BH Macro Limited
Annual Report and Audited Financial
Statements 2022
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 2022. The Report
will shortly be available from the Company’s website:
www.bhmacro.com.
Chair’s Statement
I am delighted to report that Brevan Howard Capital Management
LP (the “Manager”) achieved excellent returns in 2022 during a
turbulent period in markets, the global economy and geopolitics.
The price of the Sterling Class shares rose by 20.05% and the US
Dollar Class shares by 12.72%, whilst the NAV per share rose by
21.91% for the Sterling Class shares and 21.17% for the US Dollar
Class shares. In addition to these solid absolute returns, we also
posted impressive relative returns compared with other asset
classes. This absolute and relative performance makes BH Macro
Limited a cornerstone in our investors’ portfolios.
We anticipated that it was going to be a challenging investing
environment in last year’s report. In the event, we weren’t
surprised by the volatility. Some of the worst of our expectations
came to pass: the invasion of Ukraine, soaring energy costs, the highest
inflation for 40 years, and repeated interest rates rises globally.
The UK exacerbated this background with a revolving door at 10
Downing Street and lurches in policy which de-stabilised markets.
Coming into 2023, stock markets enjoyed one of their best starts to
a calendar year and appeared to be embracing an expectation that
despite the negative backdrop and continued inflation, that a soft
landing would be achieved. That hope hit the skids in March when
the Fed and the ECB turned more hawkish on inflation and unleashed
a cascade of bank failures and retrenchments. The optimistic
scenario of a soft landing appears to be very much under review.
Having said that, your Board remains confident that your Company’s
Manager is very well placed to weather these choppy waters and,
given BH Macro’s longstanding track record of performing in such
uncertain environments, the case for holding the Company in an
investment portfolio remains as strong as ever.
The Board is wholly independent of the Brevan Howard group and
is very closely focussed on safeguarding the interests of
shareholders. To that end, the Board maintains a regular dialogue
with the Manager in order to assure itself of the quality of the
investment team and supporting systems, operations and
infrastructure across the organisation. The Manager has continued
an intense focus on developing the quality and depth of the trading
team, including expanding capabilities into new, related areas,
designed to add complementary performance and diversified return
streams for the benefit of the Company, while allowing the Manager
to manage a greater pool of assets. I believe that the trading team
today is the strongest it has ever been.
During 2022 the Board was strengthened by the appointment of
Caroline Chan, a highly experienced
Guernsey and international
corporate lawyer. Caroline is a tremendous addition and I, together
with the rest of the Board greatly look forward to working closely
with her. We also conducted the periodic external evaluation of the
Board’s effectiveness which reconfirmed our high standards of
corporate governance.
The strength of your Company has been reflected in the
significant demand for its shares which traded at a premium through
2022. As a result significant tap issuances were effected during
the year raising a further £175m ($218m) in the Sterling Class and $13m for the US Dollar Class. Despite this,
demand for the shares remained strong and your Board was able to
negotiate a significant capacity agreement with the Company’s
Manager. Subsequently, an offer for sale by way of subscription was
made to satisfy this demand coupled with a 10:1 share split to
improve the liquidity of the shares, in particular, for smaller
investors. This resulted in a very strongly subscribed initial
offer that raised £312.3m and US$3.3m
in each respective share class, with the option for a further offer
to be made within the subsequent 12-month period.
The Company and its Manager have continued to pursue an active
programme for public communication and investor relations.
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 reports and shareholder reports.
All these reports and further information about the Company are
available on its website (www.bhmacro.com).
In conclusion, the global macro-economic backdrop remains highly
complex and uncertain. We anticipate that markets are likely to
remain challenging for investors to navigate for the foreseeable
future. Your Board is very confident in the Manager and believes it
is very well placed to profit from these challenges. In that
context, we believe the company has an important and valuable role
to play in investors’ portfolios. Together, we will continue to
work hard on your behalf to deliver the long term diversifying
returns that set BH Macro Limited apart from most other
investments.
I would like to take this opportunity to thank you all for your
continuing support.
Richard
Horlick
Chair
28 March 2023
Board Members
The Directors of the Company for the year and as at the date of
signing, all of whom are non-executive, are listed below:
Richard
Horlick (Chair)
Richard Horlick is UK resident.
He is currently the non-executive chairman of CCLA Investment
Management which manages assets for over 38,000 charities and
church and local authority funds. He has served on a number of
closed end fund boards. He was a partner and non-executive chairman
of Pensato Capital LLP until its successful sale to RWC Partners in
2017. He has had a long and distinguished career in investment
management graduating from Cambridge
University in 1980 with an MA in Modern History. After 3
years in the corporate finance department of Samuel Montagu 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 Mutual fund range and
responsible for their defined benefit pension business. In 2003, he
joined Schroders Plc as a main board Director and head of
investment worldwide. Mr. Horlick was appointed to the Board in
May 2019 and was appointed Chair in
February 2021.
Caroline
Chan
Caroline has over 30 years’ experience as a corporate lawyer,
having retired from private practice in 2020. After studying
law at Oxford University, Caroline
qualified as an English solicitor with Allen & Overy, working
in their corporate teams in London
and Hong Kong. On returning to
Guernsey in 1998, Caroline
qualified as a Guernsey advocate
and practised locally, including as a partner with law firms Ogier
and Mourant Ozannes. Since retiring from private practice, Caroline
has taken on non-executive directorship roles and is Chair of the
Board of Governors of The Ladies’ College, Guernsey. She has recently retired as a member
of the Guernsey Competition and Regulatory Authority. Ms. Chan is a
Guernsey resident and was
appointed to the Board in December
2022.
Julia
Chapman
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 general counsel to Mourant International
Finance Administration (the firm’s fund administration
division). Following its acquisition by State Street in
April 2010, Julia was appointed
European Senior Counsel for State Street’s alternative 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.
Bronwyn
Curtis
Bronwyn Curtis is a UK resident
and Senior Executive with 30 years leadership in finance,
commodities, consulting and the media. Her executive roles included
Head of Global Research at HSBC Plc, Managing Editor and Head of
European Broadcast at Bloomberg LP, Chief Economist of Nomura
International, and Global Head of Foreign Exchange and Fixed Income
Strategy at Deutsche Bank. She has also worked as a consultant for
the World Bank and UNCTAD. Her other current appointments include
non-executive member of the Oversight Board of the UK Office for
Budget Responsibility, trustee of the Centre for Economic and
Policy Research, the Australia-UK Chamber of Commerce and The Times
shadow MPC. She is a graduate of the London
School of Economics and La Trobe University in Australia where she received a Doctor of
Letters in 2017. Bronwyn was awarded an OBE in 2008 for her
services to business economics. Mrs. Curtis was appointed to the
Board in January 2020.
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 Wales and a former partner of BDO LLP in
London where, as Head of Consumer
Markets, he developed an extensive breadth of experience and
knowledge of listed businesses in the UK and overseas. He is an
experienced non-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.
Claire
Whittet
Claire Whittet is Guernsey resident and has over 40 years’
experience in the financial services industry. After obtaining 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. 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. She is an
experienced non-executive director of a number of listed investment
and private equity funds one of which she chairs and a number of
which she is Senior Independent Director. Mrs. Whittet was
appointed to the Board in June 2014.
Since 20 June 2019 Claire Whittet has
been Senior Independent Director.
Disclosure of Directorships in Public
Companies Listed on Recognised Stock Exchanges
The following summarises the Directors’ directorships in other
public companies:
|
Exchange |
Richard Horlick |
Riverstone
Energy Limited |
London |
VH Global
Sustainable Energy Opportunities Plc |
London |
Caroline Chan |
|
Round Hill Music
Royalty Fund Limited |
London |
Julia Chapman |
|
GCP
Infrastructure Investments Limited |
London |
Henderson
Far East Income Limited |
London |
Bronwyn Curtis |
|
JPMorgan
Asia Growth and Income Plc |
London |
Pershing
Square Holdings Ltd |
London
and Euronext Amsterdam |
Scottish
American Investment Company Plc |
London |
TwentyFour Income Fund
Limited |
London |
John Le
Poidevin |
International Public Partnerships Limited
|
London
|
Super Group (SGHC)
Limited |
New York |
TwentyFour Income Fund
Limited |
London |
Claire Whittet |
|
Eurocastle Investment
Limited |
Euronext
Amsterdam |
Riverstone Energy
Limited |
London |
Third Point Investors
Limited |
London |
TwentyFour Select
Monthly Income Fund Limited |
London |
Strategic Report
For the year ended 31 December
2022
The Directors submit to the Shareholders their Strategic Report
of the Company for the year ended 31
December 2022.
The Strategic Report provides a review of the business for the
financial year and describes how risks are managed. 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.
