BH Macro Limited Announces 2012 Financial Results (Excerpt)

Hamilton, Bermuda – 19 March, 2013 – BH MACRO LIMITED (the “Company”) announces the financial results for the year ended 31 December, 2012. In a statement to shareholders, Mr. Ian Plenderleith, Chairman, stated:

“Financial markets in 2012 saw some relief from the looming threats that have generated uncertainty and unpredictable movements for the past several years. Policy actions in the eurozone brought some alleviation of tensions in the monetary union. The immediate threat of the US fiscal cliff was at least deferred. Slowdown in China and some other emerging market economies has so far proved more moderate than was feared. Many of these threats were essentially driven by political factors, producing at times abrupt shifts in market sentiment. As the threats have receded somewhat, underlying macroeconomic trends have begun to re-emerge as a more forceful influence on markets, offering a better environment in the second half of the year for funds focused on macro trading.

Against this background, BH Macro Limited (the “Company”) recorded a gain in net asset value (“NAV”) in 2012 of 3.94% (on its sterling shares). After a weak first half of the year, as political differences threatened to intensify strains in the eurozone and to produce renewed fiscal deadlock in the US, a gain in NAV of 7.8% was achieved in the second half of the year. Disciplined risk management served to limit the downside in the first half of the year and the better trading environment thereafter provided the basis for positive performance which continues into 2013. On a longer perspective, the Company has continued to achieve strong returns with low volatility. Over the six years since its launch in 2007, the Company has more than doubled its NAV and has achieved an annualised rate of return of 12.78% with an annualised Sharpe ratio of 1.75. The Company thus continues to be successful in preserving shareholders’ capital and achieving a positive return, uncorrelated with other markets and with low volatility.

In line with its stated purpose, the Company invests all of its assets (net of minimal working capital) in the Brevan Howard Master Fund Limited (the “Master Fund”). The Master Fund’s stated objective has been, and remains, to seek to generate consistent long-term capital appreciation through active leveraged trading and investment on a global basis. As explained more fully in the report by the Company’s manager, Brevan Howard Capital Management LP (the “Manager”), performance over the year was driven in large part by gains in interest rate and credit trading, offset to some extent by losses in periodic “risk off” trades which performed significantly worse than anticipated during times of stress. After a weak first half year, the Master Fund was well positioned for the accommodative policy actions in the eurozone and the US which alleviated the most immediate strains in the second half of the year. In particular, the positive performance benefited from the Manager’s strategy of broadening and deepening its trading team, with newly recruited traders generating a meaningful part of the return.

The Company remains a substantial fund, with NAV totalling $2.19 billion at the end of 2012, making it the largest single-manager hedge fund listed on the London Stock Exchange. With the Company’s shares trading through the year generally close to NAV, it has not proved necessary to undertake market purchases, authority for which was renewed at the Company’s AGM in June 2012. However, in line with the provision for shareholders to be offered, at the Board’s sole discretion, a partial return of capital of up to the amount of the previous year’s gain in NAV, the Company offered a return in 2012 of approximately 40% of the gain (of around 12%) in NAV in 2011. The offer was effected in June 2012. Given that the share price had remained close to NAV, it was not surprising that shareholder take-up was minimal. A further return of 100% of NAV growth in 2012 was offered to shareholders in February 2013; again, take-up was small. The Board remains alert to the need to be ready to undertake discount management actions where necessary so that as far as possible the share prices properly reflect the Company’s underlying performance. The listing of the Company’s shares on the Main Market of London Stock Exchange continues to provide an active secondary market for shareholders to trade shares. The shares have also maintained their place in the FTSE 250 and the Company has maintained its listings in Dubai and Bermuda.

The Board maintains regular dialogue with the Company’s Manager, to review the Master Fund’s trading strategies and risk exposures and to satisfy itself that the Manager’s analytical, trading and risk management capabilities are being maintained to a high standard. The Board holds extended discussions with the Manager at each of its quarterly Board meetings, supplemented with additional contact with the Manager at intervals during the year. One Board meeting a year is held in Jersey in order to maintain first-hand contact with the Brevan Howard team there. In addition, in November 2012 Directors held meetings with Brevan Howard’s team in Geneva in order to review its investment management operations. From all these contacts, the Board continues to believe that the Master Fund’s performance remains of the highest standard.

The Company and its Manager have strengthened the Company’s communications and investor relations efforts. Regular communication is maintained with shareholders and presentations are made to keep analysts, financial journalists and the wider investment community informed of the Company’s progress. A presentation for investors will be held in London on 23 April 2013, which shareholders are warmly invited to attend (details from ir@brevenhoward.com). Up-to-date performance information is provided through NAV data published monthly on a definitive basis and weekly on an estimated basis, as well as through monthly risk reports and shareholder reports. All these reports and further information about the Company are available on its website (www.bhmacro.com).

The Directors devote careful attention to safeguarding the interests of shareholders and believe that the Company observes high standards of corporate governance. The Board, which is independent of the Brevan Howard group, holds quarterly scheduled meetings and meets ad hoc on other occasions as necessary. The work of the Board is assisted by the Audit Committee and the Management Engagement Committee. The Board continues to meet all of the provisions of the Association of Investment Companies’ Code of Corporate Governance that are relevant to a company that has no executive management: the details are described below in the Directors’ Report. The Board also remains committed to implementing the recommendations of the Davies Report on women on boards. At the AGM in June 2012, the Company’s Memorandum and Articles were amended to reflect amendments to the Companies (Guernsey) Law, 2008.

The more extreme “tail” risks that have destabilised markets in recent years have seemingly abated somewhat in recent months, though they remain all too present in the wings; and in consequence there are signs that markets are becoming less driven by inherently uncertain political developments and more by macroeconomic trends. In this environment, the Board believes that the Master Fund has the capability to continue to deliver positive performance

over time and that the Company’s investment in the Master Fund offers good prospects for shareholders to achieve sustainable non‑correlated returns while preserving capital.”

Ian Plenderleith

Chairman

For the latest information and the Annual Report and Audited Financial Statements of BH Macro Limited and the Annual Audited Financial Statements of Brevan Howard Master Fund Limited visit BH Macro’s website www.bhmacro.com

Enquiries:

Richard Murray, Brevan Howard           +44 (0)207 022 6256