Brevan Howard Master Fund Limited Annual Audited Consolidated Financial Statements 2017 (with Independent Auditors’ Report thereon) ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS 31 December 2017 Brevan Howard Capital Management LP, the commodity pool operator of Brevan Howard Master Fund Limited, has filed a claim of exemption with the Commodity Futures Trading Commission (“CFTC”) in respect of Brevan Howard Master Fund Limited pursuant to Section 4.7 of the CFTC regulations. Contents 01 Independent Auditors’ Report 02 Consolidated Statement of Assets and Liabilities 03 Consolidated Condensed Schedule of Investments 13 Consolidated Statement of Operations 14 Consolidated Statement of Changes in Net Assets 15 Consolidated Statement of Cash Flows 16 Notes to the Consolidated Financial Statements 35 Affirmation of the Commodity Pool Operator IBC Management and Administration BREVAN HOWARD MASTER FUND LIMITED INDEPENDENT AUDITORS’ REPORT ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS 1 Independent Auditors’ Report to the Directors and Shareholders on the Consolidated Financial Statements of Brevan Howard Master Fund Limited We have audited the accompanying consolidated financial We believe that the audit evidence we have obtained is sufficient statements of Brevan Howard Master Fund Limited (the “Master and appropriate to provide a basis for our audit opinion. Fund”), which comprise the consolidated statement of assets and liabilities, including the consolidated condensed schedule Opinion of investments as of 31 December 2017, and the related In our opinion, the consolidated financial statements referred to consolidated statements of operations, changes in net assets, above present fairly, in all material respects, the consolidated and cash flows for the year then ended, and the related notes to financial position of the Master Fund as of 31 December 2017, the consolidated financial statements. and the results of its consolidated operations, the changes in its consolidated net assets and its consolidated cash flows for This report is made solely to the Directors and Shareholders, as a the year then ended in accordance with U.S. generally accepted body, in accordance with the terms of our engagement. Our audit accounting principles. work has been undertaken so that we might state to the Directors and Shareholders those matters we are required to state to them in an auditors’ report and for no other purpose. We do not accept or assume responsibility to anyone other than the Directors and Shareholders, for our audit work, for this report, or for the 21 March 2018 opinions we have formed. George Town, Cayman Islands Management’s responsibility for the consolidated financial statements Management is responsible for the preparation and fair presentation of these consolidated financial statements in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of consolidated financial statements that are free from material misstatement, whether due to fraud or error. Auditors’ responsibility Our responsibility is to express an opinion on these consolidated financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the consolidated financial statements. The procedures selected depend on the auditors’ judgment, including the assessment of the risks of material misstatement of the consolidated financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the consolidated financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. BREVAN HOWARD MASTER FUND LIMITED 2 CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS Consolidated Statement of Assets and Liabilities 31 December 2017 2017 US$’000 Assets Investments, at fair value (cost: US$8,508,314) (Note 3,5) 8,745,677 Redemptions receivable from affiliated funds 70,000 Cash (Note 2) 17,357 Investments purchased under agreements to resell (cost: US$2,973,723) (Note 7) 3,018,829 Dividends and interest receivable 18,342 Due from broker (Note 2) 5,827,040 Other assets 1,084 Total assets 17,698,329 Liabilities Investments sold short, at fair value (proceeds: US$3,034,309) (Note 3) 3,380,892 Investments sold under agreements to repurchase (proceeds: US$3,369,846) (Note 7) 3,404,904 Accounts payable