BUSINESS MODEL AND STRATEGY
Investment Objective and Company
Structure
The Company is organised as a feeder fund that invests solely in
the ordinary Sterling and US
Dollar-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.
Sources of Cash and Liquidity
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.
BUSINESS ENVIRONMENT
Principal Risks and 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 assessment of the principal and emerging risks and
uncertainties facing the Company. The principal and emerging risks
and uncertainties which have been identified and the steps which
are taken by the Board to mitigate them are as follows:
· Investment Risks: The
Company is exposed to the risk that its 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”) or 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 Risk:
Disruption arising from the aftermath of the COVID-19 pandemic,
elevated levels of global inflation, recessionary risks and the
current war in Ukraine has 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 also 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
When appointing new directors and reviewing the Board
composition, the Board considers, amongst other factors, diversity,
balance of skills, knowledge, gender and experience. At
31 December 2022, the Board believes
it would be fully compliant with Listing Rules LR 9.8.6R(9) and LR
14.3.33R(1) in relation to board diversity, which will be
applicable to the Company for the year ending 31 December 2023. There have been no changes to
board composition since that date. We have set out additional
detail in the table below:
Name |
Gender
Identity |
Ethnicity |
Richard Horlick |
Male |
|
White
British |
Caroline Chan |
Female |
|
Mixed
Asian British |
Julia Chapman |
Female |
|
White
British |
Bronwyn Curtis |
Female |
|
White
European |
John Le Poidevin |
Male |
|
White
British |
Claire Whittet |
Female |
|
White
British |
|
|
|
|
|
Environmental, Social and Governance
(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.
The Manager continues to monitor developments in this area and
seeks to implement industry best practice where 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 UN Global Compact
principles, specifically: implementing a precautionary approach to
addressing environmental issues through effective programmes,
undertaking initiatives that demonstrate the acknowledgement of
environmental responsibility, promoting and using environmentally
sustainable technologies, and UN Sustainable Development Goals,
specifically: using only energy efficient appliances and light
bulbs, avoiding unnecessary use and waste of water, implementing
responsible consumption and production, and taking action to reduce
climate change.
POSITION AND PERFORMANCE
Packaged Retail and Insurance Based
Investment Products (“PRIIPs”)
From 1 January 2021, the Company
became subject to the UK version of Regulation (EU) No 1286/2014 on
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 Investment Products (Amendment) (EU Exit)
Regulations 2019 (the “UK PRIIPs Laws”), which superseded the EU
regulation that previously applied to the Company. In accordance
with the requirements of the UK PRIIPs Laws, the Manager published
the latest standardised three-page Key Information Document (a
“KID”) for the Company’s Sterling
shares and another for its US Dollar shares on 23 February 2023 (based on data as at
31 December 2021). 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 contained in each
KID. The process for calculating the risks, cost and potential
returns is prescribed by regulation. The figures in the KID,
relating to the relevant share class, may not reflect the expected
returns for that share class of the Company and anticipated returns
cannot be guaranteed.
Performance
Key Performance Indicators
(“KPIs”)
At each Board meeting, the Directors consider a number of
performance measures to assess the Company’s success in achieving
its objectives. Below are the main KPIs which have been identified
by the Board for determining the progress of the Company:
1. NAV
The Company’s NAV has appreciated from £10.00 per Sterling share and US$10.00 per US Dollar share at launch to £41.81
per Sterling share and US$43.28 per US Dollar share at the 2022
financial year end. This increase in NAV is largely attributable to
the Company’s long-term growth strategy and returns. The Directors
and the Manager are confident that the current strategy will
continue to return positive levels of growth over the
long-term.
2. Share Prices, Discount/Premium
The Company’ shares traded at an average premium of 10.61% and
11.08% to NAV for its Sterling shares
and US Dollar shares respectively for the year ended 31 December 2022.
3. Ongoing Charges
The Company’s ongoing charges ratio has increased from 2.43% to
6.11% on the Sterling shares and
increased from 2.25% to 6.16% on the US Dollar shares, primarily
due to changes in the level of the Manager’s performance fee as a
result of relative performance.
The Company reports an aggregated view of the charges for both
the Sterling shares and US Dollar
shares. Further details are in the Directors’ Report.
Return per Share
Total return per share is based on the net total gain on
ordinary activities after tax of £195,693,403 for the Sterling share class and a net gain of US$19,301,255 for the US Dollar share class
(2021: gains of £16,571,134 and US$2,281,013 respectively).
These calculations are based on the weighted average number of
shares in issue for the year ended 31
December 2022, resulting in: 28,620,989 Sterling shares and 2,722,649 US Dollar shares (2021: Sterling shares: 18,461,608 and US Dollar shares:
2,316,734).
|
|
|
|
|
Year ended |
Year ended |
|
|
|
|
|
31.12.22 |
31.12.21 |
|
|
|
|
|
Per
share |
'000 |
Per
share |
'000 |
Net total
gain for Sterling Shares |
|
|
683.74p |
£195,693 |
89.76p |
£16,571 |
Net total
gain for US Dollar Shares |
|
|
708.91c |
US$19,301 |
98.46c |
US$2,281 |
NAV
The NAV per Sterling share, as at
31 December 2022 was £41.81 based on
net assets of £1,260,922,944, divided by number of Sterling shares in issue of 30,156,454 (2021:
£34.30).
The NAV per US Dollar share, as at 31
December 2022 was US$43.28
based on net assets of US$123,685,664
divided by number of US Dollar shares in issue of 2,858,135 (2021:
US$35.71).
Dividends
No dividends were paid during the year (2021: US$Nil).
Viability Statement
The investment objective of the Company is to seek to generate
consistent long-term capital appreciation through 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 period to 31 December 2025. 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.
The continuation of the Company in its present form is largely
dependent on the management agreement between the Company and the
Manager (the “Management Agreement”) remaining in place. The
Management Agreement was, as at the 2022 financial year end,
generally terminable on three months’ notice by either party save
for certain exceptions. This was changed in January 2023 to a twelve month notice period save
for certain exceptions. To ensure that the Company maintains a
constructive and informed relationship with the Manager, the
Directors meet regularly with the Manager to review the Master
Fund’s performance, and through the Management Engagement
Committee, they review the Company’s relationship with the Manager
and the Manager’s performance and effectiveness. The Directors
currently know of no reason why either the Company or the Manager
might serve notice of termination of the Management Agreement over
the period of this Viability Statement.
The Company’s assets exceed its liabilities by a considerable
margin. Furthermore, the majority of the Company’s most significant
expenses, being the fees owing to the Manager and to the
Administrator, fluctuate by reference to the Company’s investment
performance and NAV. The Company is able to meet its expenses by
redeeming shares in the Master Fund as necessary, as and when
required to enable the Company to meet its ordinary course
operating expenses.
The Company’s investment performance depends upon the
performance of the Master Fund and the Manager as manager of the
Master Fund. The Directors, in assessing the viability of the
Company, pay particular 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.
Although the Company’s shares have largely traded at a premium
for some time, in the event that there is downward pressure on the
Company’s share prices, the Company is able to consider resuming
active discount management actions, 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. The Company is able to meet the costs of share
buybacks by redeeming shares in the Master Fund as necessary, on
three months’ notice to the extent required to enable the Company
to make an annual redemption offer (as defined in the Articles).
Refer to note 8 in the Audited Financial Statements for details of
the Company’s discount management programme.
The Directors have carried out a robust assessment of the risks
and, on the assumption that the risks are managed 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.
Although the Company is domiciled in Guernsey, the Board has considered the
guidance set out in the Association of Investment Companies (the
“AIC”) Code in relation to Section 172 of the Companies Act 2006 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.
Key Service 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
The Manager is a leading and well-established hedge fund
manager. In exchange for its services, a fee 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.
Administrator and Corporate
Secretary
Northern Trust International Fund Administration Services
(Guernsey) Limited is the
Administrator and its corporate secretary (the “Corporate
Secretary”). Further details on fee structure are included in note
4 to the Audited Financial Statements.
Signed on behalf of the Board by:
Richard Horlick
Chair
John Le Poidevin
Director
28 March 2023
Directors’ Report
31 December 2022
The Directors submit their Report together with the Company’s
Audited Statement of Assets and Liabilities, 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 2022. The Directors’
Report together with the Audited Financial Statements and their
related notes (the “Audited Financial Statements”) give a true and
fair view of the financial position of the Company. They have been
prepared in accordance with United States Generally Accepted
Accounting Principles (“US GAAP”) and are in agreement with the
accounting records.
The Company
BH Macro Limited is a limited liability closed-ended investment
company which was incorporated in Guernsey on 17 January
2007 and then admitted to the Official List of the London
Stock Exchange ("LSE") later that year.
Currently, ordinary shares are issued in Sterling and US Dollars.
