheUSandEuroareaswouldcontinuetopoweraheadorsuffera credit crunch. The interplay between strong economic data with the potential for an ongoing wave of bank failures madeforchoppy,trendlessmarketsduringwhichourrisklevelsremainedmuted.Marketliquiditywasweakandthis, combinedwithconcernsaboutthefinancialsector,madeusparticularlysensitivetotailrisksespeciallythoserelating to leverage across the wider market. This risk discipline had a material dampening impact on our macro directional risk-taking through to the fourth quarter of the year.

In parallel with this, we conducted a review to seek to ensure that the Master Fund remains optimally positioned to executeonitskeyobjective:thatofcontinuingtheexceptionallong-termtrackrecordproducedforinvestors.Aspart of this process, we assembled a dedicated team to carry out a comprehensive, critical assessment of the capital allocationswithinthefund.Theteamexaminedabroadrangeoffactorsthatdrivesperformance,includingtheunique return and downside characteristics of the underlying trading strategies, and how they interact together. They also scrutinized individual portfolio managers’ performance profiles, their ability to structure convexity and the extent to which they contribute to diversification. This work led to a series of improvements to capital allocations across strategies and portfolio managers, improvements to several trading mandates and the closure of underperforming trading books.

Atahighlevel,theaimoftheseadjustmentsistoseektoenhancetheMasterFund’sabilitytogeneratehighlyconvex and uncorrelated returns through an improved focus on monetising macro opportunities while protecting the unique return characteristics that distinguish the Fund.

Lookingforward,theopportunitysetformacrotradinglookssettobeextremelyinterestingandmacroconsiderations arelikelytomattermorethanevertoeveryinvestor.Whileitishardtoidentifyparadigmshiftsinrealtime,thesecular stagnation era may have ended. There are three factors that may drive the shift towards structurally higher interest rates and more economic volatility than occurred in the post-Global Financial Crisis period.

 

First,fiscalandmonetarypolicyarenolongera“freelunch”.Publicdebtsoaredinthewakeofthepandemic,limiting fiscalspacegoingforward. Centralbankssuffered reputationaldamagefrommissing their inflation mandates,which islikelytomakethemreluctanttoembraceunconventionalmonetarypolicyinresponsetofinancialmarketvolatility.

 

Second, China plans to emphasize state-led growth, common prosperity, and national security — a sharp departure from the last40yearswhen theirfree-wheeling economicgrowthpowered theglobaleconomy.China’s contribution toreducingglobalinflationthroughunfetteredtradeinrecentdecadesisalsolikelytodiminish,andstructurallyslower growth in China should result in fewer of its financial reserves being recycled into international markets.

Finally,thereareongoingwarswiththeprospectloomingforfurthergreatpowerconflict.Anewlandscapeofgreater geopoliticaltensionandcompetitionwillmeanbiggerbudgetdeficits,higherinflation,andgreateruncertainty.Inthis kindoffuture,investorswillhavetooperateinamorevolatileeconomicenvironmentwithoutthecomfortofafiscal or monetary safety net.

 

Forallofthesereasons,afocusonmacrofactorswithinportfolioswillbeessentialandtheopportunitysetformacro trading is likely to be very rich. Brevan Howard is well-positioned to navigate this environment in service to our clients. Brevan Howard wishes to thank shareholders once again for their continued support.

 

BrevanHowardCapitalManagementLP, acting by its sole general partner,

BrevanHowardCapitalManagement Limited.

27 March 2024

 

IndependentAuditor’sReporttotheMembersofBHMacroLimited

 

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 2023, 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:

 

• give a true and fair view of the financial position of the Company as at 31 December 2023, and of the Company’s financial performance and cash flows for the year then ended;
• are prepared in accordance with U.S. generally accepted accounting principles; and
• comply with the Companies (Guernsey) Law, 2008.

 

Basis for opinion

 

We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities are described below. We have fulfilled our ethical responsibilities under, and are independent of the Company in accordance with, UK ethical requirements including the FRC Ethical Standard as required by the Crown Dependencies’ Audit Rules and Guidance. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion.

 

Key audit matters: our assessment of the risks of material misstatement

 

Key audit matters are those matters that, in our professional judgment, were of most significance in the audit of the financial statements and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by us, including those which had the greatest effect on: the overall audit strategy; the allocation of resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.  In arriving at our audit opinion above, the key audit matter was as follows (unchanged from 2022):

 

	The risk	Our response
Valuation of Investment in Brevan Howard Master Fund Limited (the “Master Fund”)   $2,038,614,000 (2022: $1,628,766,000)   Refer to the Report of the Audit Committee and note 3 accounting policy	Basis: The Company, which is a multi-class feeder fund, had invested 98.27% (2022: 99.29%) of its net assets at 31 December 2023 into the ordinary US Dollar and Sterling denominated Class B Shares issued by the Master Fund, which is an open-ended investment company.   The Company’s investment holdings in the Master Fund are valued using the respective net asset value per share class as provided by the Master Fund’s independent administrator.   Risk:   The valuation of the Company’s investment in the Master Fund, given that it represents the majority of the net assets of the Company, is a significant area of our audit.	Our audit procedures included, but were not limited to: Obtained an independent confirmation from the administrator of the Master Fund detailing the net asset value per share for both the US Dollar and Sterling Class B shares and reconciled these to the net asset values used in the valuation of the investment in the Master Fund;   Assessed the audit work performed by the auditor of the Master Fund by gaining insight over the work performed on the significant elements of the Master Fund’s net asset value and by holding discussions on key audit findings with the auditor of the Master Fund; and   Examined the Master Fund’s coterminous audited financial statements to corroborate the net asset value per share of both the US Dollar and Sterling Class B shares.   We also considered the Company’s investment valuation policies as disclosed in note 3 to the financial statements for conformity with U.S. generally accepted accounting principles.

 

Our application of materiality and an overview of the scope of our audit

Materiality for the financial statements as a whole was set at £29,700,000, determined with reference to a benchmark of net assets of $2,074,531,000, of which it represents approximately 1.5% (2022: 1.5%).

 

In line with our audit methodology, our procedures on individual account balances and disclosures were performed to a lower threshold, performance materiality, so as to reduce to an acceptable level the risk that individually immaterial misstatements in individual account balances add up to a material amount across the financial statements as a whole. Performance materiality for the Company was set at 75% (2022: 75%) of materiality for the financial statements as a whole, which equates to $22,200,000. We applied this percentage in our determination of performance materiality because we did not identify any factors indicating an elevated level of risk.

 

We reported to the Audit Committee any corrected or uncorrected identified misstatements exceeding $1,485,000, in addition to other identified misstatements that warranted reporting on qualitative grounds. 

 

Our audit of the Company was undertaken to the materiality level specified above, which has informed our identification of significant risks of material misstatement and the associated audit procedures performed in those areas as detailed above. 

 

Going concern

 

The directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Company or to cease its operations, and as they have concluded that the Company’s financial position means that this is realistic. They have also concluded that there are no material uncertainties that could have cast significant doubt over its ability to continue as a going concern for at least a year from the date of approval of the financial statements (the “going concern period”).

 

In our evaluation of the directors’ conclusions, we considered the inherent risks to the Company’s business model and analysed how those risks might affect the Company’s financial resources or ability to continue operations over the going concern period. The risks that we considered most likely to affect the Company’s financial resources or ability to continue operations over this period were:

 

• Availability of capital to meet operating costs and other financial commitments; and
• The likelihood of a share class closure or liquidation resolution votes being triggered.

 

We considered whether these risks could plausibly affect the liquidity in the going concern period by comparing severe, but plausible downside scenarios that could arise from these risks individually and collectively against the level of available financial resources indicated by the Company’s financial forecasts.