and accrued expenses (Note 4,5,6) 4,211 Dividends and interest payable 34,071 Redemptions payable (Note 2) 456,944 Due to broker (Note 2) 5,466,322 Total liabilities 12,747,344 Non-controlling interest (Note 2) 131,645 Net assets (Note 8) 4,819,340 Net asset value per share US Dollar Class A US$4,942.25 US Dollar L.P. Class A US$4,438.40 Euro Class A €4,725.48 Sterling Class A £5,391.92 Yen Class A ¥15,531.04 Australian Dollar Class A AUD 1,756.14 Brazilian Real Class A BRL 2,762.87 Canadian Dollar Class A CAD 1,451.18 Norwegian Krone Class A NOK 1,535.96 US Dollar Class B US$2,786.39 Sterling Class B £2,901.80 US Dollar Class W US$1,030.01 US Dollar L.P. Class W US$973.47 Euro Class W €950.28 Sterling Class W £962.34 Yen Class W ¥1,001.16 US Dollar Class Z US$145.54 Euro Class Z €142.21 Sterling Class Z £146.02 Yen Class Z ¥13,965.40 Cost and proceeds are presented in US$’000. See accompanying notes to the Consolidated Financial Statements. Signed on behalf of the Board: Dennis Hunter Karla Bodden Director Director 21 March 2018 BREVAN HOWARD MASTER FUND LIMITED CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS 3 Consolidated Condensed Schedule of Investments 31 December 2017 Fair Value % of Net Cost is presented in US$’000 US$’000 Assets Long portfolio Equities Ireland (cost US$738) Funds 728 0.02 United States (cost US$3,290) Financial 17,137 0.35 Funds 422 0.01 17,559 0.36 Total equities (cost US$4,028) 18,287 0.38 Fixed income securities Argentina (cost US$6,584) Financial 6,755 0.14 Belgium (cost US$6,214) Government 6,214 0.13 Cayman Islands (cost US$19,246) Asset Backed Securities 0 0.00 Industrial 80 0.00 80 0.00 Finland (cost US$189,846) Government 190,133 3.95 France (cost US$332,783) Government 31,100 FRTR 0.8% 05/25/2028 37,110 0.77 244,000 FRTR 1.0% 05/25/2027 301,739 6.26 338,849 7.03 Germany (cost US$253,718) Financial 58,310 1.21 Government 200,106 4.15 258,416 5.36 Ireland (cost US$20,307) Mortgage Backed Securities 227 0.00 BREVAN HOWARD MASTER FUND LIMITED 4 CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS Consolidated Condensed Schedule of Investments continued 31 December 2017 Fair Value % of Net Cost is presented in US$’000 US$’000 Assets Long portfolio (continued) Fixed income securities (continued) Italy (cost US$1,367,123) Government 63,937 BTPS 0.7% 10/15/2023 74,720 1.55 50,000 BTPS 0.9% 08/01/2022 60,292 1.25 21,158 BTPS 1.0% 03/15/2023 25,373 0.53 32,554 BTPS 1.5% 06/01/2025 38,890 0.81 45,198 BTPS 1.6% 06/01/2026 53,513 1.11 197,306 BTPS 1.9% 05/15/2024 244,579 5.07 188,700 BTPS 2.1% 08/01/2027 227,736 4.73 300,000 BTPS 2.2% 06/01/2027 367,839 7.63 81,163 BTPS 2.3% 09/01/2036 90,352 1.87 123,810 BTPS 2.7% 03/01/2047 136,269 2.83 57,928 BTPS 2.8% 03/01/2067 60,599 1.26 50,000 BTPS 3.5% 03/01/2030 67,469 1.40 1,447,631 30.04 Japan (cost US$1,247,583) Government 31,000,000 JTDB 0.0% 01/12/2018 274,624 5.70 1,000,000 JTDB 0.0% 01/15/2018 8,859 0.18 20,560,000 JTDB 0.0% 01/22/2018 182,157 3.78 31,000,000 JTDB 0.0% 01/29/2018 274,645 5.70 25,000,000 JTDB 0.0% 02/13/2018 221,501 4.60 25,000,000 JTDB 0.0% 02/26/2018 221,513 4.60 7,600,000 JTDB 0.0% 03/26/2018 67,349 1.39 1,250,648 25.95 Jersey (cost US$71) Asset Backed Securities 0 0.00 Lebanon (cost US$13,914) Government 14,105 0.29 Luxembourg (cost US$11,238) Asset Backed Securities 0 0.00 Mortgage Backed Securities 703 0.01 703 0.01 Mexico (cost US$503) Mortgage Backed Securities 0 0.00 Netherlands (cost US$413,258) Government 310,118 NETHER 0.0% 01/15/2022 374,384 7.77 45,000 NETHER 0.0% 01/15/2024 53,518 1.11 Industrial 727 0.02 Mortgage Backed Securities 40 0.00 428,669 8.90 BREVAN HOWARD MASTER FUND LIMITED CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS ANNUAL AUDITED CONSOLIDATED FINANCIAL STATEMENTS 5 Fair Value % of Net Cost is presented in US$’000 US$’000 Assets Long portfolio (continued) Fixed income securities (continued) South Africa (cost US$11,277) Government 7,825 0.16 Utilities 4,307 0.09 12,132 0.25 Spain (cost US$204,741) Government 208,091 4.32 Turkey (cost US$5,947) Financial 5,366 0.11 United Kingdom (cost US$110,599) Government 88,630 1.84 Mortgage Backed Securities 560 0.01 89,190 1.85 United States (cost US$3,262,620)