Investment Objective and Policy
The Company is organised as a feeder fund that invests all of
its assets (net of short-term working capital requirements)
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 capital
requirements or financing further investment into the Master Fund,
subject to an aggregate borrowing limit of 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.
Results and Dividends
The results for the year are set out in the Audited Statement of
Operations. The Directors do not recommend the payment of a
dividend.
Share Capital
As approved by the Shareholders at the Annual General Meeting
held on 24 September 2021, the
Directors had the power to issue further shares for cash totalling
7,965,377 Sterling shares and
931,107 US Dollar shares,
respectively; with authority to dis-apply pre-emption rights in
respect of 279,360 shares designated as US Dollar shares and
2,389,852 shares designated as Sterling
share. These authorities expired at the conclusion of the
9 September 2022 Annual General
Meeting. An additional authority to dis-apply pre-emption rights in
respect of Sterling shares only was
adopted at the 5 May 2022
Extraordinary General Meeting ("EGM"), as noted below.
As approved by the Shareholders at an EGM held on 5 May 2022, the Directors had the power to issue
further shares for cash on a non-pre-emptive basis totalling
2,707,396 Sterling shares. This power
expired on the conclusion of the 9 September
2022 Annual General Meeting of the Company.
As approved by the Shareholders at the Annual General Meeting
held on 9 September 2022, the
Directors had the power to issue further shares for cash on a
non-pre-emptive basis totalling 9,818,410 Sterling shares and 873,549
US Dollar shares, respectively. This power was 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 was earlier, unless such power was varied, revoked or
renewed prior to that Meeting by a resolution of the Company in
general meeting.
As noted below, subsequent to the year end, this authority was
superseded by a shareholder resolution adopted on 6 February 2023.
During the year ended 31 December
2022, the following share issues were made:
On 14 January 2022, the Company
issued 921,862 Sterling shares at a
price of 3,670 pence per share.
On 16 March 2022, the Company
issued 268,379 Sterling shares at a
price of 3,770 pence per share.
On 19 May 2022, the Company issued
1,521,441 Sterling shares at a price of
4,270 pence per share.
On 26 May 2022, the Company issued
59,631 Sterling shares at a price of
4,300 pence per share.
On 16 June 2022, the Company
issued 582,182 Sterling shares at a
price of 4,455 pence per share.
On 7 July 2022, the Company issued
187,684 Sterling shares at a price of
4,300 pence per share.
On 11 August 2022, the Company
issued 356,458 Sterling shares and
185,000 US Dollar shares at a price
of 4,375 pence per share and
US$44.20 per share, respectively.
On 2 September 2022, the Company
issued 94,360 US Dollar shares at a
price of US$47.30 per share.
On 13 October 2022, the Company
issued 303,513 Sterling shares at a
price of 4,600 pence per share.
The number of shares in issue at year end is disclosed in note 5
of the Audited Financial Statements.
Subsequent to the year end:
(a) 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 “Offer for Subscription”), together
with an issuance programme for subsequent issues, which remains
open until 23 January 2024 (the
“Issuance Programme”), in respect of the issue of up to an
aggregate of 220 million shares (based on a 10:1 share
split); the issue of circular for an EGM, which was held on 6
February 2023, in relation to the Initial Issue, Issuance
Programme and share sub-division; and details of amendments to the
Management Agreement, including terms of the Company'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. Further details are disclosed in note 11 to
the Audited Financial Statements;
(b) on 6 February 2023,
following the EGM, the Company announced that (i) the Board was
empowered to allot and issue, in aggregate, up to 220 million new
shares of no par value in the Company designated as Sterling shares or 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 and subject to the same restrictions as the then
existing shares of the same currency class, in the capital of the
Company, 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. Further
details are disclosed in note 11 to the Audited Financial
Statements; and
(c) 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.
Going Concern
The Directors, having considered the Principal and Emerging
Risks and Uncertainties to which the Company is exposed, which are
listed in the Strategic Report and on the assumption that these are
managed or mitigated as noted, are not aware of any material
uncertainties which may cast significant doubt upon the Company’s
ability to continue as a going concern and, accordingly, consider
that it is appropriate that the Company continues to adopt the
going concern basis of accounting for these Audited Financial
Statements.
The Board continues to monitor the ongoing impact of various
geopolitical events, including the disruption arising from the
aftermath of the COVID-19 pandemic, elevated levels of global
inflation, recessionary risks and the ongoing war in Ukraine. The Board has concluded that the
biggest threat to the Company in relation to these geopolitical
concerns 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
The Board of Directors has overall responsibility for
safeguarding the Company’s assets, for the determination of the
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 Company’s policy on Directors’ Remuneration, together with
details of the remuneration of each Director who served during the
year, is detailed in the Directors’ Remuneration Report.
The Board meets at least four times a year and between these
formal meetings, there is regular contact with the Manager 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
and Audit Committee meetings they were entitled to attend during
the year ended 31 December 2022 and
the number of such meetings attended by each Director.
Scheduled Board
Meetings |
Held |
Attended |
Richard Horlick |
4 |
4 |
Caroline Chan* |
1 |
1 |
Julia Chapman |
4 |
4 |
Bronwyn Curtis |
4 |
4 |
John Le Poidevin |
4 |
4 |
Claire
Whittet |
4 |
4 |
Audit Committee Meetings |
Held |
Attended |
John Le Poidevin |
4 |
4 |
Caroline Chan* |
1 |
1 |
Julia Chapman |
4 |
3 |
Bronwyn Curtis |
4 |
4 |
Claire Whittet |
4 |
4 |
Remuneration and
Nomination Committee Meetings |
Held |
Attended |
Richard Horlick |
1 |
1 |
Caroline Chan* |
N/A |
N/A |
Julia Chapman |
1 |
1 |
Bronwyn Curtis |
1 |
1 |
John Le Poidevin |
1 |
1 |
Claire
Whittet |
1 |
1 |
Management
Engagement Committee Meetings |
Held |
Attended |
Richard Horlick |
1 |
1 |
Caroline Chan* |
N/A |
N/A |
Julia Chapman |
1 |
1 |
Bronwyn Curtis |
1 |
1 |
John Le Poidevin |
1 |
1 |
Claire
Whittet |
1 |
1 |
* Caroline Chan was appointed to
each of the Board, the Audit Committee, the Remuneration and
Nomination Committee and the Management Engagement Committee on
6 December 2022.
In addition to these scheduled meetings, 14 ad-hoc committee
meetings were held during the year ended 31
December 2022, which were attended by those Directors
available at the time.
The Board has reviewed the composition, structure and diversity
of the Board, succession planning, the independence 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 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 Board notes that
each appointment is non-executive and that listed investment
companies generally have a lower level of complexity and time
commitment than trading companies. Furthermore, the Board notes
that attendance of all Board 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
The Directors had the following interests in the Company, held
either directly or beneficially:
|
Sterling Shares |
|
|
31.12.22 |
31.12.21 |
Richard
Horlick |
|
20,000 |
20,000 |
Caroline
Chan1 |
|
Nil |
N/A |
Julia
Chapman |
|
626 |
626 |
Bronwyn
Curtis |
|
1,000 |
1,000 |
John Le
Poidevin |
|
5,482 |
5,482 |
Claire
Whittet2 |
|
1,500 |
1,500 |
|
US Dollar Shares |
|
|
31.12.22 |
31.12.21 |
Richard
Horlick |
|
Nil |
Nil |
Caroline
Chan1 |
|
Nil |
N/A |
Julia
Chapman |
|
Nil |
Nil |
Bronwyn
Curtis |
|
Nil |
Nil |
John Le
Poidevin |
|
Nil |
Nil |
Claire
Whittet |
|
Nil |
Nil |
|
|
|
|
|
1
Caroline Chan was appointed to the
Board on 6 December 2022.
2
All units are held through a Retirement Annuity Trust Scheme,
jointly owned by Mrs Whittet and her husband.
On 23 January 2023, the Board
announced the commencement of its Initial Issue, comprising of the
Placing, Intermediaries Offer and Offer for Subscription of new
ordinary shares of no par value in the capital of the Company,
together with an issuance programme for subsequent issues, which
remains open until 23 January
2024.
On 13 February 2023, the Board
participated in the Initial Issue for the following amounts:
Richard Horlick, US$89,400 of US Dollar shares;
Caroline Chan, £50,000 of
Sterling shares;
Bronwyn Curtis, £100,000 of
Sterling shares;
John Le Poidevin, £90,000 of
Sterling shares; and
Claire Whittet, £35,000
Sterling shares.
Directors’ Indemnity
Directors’ and Officers’ liability insurance cover is in place
in respect of the Directors.