 

We considered whether the going concern disclosure in note 3 to the financial statements gives a full and accurate description of the directors' assessment of going concern.

 

Our conclusions based on this work:

 

• we consider that the directors' use of the going concern basis of accounting in the preparation of the financial statements is appropriate;
• we have not identified, and concur with the directors' assessment that there is not, a material uncertainty related to events or conditions that, individually or collectively, may cast significant doubt on the Company's ability to continue as a going concern for the going concern period; and
• we have nothing material to add or draw attention to in relation to the directors' statement in the notes to the financial statements on the use of the going concern basis of accounting with no material uncertainties that may cast significant doubt over the Company's use of that basis for the going concern period, and that statement is materially consistent with the financial statements and our audit knowledge.

 

However, as we cannot predict all future events or conditions and as subsequent events may result in outcomes that are inconsistent with judgements that were reasonable at the time they were made, the above conclusions are not a guarantee that the Company will continue in operation.

 

Fraud and breaches of laws and regulations – ability to detect

 

Identifying and responding to risks of material misstatement due to fraud

 

To identify risks of material misstatement due to fraud (“fraud risks”) we assessed events or conditions that could indicate an incentive or pressure to commit fraud or provide an opportunity to commit fraud. Our risk assessment procedures included:

 

• enquiring of management as to the Company’s policies and procedures to prevent and detect fraud as well as enquiring whether management have knowledge of any actual, suspected or alleged fraud;
• reading minutes of meetings of those charged with governance; and
• using analytical procedures to identify any unusual or unexpected relationships.

 

As required by auditing standards, we perform procedures to address the risk of management override of controls, in particular the risk that management may be in a position to make inappropriate accounting entries. On this audit we do not believe there is a fraud risk related to revenue recognition because the Company’s revenue streams are simple in nature with respect to accounting policy choice, and are easily verifiable to external data sources or agreements with little or no requirement for estimation from management. We did not identify any additional fraud risks.

 

We performed procedures including

 

• Identifying journal entries and other adjustments to test based on risk criteria and comparing any identified entries to supporting documentation; and
• incorporating an element of unpredictability in our audit procedures.

 

Identifying and responding to risks of material misstatement due to non-compliance with laws and regulations

 

We identified areas of laws and regulations that could reasonably be expected to have a material effect on the financial statements from our sector experience and through discussion with management (as required by auditing standards), and from inspection of the Company’s regulatory and legal correspondence, if any, and discussed with management the policies and procedures regarding compliance with laws and regulations. As the Company is regulated, our assessment of risks involved gaining an understanding of the control environment including the entity’s procedures for complying with regulatory requirements.

 

The Company is subject to laws and regulations that directly affect the financial statements including financial reporting legislation and taxation legislation and we assessed the extent of compliance with these laws and regulations as part of our procedures on the related financial statement items.

 

The Company is subject to other laws and regulations where the consequences of non-compliance could have a material effect on amounts or disclosures in the financial statements, for instance through the imposition of fines or litigation or impacts on the Company’s ability to operate. We identified financial services regulation as being the area most likely to have such an effect, recognising the regulated nature of the Company’s activities and its legal form. Auditing standards limit the required audit procedures to identify non-compliance with these laws and regulations to enquiry of management and inspection of regulatory and legal correspondence, if any. Therefore if a breach of operational regulations is not disclosed to us or evident from relevant correspondence, an audit will not detect that breach.

 

Context of the ability of the audit to detect fraud or breaches of law or regulation

Owing to the inherent limitations of an audit, there is an unavoidable risk that we may not have detected some material misstatements in the financial statements, even though we have properly planned and performed our audit in accordance with auditing standards. For example, the further removed non-compliance with laws and regulations is from the events and transactions reflected in the financial statements, the less likely the inherently limited procedures required by auditing standards would identify it. 

 

In addition, as with any audit, there remains a higher risk of non-detection of fraud, as this may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal controls. Our audit procedures are designed to detect material misstatement. We are not responsible for preventing non-compliance or fraud and cannot be expected to detect non-compliance with all laws and regulations.

 

Other information

The directors are responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our auditor's report thereon. Our opinion on the financial statements does not cover the other information and we do not express an audit opinion or any form of assurance conclusion thereon.

 

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

 

Disclosures of emerging and principal risks and longer term viability

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ disclosures in respect of emerging and principal risks and the viability statement, and the financial statements and our audit knowledge. we have nothing material to add or draw attention to in relation to:

 

• the directors’ confirmation within the Viability Statement that they have carried out a robust assessment of the emerging and principal risks facing the Company, including those that would threaten its business model, future performance, solvency or liquidity;
• the emerging and principal risks disclosures describing these risks and explaining how they are being managed or mitigated;
• the directors’ explanation in the Viability Statement as to how they have assessed the prospects of the Company, over what period they have done so and why they consider that period to be appropriate, and their statement as to whether they have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the period of their assessment, including any related disclosures drawing attention to any necessary qualifications or assumptions.

 

We are also required to review the Viability Statement, under the Listing Rules. Based on the above procedures, we have concluded that the above disclosures are materially consistent with the financial statements and our audit knowledge.

 

Corporate governance disclosures

We are required to perform procedures to identify whether there is a material inconsistency between the directors’ corporate governance disclosures and the financial statements and our audit knowledge.

 

Based on those procedures, we have concluded that each of the following is materially consistent with the financial statements and our audit knowledge:

 

• the directors’ statement that they consider that the annual report and financial statements taken as a whole is fair, balanced and understandable, and provides the information necessary for shareholders to assess the Company’s position and performance, business model and strategy;
• the section of the annual report describing the work of the Audit Committee, including the significant issues that the audit committee considered in relation to the financial statements, and how these issues were addressed; and
• the section of the annual report that describes the review of the effectiveness of the Company’s risk management and internal control systems.

 

We are required to review the part of Corporate Governance Statement  relating to the Company’s compliance with the provisions of the UK Corporate Governance Code specified by the Listing Rules for our review. We have nothing to report in this respect. 

 

We have nothing to report on other matters on which we are required to report by exception

 

We have nothing to report in respect of the following matters where the Companies (Guernsey) Law, 2008 requires us to report to you if, in our opinion:

 

• the Company has not kept proper accounting records; or
• the financial statements are not in agreement with the accounting records; or
• we have not received all the information and explanations, which to the best of our knowledge and belief are necessary for the purpose of our audit.

 

Respective responsibilities

 

Directors' responsibilities

As explained more fully in their statement, 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 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 2024

 

Audited Statement of Assets and Liabilities

As at 31 December 2023

 

	31.12.23 US$'000	31.12.22 US$'000
Assets
InvestmentintheMasterFund(note3)	2,038,614	1,628,766
MasterFundredemptionproceedsreceivable	20,697	70,411
Prepaidexpenses	47	43
CashandbankbalancesdenominatedinSterling	18,367	7,271
CashandbankbalancesdenominatedinUSDollars	1,284	639
Totalassets	2,079,009	1,707,130
Liabilities
Performancefeespayable(note4)	2	62,261
Managementfeespayable(note4)	2,771	4,224
Purchaseofsharesintotreasurypayable	1,477	-
Accruedexpensesandotherliabilities	148	117
Directors'feespayable	-	14
Administrationfeespayable(note4)	80	66
Totalliabilities	4,478	66,682
Netassets	2,074,531	1,640,448
Numberofsharesinissue(note5)
Sterling shares	372,024,149	30,156,454*
USDollarshares	29,856,472	2,858,135*
Netassetvaluepershare(notes7and9)
Sterling shares	£4.11	£41.81*
USDollarshares	US$4.27	US$43.28*

 

SeeaccompanyingNotesto the Audited Financial Statements.

