Investor Statement - September 2026

BH Macro Limited’s net assets and share prices declined across both USD and GBP classes.

What the company is saying

BH Macro Limited, through its quarterly investor statement, reports on financial performance for the period from 1 July 2026 to 30 September 2026, fulfilling regulatory obligations under CFTC Regulation 4.7. The company emphasizes transparency by providing detailed figures on total net assets, share counts, NAV per share, and closing share prices for both USD and GBP share classes. The statement highlights that all NAV figures are unaudited and net of investment management and other fees. The company reiterates standard risk disclosures, including the warning that past performance does not guarantee future results and that investments are subject to capital loss. Jonathan Hughes, Authorised Signatory for Brevan Howard Capital Management Limited, is named as the responsible executive. The tone is factual and regulatory, with no forward-looking operational guidance or commentary beyond required risk statements.

What the data suggests

The data shows a quarter-over-quarter decline in total net assets from USD 1,907.6 million on 30 June 2026 to USD 1,852.9 million on 30 September 2026, a decrease of USD 54.6 million. Net assets attributable to USD Shares fell by USD 2.4 million to USD 106.6 million, while GBP Shares dropped by GBP 52.3 million to GBP 1,746.3 million. The number of USD Shares in issue decreased from 23,585,417 to 23,333,044, and GBP Shares from 300,264,812 to 299,494,776. Closing share prices also declined: USD Shares from $4.37 to $4.25, and GBP Shares from £4.27 to £4.13. NAV per share for USD Shares dropped from $4.62 to $4.50, and for GBP Shares from £4.51 to £4.39. All figures are unaudited and net of fees. The consistent downward movement across all key metrics signals a deteriorating financial position for the quarter.

Analysis

The announcement is a routine quarterly investor statement providing factual, backward-looking data on net assets, share counts, NAV per share, and share prices for both USD and GBP share classes. All key claims are supported by specific numerical disclosures, and there is no promotional or exaggerated language present. The only forward-looking statements are standard regulatory risk warnings, which are required and do not constitute hype. There are no aspirational projections, operational targets, or claims of future benefit. No large capital outlay or new investment program is disclosed, and all reported figures pertain to the immediate past quarter. The tone is strictly neutral and regulatory, with no attempt to frame results positively or negatively.

Risk flags

• ●The decline in total net assets and NAV per share across both USD and GBP share classes indicates negative fund performance for the quarter, which could undermine investor confidence and affect future capital inflows.
• ●All NAV and performance figures are unaudited, introducing the risk that final audited results could differ and potentially reveal further discrepancies or additional expenses.
• ●Standard risk disclosures highlight that investments in BHM are subject to capital loss and that past performance is not indicative of future results, underscoring the inherent volatility and uncertainty in fund performance.

Bottom line

This quarterly statement from BH Macro Limited shows a clear decline in net assets, NAV per share, and share prices for both USD and GBP classes over the three months ending 30 September 2026. The company provides comprehensive, unaudited figures but does not offer any operational commentary or explanation for the downturn. The absence of audited data means there is still some uncertainty about the final numbers. Investors should recognize that all reported declines are already realized, and there are no forward-looking commitments or recovery plans in this announcement. The most important takeaway is the broad-based deterioration in key financial metrics for the quarter.

Announcement summary

(LSE:BHMG) BH Macro Limited has released its Investor Statement for the period from 1 July 2026 to 30 September 2026, in accordance with CFTC Regulation 4.7. The total net assets of BH Macro Limited as of 30 September 2026 were USD 1,852.9 million, compared to USD 1,907.6 million as of 30 June 2026, representing a decrease of USD 54.6 million over the quarter. The net assets attributable to USD Shares were USD 106.6 million at 30 September 2026, down from USD 109.0 million at 30 June 2026, a decrease of USD 2.4 million. The net assets attributable to GBP Shares were GBP 1,746.3 million at 30 September 2026, down from GBP 1,798.6 million at 30 June 2026, a decrease of GBP 52.3 million. The number of USD Shares in issue was 23,333,044 at 30 September 2026, compared to 23,585,417 at 30 June 2026. The number of GBP Shares in issue was 299,494,776 at 30 September 2026, compared to 300,264,812 at 30 June 2026. The closing share price for USD Shares was US$4.25 at 30 September 2026 and US$4.37 at 30 June 2026. The closing share price for GBP Shares was £4.13 at 30 September 2026 and £4.27 at 30 June 2026. The NAV per USD Share was US$4.50 at 30 September 2026 and US$4.62 at 30 June 2026. The NAV per GBP Share was £4.39 at 30 September 2026 and £4.51 at 30 June 2026. All NAV performance figures are unaudited and net of all investment management fees and other expenses. BHM is a feeder fund investing in Brevan Howard Master Fund Limited. The investment manager and commodity pool operator is Brevan Howard Capital Management LP, acting through its general partner Brevan Howard Capital Management Limited. The administrator for BHM is Northern Trust International Fund Administration Services (Guernsey) Limited, and the administrator for the underlying Fund is State Street Fund Services (Ireland) Limited. Jonathan Hughes is the Authorised Signatory for Brevan Howard Capital Management Limited. The report notes that past performance is not indicative of future results and that all investments are subject to risk, including the potential loss of capital.

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