The Directors entered into indemnity agreements with the Company
which provide, subject to the provisions of the Companies
(Guernsey) Law, 2008, for an
indemnity for Directors in respect of costs which they may incur
relating to the defence of proceedings brought against them arising
out of their positions as Directors, in which they are acquitted,
or judgement is given in their favour by the Court. The agreement
does not provide for any indemnification for liability which
attaches to the Directors in connection with any negligence,
unfavourable judgements and breach of duty or trust in relation to
the Company.
Corporate Governance
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.
The Company is a member of the AIC and by complying with the AIC
Code it is deemed to comply with both the UK Corporate Governance
Code and the Guernsey Code of Corporate Governance.
To ensure ongoing compliance with the principles and the
recommendations of the AIC Code, the Board receives and 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 complied with the requirements of the AIC Code
and the relevant provisions of the UK Corporate Governance Code,
except as set out below.
The UK Corporate Governance Code includes provisions relating
to:
· the role of
the chief executive;
· executive
directors’ remuneration;
· the need for
an internal audit function; and
· a
whistle-blowing policy.
For the reasons explained in the UK Corporate Governance Code,
the Board considers these provisions are not relevant 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.
The Company has adopted a policy that the composition of the
Board of Directors is at all times such that (i) a majority of the
Directors are independent of the Manager and any company in the
same group as the Manager (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.
The Company has adopted a Code of Directors’ dealings in
securities.
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 Company has adequate and
effective systems in place to identify, mitigate and manage the
risks to which it is exposed.
In view of its non-executive and independent nature, the Board
had previously considered that it was not necessary for there to be
a Nomination Committee, or a Remuneration Committee as anticipated
by the AIC Code. A Remuneration and Nomination Committee was
established on 17 June 2022. The
Board has included a separate Directors’ Remuneration Report in
this Annual Report.
For new appointments to the Board, a specialist independent
recruitment firm is engaged as and when appropriate,
nominations are sought from the Directors and from other
relevant parties and candidates are then interviewed by the
Directors. The current Board has a breadth of experience relevant
to the Company, and the Directors believe that any changes to the
Board’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 General
Meeting. At the Annual General Meeting of the Company on
9 September 2022, Shareholders
re-elected all the then incumbent Directors of the Company, except
for Caroline Chan, who was appointed
on 6 December 2022.
The Board, through the Remuneration and Nomination Committee,
regularly reviews its composition and believes that the
current appointments provide an appropriate range of skill,
experience and diversity. Having served nine years as a Board
member, Claire Whittet will not seek
re-election at the forthcoming Annual General Meeting of the
Company.
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. The Board and the Committees consider how
they function as a whole and also review the individual performance
of their members. This process is conducted by the Chair of each
Committee reviewing the relevant Directors’ performance,
contribution and commitment to the Company.
Claire Whittet has been Senior
Independent Director since 20 June
2019 and takes the lead in evaluating the performance of the
Chair.
Board Performance
The performance of the Board and that of each individual
Director is scheduled for external evaluation every three
years.
The most recent external evaluation of the Board’s performance
was completed in March 2022 and it
confirmed that the Board works in a collegiate, harmonious and
effective manner. The evaluation made a number of recommendations
for the medium-term structure of the Board, including in relation
to future succession planning, and the adoption by the Board of
those recommendations has commenced.
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, business model and strategy. In seeking to achieve
this, the Directors have set out the Company’s investment objective
and policy and have explained how the Board and its delegated
Committees operate and how the Directors review the risk
environment within which the Company operates and sets appropriate
risk controls. Furthermore, throughout the Annual Report, the Board
has sought to provide further information to enable shareholders to
better understand the Company’s business and financial
performance.
Policy to Combat Fraud, Bribery and
Corruption
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 to prevent the facilitation of tax evasion’, the
Board confirms that it is committed to preventing the facilitation
of tax evasion and takes all reasonable steps to do so.
Social and Environmental Issues
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 under 'Climate Change and ESG Risks'.
Ongoing Charges
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 2022 and 31 December
2021 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 2022 and 31 December
2021.
31.12.22
|
|
Sterling |
US
Dollar |
|
|
Shares |
Shares |
Company – Ongoing
Charges |
|
1.68% |
1.74% |
Master Fund – Ongoing
Charges |
|
0.20% |
0.22% |
Performance fees |
|
4.23% |
4.20% |
Ongoing Charges plus
performance fees |
|
6.11% |
6.16% |
31.12.21
|
|
Sterling |
US
Dollar |
|
|
Shares |
Shares |
Company – Ongoing
Charges |
|
1.34% |
1.11% |
Master Fund – Ongoing
Charges |
|
0.45% |
0.45% |
Performance fees |
|
0.64% |
0.69% |
Ongoing Charges plus
performance fees |
|
2.43% |
2.25% |
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 payable to the Manager of 1/12
of 0.5% per month of the prevailing Master Fund NAV attributable to
the Company’s investment in the Master Fund.
Audit Committee
The Company’s Audit Committee conducts formal meetings at least
three times a year for the purpose, amongst others, of considering
the appointment, independence and effectiveness of the audit and
remuneration of the auditors, and to review and recommend the
annual statutory accounts and interim report to the Board of
Directors. It is chaired by John Le
Poidevin and comprises Bronwyn
Curtis, Claire Whittet,
Julia Chapman and Caroline Chan. The Terms of Reference of the
Audit Committee are available from the Administrator.
Management Engagement Committee
The Board has established a Management Engagement Committee with
formal duties and responsibilities. The Management Engagement
Committee meets formally at least once a year and comprises all
members of the Board.
It was chaired by Claire Whittet
until 17 June 2022, when Julia Chapman was appointed Chair.
The function of the Management Engagement Committee is to ensure
that the Company’s Management Agreement is 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 also monitors the performance of
all service providers on an annual basis and writes 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.
The details of the Manager’s fees and notice period are set out
in note 4 to the Audited Financial Statements.
The Board continuously monitors the performance of the Manager
and a review of the Manager is conducted by the Management
Engagement Committee annually.
The Manager has wide experience in managing and administering
investment companies and has access to extensive investment
management resources.
At its meeting on 9 September
2022, the Management Engagement Committee concluded that the
continued appointment of each of the Manager, the Administrator,
the Company’s UK and Guernsey
legal advisers, the Registrar and 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.
Remuneration and Nomination
Committee
The Board established a Remuneration and Nomination Committee on
17 June 2022 with formal duties and
responsibilities. The Remuneration and Nomination Committee meets
formally at least once a year, is chaired by Bronwyn Curtis and comprises all members of the
Board.
The function of the Remuneration and Nomination Committee is
to:
· 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, from a variety of
sources, candidates to fill Board vacancies as and when they arise
with a continued 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 time to
their duties, and also to review their contribution to the work of
the Board and the breadth of experience of the Board as a whole;
and
· annually review the levels of
remuneration of the Chair of the Board, the Chair of the Audit
Committee and the Chair of each other Board committee and other
non-executive directors having regard to the maximum aggregate
remuneration that may be paid under the Company’s Articles.
Internal Controls
Responsibility for the establishment and maintenance of an
appropriate system of internal control rests with the Board and to
achieve this, a process has been established which seeks to:
· review the risks faced by the
Company and the controls in place to address those risks;
· identify and report changes in
the risk environment;
· identify and report changes in
the operational controls;
· identify and report on the
effectiveness of controls and errors arising; and
· ensure no override of controls
by the Manager, the Administrator and its other service
providers.
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 three occasions
during the year.
The Board has delegated the management of the Company and the
administration, corporate secretarial and registrar functions,
including the independent calculation of the Company’s NAV and the
production of the Annual Report and Audited Financial Statements,
which are independently audited. Whilst the Board delegates these
functions, it remains responsible for 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
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.
International Tax Reporting
For purposes of the US Foreign Account Tax Compliance Act, the
Company registered with the US Internal Revenue 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”), which was adopted by Guernsey and came into effect on 1 January 2016. The CRS replaced the
intergovernmental agreement between the UK and Guernsey to improve international tax
compliance that had previously applied in respect of 2014 and 2015.
The Company made its latest report for CRS to the Director of
Income Tax on 27 June 2022.
Relations with Shareholders
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 available to meet Shareholders, with
a number of such meetings taking place during the period. The
Company provides 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 to communicate with the Board should contact
the Administrator in the first 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.
Following the publication of the updated AIC Code in
February 2019, when 20 per cent or
more of Shareholder votes have been cast against a Board
recommendation for a resolution, the Company should explain, when
announcing voting results, what actions it intends to take to
consult Shareholders in order to understand the reasons behind the
result. An update on the views received from Shareholders and
actions taken should be published no later than six months after
the Shareholder meeting. The Board should then provide a final
summary in the Annual Report and, if applicable, in the explanatory
notes to resolutions at the next Shareholder meeting, on what
impact the feedback has had on the decisions the Board has taken
and any actions or resolutions now proposed. During the period, no
resolution recommended by the Board received 20 per cent or more
votes against it.