 

SignedonbehalfoftheBoardby:

 

 

 

Richard Horlick

Chair

 

 

 

JohnLePoidevin

Director

 

27 March 2024

 

* The Number of Shares In Issue and Net Asset Value Per Share as of 31 December 2022 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.

 

Audited Statement of Operations

Fortheyear ended 31 December 2023

 

	01.01.23 to31.12.23 US$'000	01.01.22 to31.12.22 US$'000
Netinvestmentgain/(loss)allocatedfromtheMasterFund
Interestincome	99,983	14,309
Dividendandotherincome(net ofwithholdingtax:
31December2023:US$94,653; 31December2022:US$127,840)	5,176	6,166
Expenses	(91,827)	(24,561)
Netinvestmentgain/(loss)allocatedfromtheMasterFund	13,332	(4,086)
Companyincome
Bankinterestincome	792	32
Foreignexchangegains(note3)	108,508	-
TotalCompany income	109,300	32
Companyexpenses
Performancefees (note4)	2	63,844
Managementfees(note4)	29,579	23,776
Otherexpenses	969	1,063
Directors'fees	442	366
Administration fees(note4)	303	241
Foreignexchangelosses(note3)	-	149,089
TotalCompany expenses	31,295	238,379
Netinvestment gain/(loss)	91,337	(242,433)
Netrealisedandunrealised(loss)/gainoninvestmentsallocatedfromtheMasterFund
Netrealisedgainoninvestments	188,681	118,371
Netunrealised(loss)/gainoninvestments	(213,524)	236,140
Netrealisedandunrealised(loss)/gainoninvestmentsallocatedfromtheMasterFund	(24,843)	354,511
Netincreaseinnetassetsresultingfromoperations	66,494	112,078

 

See accompanying Notes to the Audited Financial Statements.

 

AuditedStatement of Changesin NetAssets

Fortheyear ended 31 December 2023

 

 

	01.01.23 to31.12.23 US$'000	01.01.22 to31.12.22 US$'000
Netincreaseinnetassetsresultingfromoperations
Netinvestmentgain/(loss)	91,337	(242,433)
NetrealisedgainoninvestmentsallocatedfromtheMasterFund	188,681	118,371
Netunrealised(loss)/gainoninvestmentsallocatedfromtheMasterFund	(213,524)	236,140
	66,494	112,078
Issueofnewshares
Sterling shares	379,021	218,027
USDollarshares	3,336	12,615
Shareissuecosts
Sterling shares	(7,761)	-
USDollarshares	(67)	-
Purchaseofsharesintotreasury
Sterling shares	(6,940)	-
USDollarshares	-	-
Totalsharecapitaltransactions	367,589	230,642
Net increaseinnetassets	434,083	342,720
Netassetsatthebeginningoftheyear	1,640,448	1,297,728
Netassetsattheendoftheyear	2,074,531	1,640,448

 

See accompanying Notes to the Audited Financial Statements.

 

Audited Statement of Cash Flows

Fortheyear ended 31 December 2023

 

	01.01.23 to31.12.23 US$'000	01.01.22 to31.12.22 US$'000
Cashflowsfromoperatingactivities
Netincreaseinnetassetsresultingfromoperations	66,494	112,078
Adjustmentstoreconcilenetincreaseinnetassetsresultingfrom operationstonetcashusedinoperatingactivities:
Netinvestment(gain)/lossallocatedfromtheMasterFund	(13,332)	4,086
NetrealisedgainoninvestmentsallocatedfromtheMasterFund	(188,681)	(118,371)
Netunrealisedloss/(gain)oninvestmentsallocatedfromtheMasterFund	213,524	(236,140)
PurchaseofinvestmentintheMasterFund	(365,214)	(221,798)
ProceedsfromsaleofinvestmentintheMasterFund	101,862	11,008
Foreignexchange(gains)/losses	(108,508)	149,089
(Increase)/decreaseinprepaidexpenses	(4)	251
(Decrease)/increaseinperformancefeespayable	(62,259)	56,056
(Decrease)/increaseinmanagementfeespayable	(1,453)	972
Decreaseinaccruedexpensesandotherliabilities	(68)	(137)
(Decrease)/increaseinDirectors'feespayable	(14)	14
Decreaseincombinationfeesreceivable	-	1,749
Increaseinadministrationfeespayable	14	15
Netcashusedinoperatingactivities	(357,639)	(241,128)
Cashflowsfromfinancing activities
Purchaseofownsharesintotreasury	(5,463)	-
Proceedsfromshareissue	382,357	230,642
Shareissuecosts	(7,828)	-
Netcashgeneratedfromfinancingactivities	369,066	230,642
Changeincash	11,427	(10,486)
Cash,beginningoftheyear	7,910	16,430
Effectofexchangeratefluctuations	314	1,966
Cash,endoftheyear	19,651	7,910
Cash,endoftheyear
Cashandbank balancesdenominatedinSterling1	18,367	7,271
CashandbankbalancesdenominatedinUSDollars	1,284	639
	19,651	7,910
Supplementaldisclosureofnon-cashfinancingactivities
1.CashandbankbalancesinSterling(GBP'000)	14,408	6,045

 

See accompanying Notes to the Audited Financial Statements.

 

NotestotheAuditedFinancialStatements

Fortheyearended31December2023

 

1.    TheCompany

BHMacroLimited(the“Company”)isalimitedliabilityclosed-endedinvestmentcompanywhichwasincorporatedin Guernseyon17January2007andadmittedtotheOfficialListoftheLondonStockExchange(“LSE”)laterthatyear.

 

TheCompany’sordinarysharesareissuedinSterlingandUSDollars.

 

2.    Organisation

TheCompanyisorganisedasafeederfundandseekstoachieveitsinvestmentobjectivebyinvestingallofitsinvestable assets, net of short-term working capital requirements, in the ordinary Sterling and US Dollar-denominated Class B sharesissuedbyBrevanHowardMasterFundLimited(the“MasterFund”)and,assuch,theCompanyisdirectlyand 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 appreciationthroughactiveleveragedtradingandinvestmentonaglobalbasis.TheMasterFundemploysacombination ofinvestmentstrategiesthatfocusprimarilyoneconomicchangeandmonetarypolicyandmarketinefficiencies.The underlying philosophy is to construct strategies, often contingent in nature with superior risk/return profiles, whose outcomewilloftenbecrystallisedbyanexpectedeventoccurringwithinapre-determinedperiodoftime.Newtrading strategies will be added as investment opportunities present themselves.

As such, the Audited FinancialStatements of theCompanyshouldberead inconjunction withthe Audited 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 Companythatinvestalloftheirassets(netofworkingcapital)intheMasterFund.Furthermore,otherfundsmanaged by theManager invest someof their assets in the Master Fund as at the date of these Audited Financial Statements.

 

Off-BalanceSheet,marketandcreditrisksoftheMasterFund’sinvestmentsandactivitiesarediscussedinthenotesto theMasterFund’sAuditedFinancialStatements.TheCompany’sinvestmentintheMasterFundexposesittovarious typesofrisk,whichareassociatedwiththefinancialinstrumentsandmarketsinwhichtheBrevanHowardunderlying 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.

TheManager

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“GeneralPartner”).TheGeneralPartnerisregulatedintheconductoffundservicesbusinessbytheJersey FinancialServicesCommissionpursuant totheFinancial Services(Jersey)Law,1998and the Ordersmadethereunder.

 

TheManageralsomanagestheMasterFundandinthatcapacity,asatthedateofthese AuditedFinancialStatements, hasdelegatedthefunctionofinvestmentmanagementoftheMasterFundtoBrevanHowardAssetManagementLLP, BrevanHoward(HongKong)Limited,BrevanHowardInvestmentProductsLimited,BrevanHowardUSInvestment ManagementLP,BrevanHowardPrivateLimited,BrevanHoward(TelAviv)Limited andBH-DGSystematicTrading LLP.

