FEB 2021 BH Macro Limited ADV012550 MONTHLY SHAREHOLDER REPORT Your attention is drawn to the important legal information and disclaimer set out at the end of this document FEB 2021 BH Macro Limited Shareholder Report Overview BH Macro Limited (“BHM”) is a closed-ended investment company, registered and incorporated in Guernsey Manager: on 17 January 2007 (Registration Number: 46235). BHM invests all of its assets (net of short-term working Brevan Howard Capital capital) in the ordinary shares of Brevan Howard Master Fund Limited (“BHMF” or the “Fund”). BHM was Management LP (“BHCM”) admitted to the Official List of the UK Listing Authority and to trading on the Main Market of the London Stock Administrator: Exchange on 14 March 2007. Northern Trust International Fund Administration Services (Guernsey) Limited (“Northern Trust”) Corporate Broker: J.P. Morgan Cazenove Listing: London Stock Exchange (Premium Listing) Performance Attribution Methodology Performance Contribution (%) by Asset Class for BHM USD Shares (net of fees and expenses) Attribution by asset class is produced at the instrument level, with DISCOUNT adjustments made based on risk estimates. The asset classes are RATES FX COMMODITY CREDIT EQUITY TOTAL MANAGEMENT categorised as follows: Rates: interest rates markets Jan-21 0.84 -0.10 -0.11 0.05 0.54 0.00 1.21 FX: FX forwards and options Feb-21 0.04 0.37 -0.03 0.01 -0.10 0.00 0.31 Commodity: commodity futures and options QTD 0.88 0.27 -0.14 0.06 0.45 0.00 1.52 Credit: corporate and asset-backed indices, bonds and CDS YTD 0.88 0.27 -0.14 0.06 0.45 0.00 1.52 Equity: equity markets including indices and other derivatives Discount Management: buyback activity or sales of shares from treasury PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS The information in this section has been provided to BHM by BHCM. Based on performance data for each period provided by BHM’s administrator, Northern Trust. Figures rounded to two decimal places. Data as at 26 February 2021. Data for February 2021, QTD and YTD is calculated by BHCM, on the basis of estimated performance data from Northern Trust. 2 Performance Attribution (%) by Underlying Component of BHMF RETURN ATTRIBUTION MTD YTD MTD YTD Brevan Howard Alpha Strategies Master Fund Ltd (BHAL) 0.35 2.37 0.10 0.67 Brevan Howard AS Macro Master Fund Ltd (BHAS) 2.98 5.26 0.25 0.45 Brevan Howard FG Macro Master Fund Ltd (BHFG) -0.10 0.21 -0.01 0.02 Brevan Howard MB Macro Master Fund Ltd (BHMB) -0.13 1.79 -0.01 0.15 Brevan Howard Global Volatility Master Fund Ltd (BHGV) 4.22 6.39 0.09 0.14 BHMF – Core Portfolio Manager Team* (MF Core) 0.05 1.45 0.02 0.60 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS The information in this section has been provided to BHM by BHCM. Derived from data calculated by BHCM, based on total performance data for each period provided by BHMF’s administrator, International Fund Services (Ireland) Limited (“IFS”) and risk data provided by BHCM. See “Notes” section below for definitions of underlying components. Data estimated as at 26 February 2021. The performance figures listed above, other than the performance figures for “MF Core”, represent the actual returns of Class X Shares in each underlying fund in which the Fund invests. The Class X Shares in each underlying fund do not charge any performance or management fees. Management, performance and other fees and expenses are payable by BHM. BHM’s investment in the Fund is subject to an operational services fee. * The performance figures listed for “MF Core” represent returns from (i) direct capital allocations to individual traders, (ii) treasury trades placed for BHMF, (i) and (ii) each represented gross of all performance fees, management fees and the operational services fee (however net of all other fees and expenses payable by the Fund), and (iii) actual returns of Class X Shares in Brevan Howard AH Master Fund Limited and Brevan Howard TN Master Fund Limited (see above paragraph for fee characteristics of Class X Shares in underlying funds). Your attention is drawn to the important legal information and disclaimer set out at the end of this document. © Brevan Howard Capital Management LP (2021). All rights reserved. FEB 2021 BH Macro Limited Shareholder Report Performance Overview The NAV per share of BHM’s USD shares appreciated by 0.31% and the NAV per share of BHM’s GBP shares appreciated by 0.31% in February 2021. Gains from interest rate yield curve positioning and FX trading in early February were partially given back towards the end of the month as markets reversed. Overall BHMF made small gains from US and European curve positions as well as from DM FX trading, while emerging market FX and interest rate trading detracted over the month. Component Parts of the Fund MF Core* 41.4% MF Core Gains from equity index positioning were offset by losses, primarily from FX trading of USD/Asia. PM Multi- BHAL 28.6% Gains through the month from tactical trading of US interest rates were offset by small losses across a range of strategies, including BHAL inflation, EM and G10 interest rate trading. Gains in G10 FX trading, in particular from GBP and EUR more than offset losses from EM FX trading. Further small losses were incurred from tactical trading of equity indices. BHAS The positive performance in February was quite evenly split between FX and interest rates trading. In interest rates, gains came in 8.7% about two thirds from GBP and in another third from EUR, through short positioning designed to benefit from steeper interest rates BHAS curves, with some losses however occurring in USD interest rates trading. In FX, the positive performance stemmed from a short exposure in the USD, playing the depreciation against various other currencies. Smaller losses occurred in equity, commodity and inflation space. BHFG 10.1% In February there were losses stemming from short USD FX positions, long precious metals positions and also from tactical and BHFG hedge trades. The losses were offset in large part by gains in FX trades which were long the British Pound against the Euro. There Single-PM were also gains from CMS curve cap positions as the USD rates curve steepened. BHMB 3 Gains from short positioning and curve steepening across a range of interest rate markets were broadly offset by opposing 9.0% positions in other markets as the sell-off in US interest rates was widely replicated across markets globally. Short USD/Asia FX BHMB positioning detracted somewhat while equity index trading made a positive contribution over the month. BHGV In February interest rate implied volatility rose significantly. Realised volatility was high as positive economic news, the improved 2.2% coronavirus situation and upcoming fiscal stimulus had markets question the sustainability of low interest rates. Equity volatility BHGV Thematic traded weaker as the high expected volatility was not realised. However, the implied/realised risk premium remains high in equities. BHGV added exposure to interest rate volatility. Data may not add to The information in this section has been provided to BHM by BHCM. Derived from data calculated by BHCM, based on total performance data for each 100% due to rounding period provided by BHMF’s administrator, IFS and risk data provided by BHCM. Data estimated as at 26 February 2021. * Please see section “Performance Attribution (%) by Underlying Component of BHMF” for further information on the “MF Core” component. Your attention is drawn to the important legal information and disclaimer set out at the end of this document. © Brevan Howard Capital Management LP (2021). All rights reserved. FEB 2021 BH Macro Limited Shareholder Report NAV Performance BH Macro Limited NAV per Share (monthly performance in % terms; net of fees and expenses) 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 1.52 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 6.86 -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 4 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 0.31 1.52 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS BHM NAV data is unaudited and net of all investment management and all other fees and expenses payable by BHM.