As at 24 March 2023, the following
Shareholders had significant shareholdings in the Company:
|
%
holding |
|
in
class |
Significant
Shareholders |
|
Sterling
Shares |
|
Ferlim Nominees
Limited |
20.5% |
Rathbone Nominees
Limited |
10.3% |
Cheviot Capital
(Nominees) Limited |
6.6% |
Smith & Williamson
Nominees Limited |
6.6% |
Vestra Nominees
Limited |
4.4% |
Pershing Nominees
Limited |
4.3% |
Lion Nominees
Limited |
4.1% |
Vidacos Nominees
Limited |
3.2% |
Brewin Nominees
Limited |
3.1% |
HSBC Global Custody
Nominee (UK) Limited |
3.1% |
|
%
holding |
|
in
class |
Significant
Shareholders |
|
US Dollar
Shares |
|
Hero Nominees
Limited |
17.2% |
Vidacos Nominees
Limited |
16.3% |
Euroclear
Nominees |
13.1% |
Luna Nominees
Limited |
5.9% |
CGWL Nominees
Limited |
4.3% |
Rathbone Nominees
Limited |
3.4% |
Ferlim Nominees
Limited |
3.2% |
Vestra Nominees
Limited |
3.1% |
Signed on behalf of the Board by:
Richard
Horlick
Chair
John Le
Poidevin
Director
28 March 2023
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.
Company law requires the Directors to prepare financial
statements for each financial year. Under that law, they are
required to prepare the financial statements in accordance with
accounting principles generally accepted in the United States of America and applicable
law.
Under Company law, the Directors must not approve the financial
statements unless they are satisfied that they give a true and fair
view of the state of affairs of the Company and of its profit or
loss for that year. In preparing these financial statements, 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’s
transactions and disclose with reasonable accuracy at any time the
financial position of the Company and 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 that are free from material
misstatement, whether due to fraud or error, and have general
responsibility for taking such steps as are reasonably open to them
to safeguard the assets of the Company and to prevent and detect
fraud and other irregularities.
The Directors are responsible for the maintenance and integrity
of the corporate and financial information included on the
Company’s website. Legislation in Guernsey governing the preparation and
dissemination of financial statements may differ from legislation
in other jurisdictions.
RESPONSIBILITY STATEMENT OF THE
DIRECTORS IN RESPECT OF THE ANNUAL FINANCIAL REPORT
We confirm that to the best of our 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.
Signed on behalf of the Board by:
Richard
Horlick
Chair
John Le
Poidevin
Director
28 March 2023
Directors’ Remuneration Report
31 December 2022
Introduction
An ordinary resolution for the approval of the Directors’
Remuneration Report was passed by the Shareholders at the Annual
General Meeting held on 9 September
2022.
Remuneration policy
A Remuneration and Nomination Committee was established on
17 June 2022. Prior to this, the
Board as a whole considered matters relating to the Directors’
remuneration. No advice or services were provided by any external
person 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 Independent Director. The policy is to review fee
rates periodically, although such a review will not necessarily
result in any changes to the rates, and account is taken of fees
paid to Directors of comparable companies.
There are no long-term incentive schemes provided by the Company
and no performance fees are paid to Directors.
No Director has a service contract with the Company but each of
the Directors is appointed by a letter of appointment which sets
out the main terms of their appointment. The Directors were
appointed to the Board for an initial term of three years and
Article 21.3 of the Company’s Articles requires, as does the AIC
Code, that all of the Directors retire at each Annual General
Meeting. At the Annual General Meeting of the Company on
9 September 2022, Shareholders
re-elected all the Directors, except for Caroline Chan, who was appointed as a Director
on 6 December 2022. Director
appointments can also be terminated in accordance with the
Articles. Should Shareholders vote against a Director standing for
re-election, the Director affected will not be entitled to any
compensation. There are no set notice periods and a Director may
resign by notice in writing to the Board at any time.
Directors are remunerated in the form of fees, payable quarterly
in arrears, to the Director personally.
No other remuneration 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
Until 30 June 2022, the Company’s
Articles limited the fees payable to Directors in aggregate to
£400,000 per annum. The annual Directors’ fees were: £70,000 for
Richard Horlick, the Chair; £55,000
for John Le Poidevin, the Chair of
the Audit Committee; £50,000 for Claire
Whittet, as Chair of the Management Engagement Committee and
the Senior Independent Director and £45,000 for all other
Directors.
The annual Directors’ fees from 1 July
2022 have been:
|
|
|
Fee
per annum |
Role |
|
|
£ |
Board Chair |
|
|
90,000 |
Audit Committee
Chair |
|
|
65,000 |
Management Engagement
Committee Chair |
|
|
55,000 |
Remuneration and
Nomination Committee Chair |
|
|
55,000 |
Senior Independent
Auditor |
|
|
55,000 |
All other
Directors |
|
|
50,000 |
At the Annual General Meeting, held on 9
September 2022, Shareholders approved an increase in the
annual aggregate limit of fees payable to Directors from £400,000
per annum to £800,000 per annum.
The fees payable by the Company in respect of each of the
Directors who served during the year ended 31 December 2022 and the year ended
31 December 2021 were as follows:
|
|
Year
ended |
Year
ended |
|
|
31.12.22 |
31.12.21 |
|
|
£ |
£ |
Richard Horlick* |
|
80,000 |
66,678 |
Colin Maltby** |
|
N/A |
8,822 |
Caroline Chan*** |
|
3,562 |
N/A |
Julia Chapman**** |
|
50,000 |
11,250 |
Bronwyn Curtis |
|
50,000 |
45,000 |
John Le Poidevin |
|
60,000 |
55,000 |
Claire Whittet |
|
52,500 |
50,000 |
Total |
|
296,062 |
236,750 |
* On
15 February 2021, Richard Horlick was appointed Chair at a fee of
£70,000 p.a. Prior to that date, he served as a Director at a fee
of £45,000 p.a. From 1 July 2022, his
fee was £90,000 p.a.
** Colin Maltby retired as Chair and Director on
15 February 2021 and was paid a fee
of £70,000 p.a. until that date.
*** Caroline Chan was appointed to the Board on
6 December 2022 at a fee of £50,000
p.a.
**** Julia
Chapman was appointed to the Board on 1 October 2021 at a fee of £45,000 p.a. From
1 July 2022, she was paid £55,000 per
annum as Chair of the Management Engagement Committee.
Signed on behalf of the Board by:
Richard
Horlick
Chair
John Le
Poidevin
Director
28 March 2023
Report of the Audit Committee
31 December 2022
We present the Audit Committee’s (the “Committee”) Report for
2022, 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 and Composition
The Committee is chaired by John Le
Poidevin and its other members are Claire Whittet, Bronwyn
Curtis and Julia Chapman.
Caroline Chan was appointed to the
Audit Committee on 6 December
2022.
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. Claire Whittet is
currently serving her third term. John Le
Poidevin is currently serving his third term, Bronwyn Curtis is serving her second term and
Julia Chapman and Caroline Chan are 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 2022 and the number of such meetings
attended by each committee member. The Independent Auditor is
invited to attend those meetings at which the annual and interim
reports are considered. The Independent Auditor and the Committee
will meet together without representatives of either the
Administrator or the Manager being present if the Committee
considers this to be necessary.
Principal Duties
The role of the Committee includes:
· 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.
The independence and objectivity of the Independent Auditor is
reviewed by the Committee, which also reviews the terms under which
the Independent Auditor is appointed to perform non-audit services,
which includes consideration of the Financial Reporting Council
Revised Ethical Standard 2019. The Committee has also established
policies and procedures for the engagement of the Company’s auditor
to provide audit, assurance and other services. The services which
the Independent Auditor may not provide 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.
Independent Auditor
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.
Key Activities in 2022
The following sections discuss the assessment made by the
Committee during the year:
Significant Financial Statement
Issues
The Committee’s review of the annual Audited Financial
Statements focused on the following area:
The Company’s investment in the Master Fund had a fair value of
US$1,628.8 million as at 31 December 2022 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 2022 were audited by KPMG Cayman who
issued an unqualified audit opinion dated 24
March 2023. 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 2022 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.
Effectiveness of the Audit
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:
-
reviewing the audit plan presented to them before the start of the
audit;
-
reviewing and challenging the audit findings report including
variations from the original plan;
-
reviewing any changes in audit personnel; and
-
requesting feedback from both the Manager and the
Administrator.
Further to the above, during the year ended 31 December 2021, 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 2021 evaluation.