 

On 23 January 2023, the Company announced the commencement of an offer of new ordinary shares (the “Initial Issue”), comprising a placing, an intermediaries offer and an offer for subscription, together with an issuance programme for subsequent issues, which remained open until 23 January 2024 (the “Issuance Programme”). The CompanyalsoannouncedtheissueofanewprospectusandacirculartoShareholders (the“Circular”),inconnection with the Issuance Programme.

 

InordertoreflecttheincreasedinvestmentoftheCompanyintheMasterFund,theCompanyandtheManageragreed toanumberofamendmentstotheManagementAgreement,including thetermsonwhichtheCompany'sinvestment in theMasterFundcouldberedeemedinorder toprovidetheManagerwith moreoperationalcertaintyregarding the Company'sinvestmentintheMasterFund.Certainofthesechanges,whichdidnotrequireShareholderapproval,were as follows:

TheCompanywillordinarilyberequiredtoprovide12months'noticeoftheredemptionofallorsomeofitsinvestment 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-marketshare buy-backs. As such, any redemption of all or partof 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 requiredtobeon12months'notice.Inthosecases,theCompanywouldonlyreceivetheproceedsofredemptionfrom the Master Fund (and, therefore, Shareholders would only receive payment from the Company) after the redemption date atthe endof the12 monthnoticeperiod and theCompany (and, therefore,Shareholders)wouldremain 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 ManagementAgreementandredeemitsinvestmentintheMasterFundonlessthan12months'noticeincludescertain "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.

Theannualbuy-backallowance feearrangements introducedin2021willcontinuetoapplyinrespectofrepurchases 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.

Seealsonote8forfurtherdetailsrelatingtoredemptionsfromtheMasterFundfordiscountmanagementmechanisms.

3.Significantaccountingpolicies

These Audited Financial Statements, which give a true and fair view, are prepared in accordance with United States GenerallyAcceptedAccountingPrinciplesandcomplywiththeCompanies(Guernsey)Law,2008.Thefunctionaland reporting currency of the Company is US Dollars.

AsfurtherdescribedintheDirectors’Report,theseAuditedFinancialStatementshavebeenpreparedusingthegoing concern basis of accounting.

 

TheBoardcontinuestomonitortheongoingimpactofvariousgeopoliticalevents,includingelevatedlevelsofglobal inflation, recessionary risksand the ongoing conflicts in Ukraine and theMiddle East. The Board has concluded that thebiggestthreattotheCompanyremainsthefailureofakeyserviceprovider tomaintainbusinesscontinuityandresiliency.TheBoardhasassessedthemeasuresinplacebykey serviceproviders to maintain business continuity and, so far, has not identified any significant issues that affect the Company. The financialpositionoftheCompanyhasnotbeennegativelyimpactedbythesegeopoliticalevents.Forthesereasons,the Board is confident that these events have not impacted the going concern assessment of the Company.

 

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

 

ThefollowingarethesignificantaccountingpoliciesadoptedbytheCompany:

 

Valuationofinvestments

The Company records its investment in the Master Fund at fair value. Fair value is determined as the Company’s proportionateshareoftheMasterFund’scapital,whichapproximatesfairvalue.At31December2023,theCompany was the sole investor in the Master Fund’s ordinary Sterling and US Dollar Class B shares as disclosed in the table below.Withinthetablebelow,theCompany’sinvestmentineachshareclassintheMasterFundisincluded,withthe overall total investment shown in the Audited Statement of Assets and Liabilities.

 

	Percentageof	NAVperShare	Sharesheldin theMasterFund	Investmentin MasterFund	Investmentin MasterFund
	MasterFund's capital	(ClassB)	(ClassB)	CCY'000	US$'000
31December2023
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
31December2022
Sterling	15.03%	£6,634.79	188,704	£1,252,014	1,506,049
US Dollar	1.22%	US$6,606.92	18,573	US$122,717	122,717
					1,628,766

 

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.

Incomeandexpenses

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.

Useofestimates

ThepreparationoftheAuditedFinancialStatementsinaccordancewithUnitedStatesGenerallyAcceptedAccounting 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.

 Leverage

TheManagerhasdiscretion,subjecttothepriorapprovalofamajorityoftheindependentDirectors,toemployleverage forandonbehalfoftheCompanybywayofborrowingstoeffectsharepurchasesorsharebuy-backs,tosatisfyworking capital requirements and to finance further investments in the Master Fund.

 

The Companymay borrowup to 20%ofits NAV, calculated as at the time ofborrowing. Additional borrowingover 20% of NAV may only occur if approved by an ordinary resolution of the Shareholders.

Foreign exchange

TransactionsreportedintheAuditedStatementofOperationsaretranslatedintoUSDollaramountsatthedateofsuch transactions.AssetsandliabilitiesdenominatedinforeigncurrenciesaretranslatedintoUSDollarsattheexchangerate atthereportingdate.Thesharecapitalandothercapitalreservesaretranslatedatthehistoric raterulingatthedateof the transaction.

Investment securities and other assets and liabilities of the Sterling share class are translated into US Dollars, the Company'sreportingcurrency,usingexchangeratesatthereportingdate.TheAuditedStatementofOperations’items oftheSterlingshareclassareconvertedintoUSDollarsusingtheaverageexchangerate.Exchangedifferencesarising on translation are included in foreign exchange gains/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.

Cashandbankbalances

Cashandbankbalancescomprisedemanddeposits.

Allocationofresults oftheMasterFund

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

Treasuryshares

WheretheCompanyhaspurchaseditsownsharecapital,theconsiderationpaid,whichincludesanydirectlyattributable costs, has been recognised as a deduction from equity Shareholders’ funds through the Company’s reserves.

 

Wheresuchshareshavebeensubsequentlysoldorreissuedtothemarket,anyconsiderationreceived,netofanydirectly attributableincrementaltransactioncosts,isrecognisedasanincreaseinequityShareholders’fundsthroughtheshare 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.

 

Refertonote8fordetailsofsalesofsharesfromtreasuryorpurchasesbytheCompanyofitssharecapital.

 

4.ManagementAgreementandadministrationagreement

Management fee and performance fee

The CompanyhasenteredintotheManagementAgreementwiththeManagertomanagetheCompany’sinvestment

portfolio. The Management Fee charged to the Company is reduced by the Company’s share of management fees incurred by theMaster Fund through any underlying investments of theMaster Fund that share the same manager as theCompany.Effectivefrom1July2021,theManagementFeechargedhasbeen1/12of1.5%permonthoftheNAV. 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 NAV. On 23 January 2023, the Management Agreement between the Company and the Manager was amended. Please see note 2 for further information.

 

Duringtheyearended31December2023,US$29,579,495(yearended31December2022:US$23,776,341)wasearned bytheManagerasnetManagementFees.At31 December2023,US$2,770,618(31December2022:US$4,224,444) of the Management Fee remained outstanding.

 

TheManagerisalsoentitledtoanannualperformancefeeforbothshareclasses.Theperformancefeeisequalto20% oftheappreciationintheNAVpershareofthatclassduringthatcalculationperiodwhichisabovethebaseNAVper shareofthatclass,otherthanthatarisingtotheremainingsharesoftherelevantclassfromanyrepurchase,redemption orcancellationofanysharein thecalculation period.ThebaseNAVpershareisthegreater oftheNAV per shareof therelevantclassatthetimeofissueofsuchshareandthehighestNAVpershareachievedasattheendofanyprevious 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 daysofthepublicationofthe finalNAVof each class of sharesas at the end of thecalculationperiod,anydifferencebetweentheactualperformancefeeandtheestimatedamountwillbepaidtoor refunded by the Manager, as appropriate. Any accrued performance fee in respect of shares which areconverted into anothershareclasspriortothedateonwhichtheperformancefeewouldotherwisehavebecomepayableinrespectof thoseshareswillcrystalliseandbecomepayableonthedateofsuchconversion.Theperformancefeeisaccruedonan ongoingbasisandisreflectedintheCompany’spublishedNAV.Duringtheyearended31December2023,US$2,326 (year ended 31 December 2022: US$63,843,904) was earned by the Manager as performance fees. At 31 December 2023, US$2,340 (31 December 2022: US$62,261,207) 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’sshareofanyfeespaidtotheManagerbytheunderlyingMasterFundinvestments,managedbytheManager.

ThenoticeperiodforterminationoftheManagementAgreementwithoutcausebyeithertheCompanyortheManager is 12 months. The Management Agreement was amended on 23 January 2023. See note 2 for further details.

Administrationfee

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.TheAdministratorispaidfeesbasedontheNAVoftheCompany,payablequarterlyinarrears.Thefeeis atarateof0.015%oftheaveragemonth-endNAVoftheCompany,subjecttoaminimumfeeof£67,500perannum. InadditiontotheNAV-basedfee,theAdministratorisalsoentitledtoanannualfeeof£6,000(31December2022: £6,000)forcertainadditionaladministrationservices.TheAdministratorisentitledtobereimbursedforout-of-pocket expensesincurredinthecourseofcarryingoutitsdutiesasAdministrator. Duringtheyearended31December2023, US$303,372(yearended31December2022:US$240,727)wasearnedbytheAdministratorasadministrationfees.The amounts outstanding are disclosed on the Audited Statement of Assets and Liabilities.

 

5.Sharecapital

Issuedandauthorisedsharecapital

TheCompanyhasthepowertoissueanunlimitednumberofordinaryshareswithno-parvalueandanunlimitednumber of shares with a par value. Shares may be divided into at least two classes denominated in Sterling and US Dollars. FurtherissuesofsharesmaybemadeinaccordancewiththeArticlesofIncorporation(the“Articles”).Sharesmaybe issued indiffering currency classes ofordinaryredeemableshares including C shares. The following tables showthe movement in ordinary shares.

 

For theyearended31December2023

SterlingsharesUSDollar shares

Numberofordinaryshares
Inissueat1January2023		30,156,454	2,858,135
Shareconversions		(717,994)	884,077
NetissueofnewsharesfromShareSub-Division		271,711,966	25,367,860
Issueofnewshares		72,378,000	746,400
PurchaseofsharesintoTreasury		(1,504,277)	-
Inissueat31December2023		372,024,149	29,856,472
Numberoftreasuryshares
Inissueat1January2023		-	-
Onmarketpurchases*		1,504,277	-
Inissueat31December2023		1,504,277	-
Percentageofclass		0.40%	-
*Onmarketpurchasesfortheyearended31December2023
	Numberof shares	Cost	Cost
Treasuryshares	purchased	(US$)	(incurrency)
USDollarshares	-	-	-
Sterlingshares	1,504,277	6,939,943	£5,457,432
Fortheyearended31December 2022
		Sterlingshares	USDollarshares
Numberofordinaryshares
Inissueat1January2022		25,864,663	2,689,547
Shareconversions		90,641	(110,772)
Issueofnewshares		4,201,150	279,360
Inissueat31December2022		30,156,454	2,858,135
Numberoftreasuryshares
Inissueat1January2022andat31December2022		-	-
Percentageofclass		-	-

Shareclasses

Inrespectofeachclassofshares,aseparateclassaccounthasbeenestablishedinthebooksoftheCompany.Anamount equaltotheaggregateproceedsofissueofeachshareclasshasbeencreditedtotherelevantclassaccount.Anyincrease 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.

Votingrightsofshares

OrdinarysharescarrytherighttovoteatgeneralmeetingsoftheCompanyandtoreceiveanydividendsattributableto the ordinary shares as a class declared by the Company and, in a winding-up will be entitled to receive, by way of capital,anysurplusassetsoftheCompanyattributabletotheordinarysharesasaclassinproportiontotheirholdings remaining after settlement of any outstanding liabilities of the Company.

 

As prescribed in the Company’s Articles, the different classes of ordinary shares havedifferentvalues attributable to theirvotes.TheattributedvalueshavebeencalculatedonthebasisoftheWeightedVotingCalculation(asdescribedin theArticles)whichtakesintoaccounttheprevailingexchangeratesonthedateofinitialissueofordinaryshares.Ona vote, a singleUS Dollar ordinary sharehas0.7606 votes and a single Sterling ordinary share has1.4710 votes.

Repurchaseofordinaryshares

UndertheCompany’sArticles,Shareholdersofaclassofshareshavetheabilitytocallforrepurchaseofthatclassof sharesincertaincircumstances.AttheAnnualGeneralMeetingheldon13September2023,Shareholdersapproveda SpecialResolutionthatauthorisedthemaximumnumberofsharesthatmaybepurchasedon-marketbytheCompany untilthenextAnnualGeneralMeeting,being56,024,199Sterling sharesand4,435,587USDollarshares. Seenote8 for further details.

Furtherissueofshares

On 23 January 2023, the Board announced the commencement of its Initial Issue, comprising a placing, an intermediariesofferandanofferforsubscriptionofnewordinarysharesofnoparvalueinthecapitaloftheCompany, togetherwiththeIssuanceProgrammeforsubsequentissues,whichremainedopenuntil23January2024,whichcould be denominated as Sterling shares or US Dollar shares, at a price per share of the relevant class equal to the latest estimatednetassetvaluepershareoftherelevantclassasattheclosingdateoftheInitialIssue,ofthelatestestimated NAV per share, plus a premium of two per cent.

At an EGM held on 6 February 2023, resolutions were passed to approve the grant of authority to issue new shares and dis-applypre-emptionrights inrespect of shares issued pursuant to the InitialIssueand the Issuance Programme and to sub-divide the Company’s shares, so that each existing share was replaced by ten shares of the same currency class,inordertoassistinliquidityoftheshares(the“ShareSub-Division”),togetherwiththetermsoftheCompany's investment in the Master Fund, in order to reflect the increased investment of the Company in the Master Fund, as a result of the Initial Issue and the Issuance Programme. These resolutions superseded the September 2022 AGM authorities to issue shares and dis-apply pre-emption rights in respect of the shares issued.

 

On 7 February 2023, dealings commenced in the shares arising from the Share Sub-Division. The price per share for the Initial Issue was announced, being 431.5 pence for the Sterling class shares and US$4.47 for US Dollar class shares.

 

On 13 February 2023, the completion of the Initial Issue was announced. 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 Share Sub-Division were US$7,773,233.

 

As approved by the Shareholders at the Annual General Meeting held on 13 September 2023, the Directors have the power to issue further shares totalling 124,568,816 Sterling shares and 9,862,449 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

TheMasterFundhasnotpreviouslypaiddividendstoitsinvestors.ThisdoesnotpreventtheDirectorsoftheCompany fromdeclaringadividendatanytimeinthefutureiftheDirectorsconsiderpaymentofadividendtobeappropriatein the circumstances. If the Directors declare a dividend, such dividend will be paid on a per class basis.

Asannouncedon15 January2014, theCompanyintendsto beoperated insuch amannerto ensurethatitssharesare notcategorisedasnon-mainstreampooledinvestments.ThismaymeanthattheCompanymaypaydividendsinrespect ofanyincomethatitreceivesorisdeemedtoreceiveforUKtaxpurposessothatitwouldqualifyasaninvestmenttrust if it were UK tax-resident.

 

Further,theCompanywillfirstapplyanysuchincomeinpaymentofitsManagementFeeandperformancefees.