Audit Fees and Safeguards on
Non-Audit Services
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 2022 and 31 December 2021.
|
|
Year
ended |
Year
ended |
|
|
31.12.22 |
31.12.21 |
|
|
£ |
£ |
Annual audit |
|
65,000 |
55,000 |
Interim review |
|
33,000 |
16,000 |
Specified procedures
relating to 30 June 2021 Tender offer |
|
- |
11,000 |
Specified procedures
relating to 31 July 2021 NAV Review |
|
- |
11,000 |
Reporting accountant
services - Combination with BH Global |
|
- |
80,000 |
The Audit Committee has examined the scope and results of the
external audit, its cost effectiveness and the independence and
objectivity of the Independent Auditor, with particular regard to
non-audit fees, and considers KPMG CI, as Independent Auditor, to
be independent of the Company. Further, the Committee has obtained
KPMG CI’s confirmation that the services provided by other KPMG
member firms to the wider Brevan Howard organisation do not
prejudice its independence.
Internal Control
The Audit Committee has also reviewed the need for an internal
audit function. The Committee has concluded that the systems and
procedures employed by the Manager and the Administrator, including
their own internal audit functions, currently provide sufficient
assurance that a sound system of internal control, which safeguards
the Company’s assets, is maintained. An internal audit function
specific to the Company is therefore considered unnecessary.
The Committee examined externally prepared assessments of the
control environment in place at the Manager and the Administrator,
with the Manager providing an International Standard on Assurance
Engagements (“ISAE 3402”) report and the Administrator providing a
Service Organisation Control (“SOC1”) report. No significant
findings have been noted during the year.
Conclusion and Recommendation
After reviewing various reports such as the operational and risk
management framework and performance reports from the Manager and
the Administrator, consulting where necessary with KPMG CI, and
assessing the significant Audited 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 reported and the disclosures). The Committee is also
satisfied that the significant assumptions used for determining the
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
2022 Annual Report and Audited Financial Statements are fair,
balanced and understandable and provide the necessary information
for Shareholders to assess the Company’s performance, business
model and strategy.
The Independent Auditor reported to the Committee that no
unadjusted material misstatements were found in the course of its
work. Furthermore, both the Manager and the Administrator confirmed
to the Committee that they were not aware 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.
Consequent to the review process on the effectiveness of the
independent audit and the review of audit and non-audit services,
the Committee has recommended that KPMG CI be reappointed for the
coming financial year.
For any questions on the activities of the Committee not
addressed in the foregoing, a member of the Audit Committee remains
available to attend each Annual General Meeting to respond to such
questions.
John Le
Poidevin
Audit Committee Chair
28 March 2023
Manager’s Report
Brevan Howard Capital Management LP (“BHCM” or the “Manager”) is
the manager of BH Macro Limited (the “Company”) and of Brevan
Howard Master Fund Limited (the “Master Fund”). The
Company invests all of its assets (net of short-term working
capital) in the ordinary shares of the Master Fund.
Performance Review
The NAV per share of the GBP shares of the Company appreciated
by 21.91% during 2022, while the NAV per share of the USD shares
appreciated by 21.17%.
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 |
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 |
Source: Master Fund NAV data is provided by the administrator of
the Master Fund, State Street Fund Services (Ireland) Limited. The Company’s NAV and NAV
per Share data is provided by the Company’s administrator, Northern
Trust International Fund Administration Services (Guernsey) Limited.
The Company’s NAV per Share % Monthly Change is calculated by
BHCM.
The Company’s NAV data is unaudited and net of all investment
management and performance fees and all other fees and expenses
payable by the Company. In addition, the Company’s investment
in the Master Fund is subject to an operational services
fee.
NAV performance is provided for information purposes
only. Shares in the Company do not necessarily trade at
a price equal to the prevailing NAV per Share.
Data as at 30 December 2022.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Quarterly and Annual contribution (%)
to the performance of the Company’s USD Shares (net of fees and
expenses) by asset class*
The information ( below) is given in US$ only, consistent with
monthly shareholder reporting for the underlying US$ denominated
Master Fund.
|
Rates |
FX |
Commodities |
Credit |
Equity |
Digital Assets |
Discount Management |
TOTAL |
Q1
2022 |
7.28 |
1.30 |
0.72 |
0.09 |
-1.05 |
-0.39 |
0.00 |
7.93 |
Q2
2022 |
6.91 |
-0.37 |
-0.22 |
-0.43 |
0.41 |
-0.51 |
0.00 |
5.72 |
Q3
2022 |
1.90 |
3.57 |
-0.02 |
-0.58 |
-0.17 |
0.03 |
0.99 |
5.77 |
Q4
2022 |
3.64 |
-1.76 |
-0.60 |
0.45 |
-1.02 |
-0.27 |
0.00 |
0.39 |
YTD
2022 |
21.13 |
2.69 |
-0.12 |
-0.47 |
-1.83 |
-1.14 |
0.99 |
21.17 |
Data as at 30 December 2022.
Quarterly and YTD figures are calculated by BHCM as at
30 December 2022, based on
performance data for each period provided by the Company’s
administrator, Northern Trust. Figures rounded to two decimal
places.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Methodology and Definition of
Contribution to Performance:
Attribution by asset class is produced at the instrument
level, with adjustments made based on risk estimates.
*The above asset classes are categorised as follows:
“Rates”: interest rates markets
“FX”: FX forwards and options
“Commodities”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds
and CDS
“Equity”: equity markets including indices and
other derivatives
“Digital Assets”: crypto-currencies
“Discount Management”: buyback activity or sales of
shares
Performance and Economic Outlook
Commentary
The economic environment last year proved favourable for our
core macro strategies. Surging inflation, combined with central
banks reversing years of monetary stimulus, triggered high levels
of volatility across a range of markets, creating a rich
opportunity set. Our core theme of higher US rates played out
during the first three quarters of the year. When sentiment shifted
in the fourth quarter toward the possibility of an end to the
rate-hiking cycle in the US and concerns about recession in
Europe, the Master Fund was able
to generate additional gains by positioning for lower rates.
European interest rate trading was much more tactical throughout
the year, also contributing to gains. Not only did the traditional
macro directional strategies perform well, but so too did a range
of other strategies including FX, relative value, inflation, and
emerging markets. Looking to the future, it is worth considering
the recent past. The decade following the Great Financial Crisis
saw the longest economic recovery on record, fuelled by
unprecedented monetary and fiscal stimulus. Macroeconomic and
market volatility was suppressed as policymakers used an
ever-growing set of policy tools designed to curtail potential bad
outcomes. Harvesting risk premium in this quiescent environment was
relatively straightforward for investors. Eventually, though, the
consequence of such hyper-easy monetary and fiscal policy was a
surge in inflation exacerbated by pandemic-related disruptions to
the supply side of the global economy. Against this backdrop,
inflation broke out of 40-year ranges in many developed market (DM)
and emerging market (EM) economies. Huge uncertainties remain as to
whether global central banks will succeed in containing inflation
without triggering severe recessions. Something always breaks
during a rate-hiking cycle and there’s no such thing as a pain-free
recession. At the beginning of this year, it looked like investors
were willing to believe in a soft landing. However, by the end of
the first quarter, bank failures in the US and a near-miss in
Europe reminded markets that
interest-rate sensitive sectors of the economy are in for a rough
time. The near-term prospect of a credit crunch which slows
economic activity has to be evaluated against continued unwelcome
inflationary pressures. Policymakers are experienced, coordinated
and determined. But, it’s unclear whether they have the macro
prudential tools to reassure financial markets while simultaneously
using monetary policy tools to tame inflation. Soft landing may
turn into turbulence or worse. This task is made harder as
economies adapt to new geopolitical realities by accelerating
re-shoring and supply chain independence, while political classes
remain incentivised to push in the opposite direction by keeping
the fiscal reins loose. Global imbalances, both within individual
economies as well as between them, in part due to economic
desynchronisation, are at generational extremes. As a consequence,
the macro landscape looks set to remain extremely interesting.
Brevan Howard wishes to thank shareholders once again for their
continued support.
Brevan Howard Capital Management LP,
acting by its sole general partner,
Brevan Howard Capital Management Limited.
28 March 2023
Independent Auditor’s Report to the
Members of BH Macro Limited
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 2022, 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 2022, 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 (2021: Valuation of Investment in
Brevan Howard Master Fund Limited and Combination with BH Global
Limited):
|
The risk |
Our response |
|
|
|
Valuation of
Investment in Brevan Howard Master Fund Limited (the “Master
Fund”)
$1,628,766,000; (2021: $1,288,417,000)
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
99.29% (2021: 99.28%) of its net assets at 31 December 2022 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:
i) 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;
ii) Reviewed the audit work performed by the
auditor of the Master Fund to gain insight over the work performed
on the significant elements of the Master Fund’s net asset value
and held discussions on key audit findings with the auditor of the
Master Fund; and
iii) 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 £24,600,000, determined with reference to a benchmark
of net assets of $1,640,448,000, of which it represents
approximately 1.5% (2021: 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% (2021: 75%) of
materiality for the financial statements as a whole, which equates
to $18,450,000. 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 $1,230,000, 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;
· 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.