Treasury shares are not entitled to distributions. During the year ended 31 December 2023, the Company purchased 1,504,277SterlingClasssharestobeheldinTreasury. NoshareswereheldinTreasurythroughouttheyearended31 December 2022.

 

Shareconversionscheme

TheCompanyhasimplementedashareconversionscheme.TheschemeprovidesShareholderswiththeabilityto

convert some or all of their ordinary shares in the Company of one class into ordinary shares of the other class. Shareholdersareabletoconvertordinarysharesonthelastbusinessdayofeverymonth.Eachconversionwillbebased on the NAV (note 7) of the shares of the class to be converted.

 

6. Taxation

Overview

TheCompanyisexemptfromtaxationinGuernseyundertheprovisionsoftheIncomeTax(ExemptBodies)(Guernsey) Ordinance 1989.

Uncertaintaxpositions

TheCompanyrecognisesthetaxbenefitsofuncertaintaxpositionsonlywherethepositionismore-likely-than-not(i.e. greaterthan50%),tobesustainedassumingexaminationbyataxauthoritybasedonthetechnicalmeritsoftheposition. Inevaluatingwhetherataxpositionhasmettherecognitionthreshold,theCompanymustpresumethatthepositionwill beexaminedbytheappropriatetaxingauthoritythathasfullknowledgeofallrelevantinformation.Ataxpositionthat meetsthemore-likely-than-notrecognitionthresholdismeasuredtodeterminetheamountofbenefittorecogniseinthe Company’s Audited Financial Statements. Income tax and related interest and penalties would be recognised by the CompanyastaxexpensesintheAuditedStatementofOperationsifthetaxpositionsweredeemednottomeetthemore- likely-than-not threshold.

 

TheCompanyanalysesallopentaxyearsforallmajortaxingjurisdictions.Opentaxyearsarethosethatareopenfor examinationbytaxingauthorities,asdefinedbythestatuteoflimitationsineachjurisdiction.TheCompanyidentifies 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 benefitsshouldberecordedrelatedtouncertaintaxpositions.Further,theDirectorsarenotawareofanytaxpositions forwhichitisreasonablypossiblethatthetotalamountsofunrecognisedtaxbenefitswillsignificantly changeinthe remainder of the year.

 

7. Publicationandcalculationofthe Company’s NetAssetValue (“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 classwillbecalculatedbydividingtheNAVoftherelevantclassaccountbythenumberofsharesoftherelevantclass in issue on that day.

 

TheCompanypublishestheNAVpershareforeachclassofsharesascalculatedbytheAdministratorbasedinparton information provided by the Master Fund, monthly in arrears, as at each month-end.

TheCompanyalsopublishesanestimateoftheNAVpershareforeachclassofsharesascalculatedbytheAdministrator based in part on information provided by the Master Fund, weekly in arrears.

 

8. Discountmanagement 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.

 

Marketpurchases

Until October 2016, the Company regularly utilised its ability to make market purchases of its shares as part of the discount management programme, funded by the Company redeeming underlying shares in the Master Fund. As a conditionoftheApril2017TenderOffer,thiswassuspendeduntil1April 2019andformuchoftheperiodsincethat date,theCompany’sshareshavetradedatapremiumorminimaldiscounttoNAV.Subjecttotheauthoritygrantedby Shareholders atthe2023AGM(seenote5),from December 2023,marketpurchases bytheCompany of theSterling Class shares resumed, due to the class trading at a discount.

 

UnderthetermsoftheManagementAgreement,theCompanymay,ononemonth’snotice,redeemupto5percentof its shares of each class in the Master Fund, in order to fund buybacks.

 

Pleaseseenote5fordetailsofsharespurchasedandheldinTreasury.

On23January2023,theBoardannouncedthecommencementofitsInitialIssueofnewordinarysharesofnoparvalue inthecapitaloftheCompany,togetherwiththeIssuanceProgrammeforsubsequentissues,whichremainedopenuntil 23 January 2024. See note 5 for further details.

Annualofferofpartialreturnofcapital

UndertheCompany’sArticles,onceineverycalendaryear,theDirectorshavediscretiontodeterminethattheCompany makeanofferofapartialreturnofcapitalinrespectofsuchnumberofsharesoftheCompanyinissueastheydetermine, provided thatthemaximumamountdistributed does notexceed 100%of theincreaseinNAVoftheCompanyin the prior calendar year.

 

TheDirectorshavediscretiontodeterminetheparticularclassorclassesofsharesinrespectofwhichapartialreturn ofcapitalwouldbemade,thetimetableforthatpartialreturnofcapitalandthepriceatwhichthesharesofeachrelevant class are to be returned.

 

TheCompanyisentitled to redeemupon threemonths’notice, nomorethan onceperyear, aportion ofitsinterestin theMasterFundrepresentingupto10percentofeachclassoftheCompany’sholdingofMasterFundsharesasatthe dateoftherelevantredemptionrequestinconnectionwithanysuchofferofapartialcapitalreturnofcapitalwhichis approved by the Directors.

 

Thedecisiontomakeapartialreturnofcapitalinanyparticularyearandtheamountofthereturndepend,amongother things,onprevailingmarketconditions,theabilityoftheCompanytoliquidateitsinvestmentstofundthecapitalreturn, the success of prior capital returns and applicable legal, regulatory and tax considerations.

Classclosure resolutions

Ifanyclassofsharestradesatanaveragediscountatorinexcessof8%ofthemonthlyNAVinanyyearfrom1January to 31 December, the Company will hold a class closure vote of the relevant class.

 

TheaveragediscountstoNAVfortheSterlingsharesandUSDollarSharesfortheyearended31December2023were 3.27% and 2.46% respectively and consequently, no closure vote will be held in 2024.

 

Thearrangements are described more fully in theCompany’s principaldocumentswhich were approved attheEGM on 24 February 2017.

 

9. Financialhighlights

Thefollowingtablesincludeselecteddataforasingleordinaryshareofeachoftheordinaryshareclassesinissueat31 December 2023 and other performance information derived from the Audited Financial Statements.

 

Theper shareamountsandratioswhich areshown reflecttheincomeandexpensesoftheCompany foreach classof ordinary share.

 

	31.12.23 Sterlingshares £	31.12.23 USDollarshares US$
Pershareoperatingperformance
Netassetvalueatbeginningoftheyear1	4.18	4.33
Incomefrominvestmentoperations
Netinvestmentloss2	(0.04)	(0.01)
Netrealisedandunrealised(loss)/gainoninvestment	(0.08)	0.01
Othercapitalitems3	0.05	(0.06)
Totalloss	(0.07)	(0.06)
Netassetvalue,endofthe year	4.11	4.27
Totallossbeforeperformancefees	(1.81%)	(1.33%)
Performancefees	-	-
Total lossafterperformancefees	(1.81%)	(1.33%)

Totallossreflectsthenetlossforaninvestmentmadeatthebeginningoftheyearandiscalculatedasthechangeinthe NAVperordinaryshareduringtheyearfrom1January2023to31December2023.AnindividualShareholder’sloss may vary from these losses based on the timing of their purchase or sale of shares.