Simon Guilbert
For and on behalf of KPMG Channel
Islands Limited
Chartered Accountants and Recognised
Auditors
Guernsey
28 March 2023
Audited Statement of Assets and Liabilities
As at 31 December 2022
|
|
|
|
|
|
|
|
|
31.12.22 |
|
31.12.21 |
|
|
|
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Assets |
|
|
|
|
|
|
|
|
|
|
|
Investment
in the Master Fund (note 3) |
|
|
|
|
|
|
1,628,766 |
|
1,288,417 |
Master
Fund redemption proceeds receivable |
|
|
|
|
|
70,411 |
|
600 |
Prepaid
expenses |
|
|
|
|
|
|
|
43 |
|
294 |
Cash and
bank balances denominated in Sterling |
|
|
|
|
|
7,271 |
|
15,884 |
Cash and
bank balances denominated in US Dollars |
|
|
|
|
|
639 |
|
546 |
Combination costs receivable |
|
|
|
|
|
|
|
- |
|
1,749 |
Total
assets |
|
|
|
|
|
|
|
1,707,130 |
|
1,307,490 |
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
Performance fees
payable (note 4) |
|
|
|
|
|
|
|
|
62,261 |
|
6,205 |
Management
fees payable (note 4) |
|
|
|
|
|
4,224 |
|
3,252 |
Accrued
expenses and other liabilities |
|
|
|
|
|
117 |
|
254 |
Directors’
fees payable |
|
|
|
|
|
14 |
|
- |
Administration fees payable (note 4) |
|
|
|
|
|
66 |
|
51 |
Total
liabilities |
|
|
|
|
|
|
|
66,682 |
|
9,762 |
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets |
|
|
|
|
|
|
|
1,640,448 |
|
1,297,728 |
|
|
|
|
|
|
|
|
|
|
|
|
Number
of shares in issue (note 5) |
|
|
|
|
|
|
|
|
Sterling
shares |
|
|
|
|
|
|
|
30,156,454 |
|
25,864,663 |
US Dollar
shares |
|
|
|
|
|
|
|
2,858,135 |
|
2,689,547 |
|
|
|
|
|
|
|
|
|
|
|
|
Net
asset value per share (notes 7 and 9) |
|
|
|
|
|
|
|
|
Sterling shares |
|
|
|
|
|
|
|
|
£41.81 |
|
£34.30 |
US Dollar
shares |
|
|
|
|
|
|
|
US$43.28 |
|
US$35.71 |
See accompanying Notes to the Audited Financial
Statements.
Signed on behalf of the Board by:
Richard
Horlick
Chair
John Le
Poidevin
Director
28 March 2023
Audited Statement of Operations
For the year ended 31 December
2022
|
|
|
|
|
|
01.01.22 |
|
01.01.21 |
|
|
|
|
|
|
31.12.22 |
|
31.12.21 |
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Net
investment loss allocated from the Master Fund |
|
|
|
|
|
|
|
Interest income |
|
|
|
|
|
14,309 |
|
4,830 |
Dividend
and other income (net of withholding tax: 31 December 2022:
$127,840; 31 December 2021: US$41,739) |
6,166 |
|
443 |
Expenses |
|
|
|
|
|
(24,561) |
|
(9,738) |
Net
investment loss allocated from the Master Fund |
|
|
|
|
(4,086) |
|
(4,465) |
|
|
|
|
|
|
|
|
|
Company
income |
|
|
|
|
|
|
|
|
Bank interest
income |
|
|
|
|
|
32 |
|
- |
Total Company
income |
|
|
|
|
|
32 |
|
- |
|
|
|
|
|
|
|
|
|
Company
expenses |
|
|
|
|
|
|
|
|
Performance fees (note
4) |
|
|
|
|
|
63,844 |
|
6,286 |
Management fees (note
4) |
|
|
|
|
|
23,776 |
|
10,921 |
Other expenses |
|
|
|
|
|
1,063 |
|
1,465 |
Directors' fees |
|
|
|
|
|
366 |
|
326 |
Administration fees
(note 4) |
|
|
|
|
|
241 |
|
156 |
Foreign exchange
losses (note 3) |
|
|
|
|
|
149,089 |
|
13,044 |
Total Company
expenses |
|
|
|
|
|
238,379 |
|
32,198 |
|
|
|
|
|
|
|
|
|
Net investment
loss |
|
|
|
|
|
(242,433) |
|
(36,663) |
|
|
|
|
|
|
|
|
|
Net
realised and unrealised gain on investments allocated from the
Master Fund |
|
|
|
Net realised gain on
investments |
|
|
|
|
|
118,371 |
|
46,982 |
Net unrealised gain on
investments |
|
|
|
|
|
236,140 |
|
1,691 |
Net realised and
unrealised gain on investments allocated from the Master
Fund |
|
|
|
|
|
354,511 |
|
48,673 |
Net
increase in net assets resulting from operations |
|
|
|
112,078 |
|
12,010 |
See accompanying Notes to the Audited
Financial Statements.
Audited Statement of Changes in Net Assets
For the year ended 31 December
2022
|
|
|
|
|
|
|
|
|
01.01.22 |
|
01.01.21 |
|
|
|
|
|
|
|
|
|
31.12.22 |
|
31.12.21 |
|
|
|
|
|
|
|
|
|
US$'000 |
|
US$'000 |
Net
increase in net assets resulting from operations |
|
|
|
|
|
|
Net
investment loss |
|
|
|
|
|
|
|
(242,433) |
|
(36,663) |
Net
realised gain on investments allocated from the Master Fund |
|
|
|
118,731 |
|
46,982 |
Net
unrealised gain on investments allocated from the Master Fund |
|
|
236,140 |
|
1,691 |
|
|
|
|
|
|
|
|
|
112,078 |
|
12,010 |
|
|
|
|
|
|
|
|
|
|
|
|
Share
capital transactions |
|
|
|
|
|
|
|
|
|
|
Proceeds on issue
of shares from treasury (note 5) |
|
|
|
|
|
|
|
|
|
|
|
Sterling shares |
|
|
|
|
|
|
|
|
- |
|
129,006 |
US Dollar shares |
|
|
|
|
|
|
|
|
- |
|
3,216 |
|
|
|
|
|
|
|
|
|
|
|
|
Issue
of new shares from the Combination with
BH Global Limited (in Voluntary Winding Up) |
|
|
|
|
|
|
|
|
|
|
|
Sterling
shares |
|
|
|
|
|
|
|
- |
|
339,914 |
US Dollar
shares |
|
|
|
|
|
|
|
- |
|
25,733 |
|
|
|
|
|
|
|
|
|
|
|
|
Issue of new
shares |
|
|
|
|
|
|
|
|
|
|
|
Sterling shares |
|
|
|
|
|
|
|
|
218,027 |
|
91,896 |
US Dollar shares |
|
|
|
|
|
|
|
|
12,615 |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
Tender
offer |
|
|
|
|
|
|
|
|
|
|
|
Sterling
shares |
|
|
|
|
|
|
|
- |
|
(60,902) |
US Dollar
shares |
|
|
|
|
|
|
|
- |
|
(4,314) |
Total
share capital transactions |
|
|
|
|
|
|
230,462 |
|
524,549 |
|
|
|
|
|
|
|
|
|
|
|
|
Net
increase in net assets |
|
|
|
|
|
|
|
342,720 |
|
536,559 |
Net
assets at the beginning of the year |
|
|
|
|
|
1,297,728 |
|
761,169 |
Net
assets at the end of the year |
|
|
|
|
|
|
1,640,448 |
|
1,297,728 |
See accompanying Notes to the Audited
Financial Statements.