	31.12.23 Sterlingshares £'000	31.12.23 USDollarshares US$'000
Supplementaldata
Netassetvalue,endoftheyear	1,527,458	127,482
Averagenetassetvaluefortheyear	1,485,598	122,970
	31.12.23 Sterlingshares	31.12.23 USDollarshares
Ratiotoaveragenetassets
Operatingexpenses
Companyexpenses4	1.59%	1.57%
MasterFundexpenses5	1.41%	0.83%
MasterFundinterestexpenses6	3.28%	3.32%
Performancefees	-	-
	6.28%	5.73%
Netinvestmentlossbeforeperformancefees2	(0.91%)	(0.22%)
Netinvestmentlossafterperformancefees2	(0.91%)	(0.22%)

 

	31.12.22 Sterlingshares £	31.12.22 USDollarshares US$
Pershareoperatingperformance
Netassetvalueatbeginningoftheyear1	34.30	35.71
Incomefrominvestmentoperations
Netinvestmentloss2	(2.44)	(2.50)
Netrealisedandunrealisedgainoninvestment	8.87	9.22
Othercapitalitems3	1.08	0.85
Totalgain	7.51	7.57
Netassetvalue,endofthe year1	41.81	43.28
Totalgainbeforeperformancefees	26.78%	25.93%
Performancefees	(4.87%)	(4.76%)
Totalgainafterperformancefees	21.91%	21.17%

 

Totalgainreflectsthenetreturnforaninvestmentmadeatthebeginningoftheyearandiscalculatedasthechangein theNAV per ordinary shareduringtheyearfrom1 January2022 to 31 December 2022.An individualShareholder’s return may vary from these returns based on the timing of their purchase or sale of shares.

 

	31.12.22 Sterlingshares £'000	31.12.22 USDollarshares US$'000
Supplementaldata
Netassetvalue,endoftheyear	1,260,923	123,686
Averagenetassetvaluefortheyear	1,132,773	110,421
	31.12.22 Sterlingshares	31.12.22 USDollarshares
Ratiotoaveragenetassets
Operatingexpenses
Companyexpenses4	1.68%	1.74%
MasterFundexpenses5	0.41%	0.41%
MasterFundinterestexpenses6	1.22%	1.18%
Performancefees	4.23%	4.20%
	7.54%	7.53%
Netinvestmentlossbeforeperformancefees2	(1.95%)	(1.98%)
Netinvestmentlossafterperformancefees2	(6.18%)	(6.18%)

Notes

1Forillustrativepurposes,theNetAssetValueatthebeginningof2023isadjustedbyafactorof10toreflectthe10for

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 for 2022 are not adjusted by a factor of 10 reflect in order to reflect the factual numbers audited in previous financial statements.

 

2Thenetinvestmentlossfiguresdisclosedabovedonotincludenetrealisedandunrealisedgains/lossesoninvestments allocated from the Master Fund.

 

3Includedinothercapitalitemsarethediscountsandpremiumsonconversionsbetweenshareclassesandonthesaleof treasury shares as well as any partial capital return effected in the relevantyear as compared to the NAV per share at the beginning of the year.

4CompanyexpensesareasdisclosedintheAuditedStatementofOperationsexcludingtheperformancefeeandforeign exchange gains/losses.

 

5MasterFundexpensesaretheoperatingexpensesoftheMasterFundexcludingtheinterestanddividend expensesof the Master Fund.

 

6MasterFundinterestexpensesincludeinterestanddividendexpensesoninvestmentssoldshort.

 

10. Related-partytransactions

Partiesareconsideredtoberelatedifonepartyhastheabilitytocontroltheotherpartyorexercisesignificantinfluence 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.

 

TheannualDirectors’fees from1July2022havebeen:
Role	Fee per annum £
BoardChair	90,000
Audit CommitteeChair	65,000
ManagementEngagementCommitteeChair	55,000
RemunerationandNominationCommitteeChair	55,000
SeniorIndependentDirector	55,000
Allother Directors	50,000
TheannualaggregatelimitoffeespayabletoDirectors is£800,000perannum.

 

During the 10:1 share sub-division, which was approved at the EGM held on 6 February 2023, with dealings commencing on7 February2023(asmentionedinnotes2and5),thefollowingchangesweremadetotheDirectors’ shareholdings in the Company:

 

RichardHorlick,20,000Sterlingsharescancelled,200,000Sterlingsharesissued;

Julia Chapman, 626 Sterling shares cancelled, 6,260 Sterling shares issued;

Bronwyn Curtis, 1,000 Sterling shares cancelled, 10,000 Sterling shares issued;

JohnLePoidevin,5,482Sterlingsharescancelled,54,820Sterlingsharesissued;and

Claire Whittet, 1,500 Sterling shares cancelled, 15,000 Sterling shares issued.

On13February2023,theBoardparticipatedintheInitialIssueforthefollowingamounts: Richard Horlick, US$89,400 of US Dollar shares (20,000 shares);

Caroline Chan, £50,000 of Sterling shares (11,587 shares);

Bronwyn Curtis, £100,000 of Sterling shares (23,174 shares);

JohnLePoidevin,£90,000ofSterlingshares(20,800shares);and

Claire Whittet, £35,000 of Sterling shares (8,111 shares).

Atyearend31December2023theDirectorshadthefollowinginterestsintheCompany,heldeitherdirectlyor beneficially:

	SterlingShares
			31.12.23	31.12.22
Richard Horlick			200,000	20,000
Caroline Chan			11,587	Nil
Julia Chapman			6,260	626
Bronwyn Curtis			33,174	1,000
JohnLePoidevin			75,620	5,482
ClaireWhittet1			N/A	1,500
	US DollarShares
			31.12.23	31.12.22
Richard Horlick			20,000	Nil
Caroline Chan			Nil	Nil
Julia Chapman			Nil	Nil
Bronwyn Curtis			Nil	Nil
JohnLePoidevin			Nil	Nil
ClaireWhittet1			N/A	Nil

 

11. Subsequent events

On 3 January 2024, the Company completed the share conversion for the 30 November 2023 share conversion date, issuing 1,481 Sterling shares and cancelling 1,800 US Dollar shares.

 

On8January2024JohnLePoidevinpurchased41,230Sterlingsharesata priceof£3.63perordinaryshare.

 

On 1February2024, the Company completed the shareconversion for the31 December2023share conversiondate, issuing 74,953 Sterling shares and cancelling 91,760 US Dollar shares.

 

On4March2024,theCompanycompletedtheshareconversionforthe31January2024shareconversiondate,issuing 2,679 Sterling shares and cancelling 3,274 US Dollar shares.

TheCompanymadethefollowingpurchasesofordinarysharestobeheldin Treasury:

 

	Sterling Class shares
Month	Number of shares bought	Highest Price point	Lowest Price point
		£	£
January 2024	4,322,827	3.68	3.54
February 2024	3,390,937	3.64	3.48
March 2024*	2,143,363	3.50	3.30
Total	9,857,127

 

*Until 21 March 2024.

 

TherewerenopurchasesofUS DollarClassordinary sharesafteryear end.

 

The Directors have evaluated subsequent events up to 27 March 2024, 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.

 

HistoricPerformanceSummary

Asat31December2023

 

	31.12.23 US$'000	31.12.22 US$'000	31.12.21 US$'000	31.12.20 US$'000	31.12.19 US$'000
Net increase in net assets resultingfromoperations	66,494	112,078	12,010	181,533	59,462
Totalassets	2,079,009	1,707,130	1,307,490	802,224	570,779
Totalliabilities	(4,478)	(66,682)	(9,762)	(41,055)	(11,014)
Netassets	2,074,531	1,640,448	1,297,728	761,169	559,765
Number ofsharesinissue
Sterlingshares	372,024,149	30,156,454*	25,864,663*	15,009,868*	14,310,040*
USDollarshares	29,856,472	2,858,135*	2,689,547*	2,191,379*	2,442,057*
Netassetvaluepershare
Sterlingshares	£4.11	£41.81*	£34.30*	£33.38*	£26.06*
USDollarshares	US$4.27	US$43.28*	US$35.71*	US$34.78*	US$26.99*

 

*TheNumberofSharesInIssueandNetAssetValuePerSharepriorto31December2023arenotadjustedbyafactorof 10toreflectthe10for1sharesub-divisionapprovedattheEGMheldon6February2023.

 

AffirmationoftheCommodityPoolOperator

Asat31December2023

 

Tothebestofmyknowledgeandbelief,theinformationdetailedinthisAnnualReportandtheseAuditedFinancial Statements is accurate and complete.

 

Name:Jonathan Hughes

Title:DirectorandAuthorised Signatory

BrevanHowardCapitalManagementLimitedasgeneralpartnerofBrevanHowardCapitalManagementLP,the manager and commodity pool operator of BH Macro Limited

 

27 March 2024

 

GlossaryofTermsandAlternativePerformanceMeasures

AlternativePerformanceMeasures(“APMs”)

WeassessourperformanceusingavarietyofmeasuresthatarenotspecificallydefinedunderUSGAAPandtherefore termed APMs. The APMs that we use may not be directly comparable with those used by other companies.

 

AverageDiscounttoNAV

TheaverageDiscounttoNAVofthewholeyeariscalculatedforeachshareclassbyusingthefollowing formula:

 

     (A-B)  

B

Where:

• ‘A’ is the average closing market price of a share of the relevant share class as derived from the trading price on the LondonStockExchange,calculatedasthesumofalltheclosingmarketpricespershareofthatclassasateachLondon Stock Exchange trading day during a calendar year, divided by the number of such trading days in such period; and
• ‘B’ is the average NAV per share of the shares of the relevant share class taken over the 12 month-end NAV CalculationDatesintheyearended31December2023calculatedasthesumofthefinalNAVoftheshareclassasat each month-end NAV Calculation Date during the year ended 31 December 2023, divided by 12.

 

(Discount)/Premium

IfthesharepriceofaninvestmentislowerthantheNAVpershare,thesharesaresaidtobetradingatadiscount.The sizeofthediscountiscalculatedbysubtractingthesharepricefromtheNAVpershareoftherelevantshareclassand is usually expressed as a percentage of the NAV per share. If the share price is higher than the NAV per share, the sharesaresaidtobetradingatapremium.TheBoardmonitorsthelevelofdiscountorpremiumand considerationis giventowaysinwhichsharepriceperformancemaybeenhanced,includingtheeffectivenessofmarketingandshare buy-backs, where appropriate. The (discount)/premium is shown below.

 

SterlingShares USDollarShares

 

	31.12.23	31.12.22	31.12.23	31.12.22
SharePriceatYearEnd(A)	£3.67	£44.90*	US$3.77	US$45.20*
NAVperShare(B)	£4.11	£41.81*	US$4.27	US$43.28*
(Discount)/PremiumtoNAV(A-B)/B	(10.71%)	7.39%	(11.71%)	4.44%

 

* Share prices and NAV per share as of 31 December 2022 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.

 

(Loss)/GainPerShare

(Loss)/gain per share is calculated using the net loss/gain on ordinary activities after tax, divided by the weighted average number of shares in issue (year ended 31 December 2023: 353,094,861 Sterling shares and 28,097,148 US Dollarshares,yearended31December2022:28,620,989Sterlingsharesand2,722,649USDollarshares).The10for 1sharesub-divisionapprovedattheEGMheldon6February2023hasbeenappliedthroughouttheyearforthe2023 weighted average share figures, but not for the 2022 weighted average share figures.

 

TheDirectorsalsoregard(loss)/gainpersharetobeakeyindicatorofperformance.The(loss)/gainpershareisshown in the Strategic Report.

	Yearended31.12.23 Pershare	'000	Yearended31.12.22 Pershare	'000
Nettotal(loss)/gainfor SterlingShares	(9.21p)	(£32,535)	683.74p	£195,693
Nettotal(loss)/gainforUS DollarShares	(5.48c)	(US$1,540)	708.91c	US$19,301

OngoingCharges

The Ongoing Charges are calculated using the AIC Ongoing Charges methodology, which was last updated in April 2022andisavailableontheAICwebsite(theaic.co.uk).TheOngoingChargesrepresenttheCompany’sManagement Feeandallotheroperatingexpenses,excludingfinancecosts,performancefees,shareissueorbuybackcostsandnon- recurringlegalandprofessionalfeesandareexpressedasapercentageoftheaverageofthedailynetassetsduringthe year. 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:

 

 

	SterlingShares		US Dollar Shares
	Yearended	Yearended	Yearended	Yearended
	31.12.23	31.12.22	31.12.23	31.12.22
AverageNAVfortheyear(A)	£1,485,598,348	£1,132,773,154	US$122,970,362	US$110,421,043
ManagementFee	£22,297,675	£17,787,437	US$1,846,781	US$1,792,074
Other Companyexpenses	£1,309,986	£1,248,572	US$84,979	US$127,701
TotalCompanyExpenses	£23,607,661	£19,036,009	US$1,931,760	US$1,919,775
ExpensesallocatedfromtheMasterFund	£8,445,240	£2,325,281	US$703,225	US$238,666
PerformanceFee	£471	£47,900,303	US$1,740	US$4,641,933
TotalExpenses(B)	£32,053,372	£69,261,593	US$2,636,725	US$6,800,374
OngoingCharges(B/A)	2.16%	6.11%	2.14%	6.16%

 

TheNAV

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.

 

(Loss)/gainpershare

(Loss)/gain per share is calculated using the net loss/gain on ordinary activities after finance costs and taxation (year ended 31 December 2023: a loss of £32,535,028 and a loss of US$1,540,012; year ended 31 December 2022: a gain of£195,693,403andagainofUS$19,301,255),dividedbytheweightedaveragenumberofsharesinissue(yearended 31 December 2023: 353,094,861 Sterling shares and 28,097,148 US Dollar shares; year ended 31 December 2022: 28,620,989 Sterling shares and 2,722,649 US Dollar shares). The Directors also regard (loss)/gain per share to be a key indicator of performance. The (loss)/gain per share is shown in the Strategic Report.

 

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, but not for the 2022 weighted average share figures.

 

CompanyInformation

 

Directors

RichardHorlick(Chair)

Caroline Chan

Julia Chapman

Bronwyn Curtis

JohnLePoidevin

ClaireWhittet(retiredfromtheBoardon13September2023)

 

(AllDirectorsarenon-executiveandindependentforthepurposeofListingRule15.2.12-A)

 

RegisteredOffice

POBox255

TrafalgarCourt

LesBanques

StPeterPort

Guernsey

ChannelIslandsGY13QL

Manager

BrevanHowardCapitalManagementLP

6thFloor

37Esplanade

StHelier

Jersey

ChannelIslandsJE23QA

 

Administrator and Corporate Secretary

Northern Trust International Fund AdministrationServices (Guernsey)Limited

PO Box 255

TrafalgarCourt

LesBanques

StPeterPort Guernsey

ChannelIslandsGY13QL

IndependentAuditor

KPMGChannelIslandsLimited

GlategnyCourt

GlategnyEsplanade

St Peter Port

Guernsey

ChannelIslandsGY11WR

 

Registrar and CREST Service Provider

ComputershareInvestorServices(Guernsey)Limited

1stFloor

TudorHouse

LeBordage

StPeterPort

GuernseyGY11DB

LegalAdvisor(GuernseyLaw)

CareyOlsen CareyHouse

LesBanques

StPeterPort

Guernsey

ChannelIslandsGY14BZ

 

Legal Advisor (UK Law)

HoganLovellsInternationalLLP

AtlanticHouse

HolbornViaduct

LondonEC1A 2FG

 

CorporateBroker

JPMorganCazenove

25 Bank Street

CanaryWharf

London E14 5JP

 

TaxAdviser

DeloitteLLP

PO Box 137

RegencyCourt

GlategnyEsplanade

St Peter Port

Guernsey

ChannelIslandsGY13HW

 

Forthelatestinformation

www.bhmacro.com

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