Audited Statement of Cash Flows
For the year ended 31 December
2022
|
|
|
01.01.22 |
|
01.01.21 |
|
|
|
31.12.22 |
|
31.12.21 |
|
|
|
US$'000 |
|
US$'000 |
Cash flows from
operating activities |
|
|
|
|
|
Net increase in net
assets resulting from operations |
|
|
112,078 |
|
12,010 |
Adjustments to reconcile net increase in net assets
resulting from operations
to net cash provided by operating activities: |
Net
investment loss allocated from the Master Fund |
|
4,086 |
|
4,465 |
Net
realised gain on investments allocated from the Master Fund |
(118,731) |
|
(46,982) |
Net
unrealised gain on investments allocated from the Master Fund |
(236,140) |
|
(1,691) |
Purchase of investment
in the Master Fund1 |
|
|
(221,798) |
|
(145,200) |
Proceeds
from sale of investment in the Master Fund |
|
11,008 |
|
113,482 |
Foreign exchange
losses |
|
|
149,089 |
|
13,044 |
Decrease/(increase) in
prepaid expenses |
|
|
251 |
|
(258) |
Increase)/(decrease) in performance fees payable |
|
56,056 |
|
(34,263) |
Increase in management
fees payable |
|
|
972 |
|
2,830 |
(Decrease)/increase in accrued expenses and other liabilities |
|
(137) |
|
152 |
Increase
in Directors’ fees payable |
|
14 |
|
- |
Decrease/(increase) in
combination fees receivable |
|
|
1,749 |
|
(1,749) |
Increase/(decrease) in administration fees payable |
|
15 |
|
(12) |
Net cash used in
operating activities |
|
|
(241,128) |
|
(84,172) |
|
|
|
|
|
|
Cash flows from
financing activities |
|
|
|
|
|
Purchase of own shares
into treasury |
|
|
- |
|
(65,216) |
Proceeds from share
issue1,2 |
|
|
230,462 |
|
160,179 |
Net cash generated
from financing activities |
|
|
230,462 |
|
94,963 |
|
|
|
|
|
|
Change in
cash |
|
|
(10,486) |
|
10,791 |
Cash, beginning of
the year |
|
|
16,430 |
|
961 |
Effect of exchange
rate fluctuations |
|
|
1,966 |
|
4,678 |
Cash, end of the
year |
|
|
7,910 |
|
16,430 |
|
|
|
|
|
|
Cash, end of the
year |
|
|
|
|
|
Cash and
bank balances denominated in Sterling1 |
|
7,271 |
|
15,884 |
Cash and
bank balances denominated in US Dollars |
|
639 |
|
546 |
|
|
|
7,910 |
|
16,430 |
Supplemental
disclosure of non-cash financing activities |
|
|
|
|
|
1. Supplemental disclosure of non-cash financing
activities: In the year ended
31 December 2021, non-cash amounts of US$429.6 million in relation
to the
Combination with BH Global Limited (in Voluntary Winding Up) have
been
excluded from the Audited Statement of Cash Flows. |
|
|
|
|
|
2. The balance for the year ended 31 December 2021
contains proceeds from
both the Combination with BH Global Limited (in Voluntary Winding
Up)
and subsequent block listings. |
|
|
|
|
|
3 Cash and bank balances in Sterling (GBP'000) |
|
6,045 |
|
11,726 |
See accompanying Notes to the Audited
Financial Statements.
Notes to the Audited Financial Statements
For the year ended 31 December
2022
1. The Company
BH Macro Limited (the “Company”) is a limited liability
closed-ended investment company which was incorporated in
Guernsey on 17 January 2007 and then admitted to the Official
List of the London Stock Exchange (“LSE”) later that year.
Currently, ordinary shares are issued in Sterling and US Dollars.
2. Organisation
The Company is organised as a feeder fund and seeks to achieve
its investment objective by investing all of its investable assets,
net of short-term working capital requirements, in the ordinary
Sterling and US Dollar-denominated
class B shares issued by Brevan Howard Master Fund Limited (the
“Master Fund”) and, as such, the Company is directly and 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 appreciation through active
leveraged trading and investment on a global basis. The Master Fund
employs a combination of investment strategies that focus primarily
on economic change and monetary policy and market inefficiencies.
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. New trading strategies will
be added as investment opportunities present themselves.
At the date of these Audited Financial Statements, there were
four other feeder funds in operation in addition to the Company
that invest all of their assets (net of working capital) in the
Master Fund. Furthermore, other funds managed by the Manager invest
some of their assets in the Master Fund as at the date of these
Audited Financial Statements.
Off-Balance Sheet, market and credit risks of the Master Fund’s
investments and activities are discussed in the notes to the Master
Fund’s Audited Financial Statements for the year ended 31 December 2022. The Company’s investment in the
Master Fund exposes it to various types of risk, which are
associated with the financial instruments and markets in which the
Brevan Howard underlying 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.
The Manager
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 “General
Partner”). The General Partner is regulated in the conduct of fund
services business by the Jersey Financial Services Commission
pursuant to the Financial Services (Jersey) Law, 1998 and the
Orders made thereunder.
The Manager also manages the Master Fund and in that capacity,
as at the date of these Audited Financial Statements, has delegated
the function of investment management of the Master Fund to Brevan
Howard Asset Management LLP, Brevan Howard (Hong Kong) Limited, Brevan Howard Investment
Products Limited, Brevan Howard US Investment Management LP, Brevan
Howard Private Limited, Brevan Howard (Tel Aviv) Limited and BH-DG Systematic Trading
LLP.
On 23 January 2023 the Management
Agreement between the Company and the Manager was amended. See note
11 for further details.
3. Significant accounting policies
These Audited Financial Statements, which give a true and fair
view, are prepared in accordance with United States Generally
Accepted Accounting Principles and comply with the Companies
(Guernsey) Law, 2008. The
functional and reporting currency of the Company is US Dollars.
As further described in the Directors’ Report, these Audited
Financial Statements have been prepared using the going concern
basis of accounting.
The Board continues to monitor the ongoing impact of various
geopolitical events, including the disruption arising from the
aftermath of the COVID-19 pandemic, elevated levels of global
inflation, recessionary risks and the ongoing war in Ukraine. The Board has concluded that the
biggest threat to the Company in relation to these geopolitical
concerns 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 Company is an investment company which has applied the
provisions of Accounting Standards Codification (“ASC”) 946.
The following are the significant accounting policies adopted by
the Company:
Valuation of investments
The Company records its investment in the Master Fund at fair
value. Fair value is determined as the Company’s proportionate
share of the Master Fund’s capital, which approximates fair value.
At 31 December 2022, the Company was
the sole investor in the Master Fund’s ordinary Sterling and US Dollar class B shares as disclosed
in the table below. Within the table below, the Company’s
investment in each share class in the Master Fund is included, with
the overall total investment shown in the Audited Statement of
Assets and Liabilities.
|
Percentage of |
NAV per Share |
Shares held in the Master Fund |
Investment in Master Fund |
Investment in Master Fund |
|
|
Master Fund's capital |
(class B) |
|
(class B) |
CCY '000 |
US$'000 |
31
December 2022 |
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
31
December 2021 |
|
|
|
|
|
|
|
|
|
|
Sterling |
14.73% |
£5,196.52 |
169,474 |
£880,666 |
1,192,908 |
US Dollar |
1.18% |
US$5,179.12 |
18,439 |
US$95,511 |
95,509 |
|
|
|
|
|
|
|
|
|
1,288,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
Income and expenses
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.
Use of estimates
The preparation of Financial Statements in accordance with
United States Generally Accepted Accounting 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
The Manager has discretion, subject to the prior approval of a
majority of the independent Directors, to employ leverage for and
on behalf of the Company by way of borrowings to effect share
purchases or share buy-backs, to satisfy working capital
requirements and to finance further investments in the Master
Fund.
The Company may borrow up to 20% of its NAV, calculated as at
the time of borrowing. Additional borrowing over 20% of NAV may
only occur if approved by an ordinary resolution of the
Shareholders.
Foreign exchange
Transactions reported in the Audited Statement of Operations are
translated into US Dollar amounts at the date of such transactions.
Assets and liabilities denominated in foreign currencies are
translated into US Dollars at the exchange rate at the reporting
date. The share capital and other capital reserves are translated
at the historic ruling at the date of the transaction.
Investment securities and other assets and liabilities of the
Sterling share class are translated
into US Dollars, the Company's reporting currency, using exchange
rates at the reporting date. The Audited Statement of Operations’
items of the Sterling share class are
converted into US Dollars using the average exchange rate. Exchange
differences arising on translation are included in foreign exchange
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.
Cash and bank balances
Cash and bank balances comprise demand deposits.
Allocation of results of the Master
Fund
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.
Treasury shares
Where the Company has purchased its own share capital, the
consideration paid, which includes any directly attributable costs,
has been recognised as a deduction from equity Shareholders’ funds
through the Company’s reserves.
Where such shares have been subsequently sold or reissued to the
market, any consideration received, net of any directly
attributable incremental transaction costs, is recognised as an
increase in equity Shareholders’ funds through the share 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.
Refer to note 8 for details of sales of shares from treasury or
purchases by the Company of its share capital.
4. Management Agreement and administration
agreement
Management fee and performance fee
The Company has entered into the Management Agreement with the
Manager to manage the Company’s investment portfolio. The
Management Fee charged to the Company is reduced by the Company’s
share of management fees incurred by the Master Fund through any
underlying investments of the Master Fund that share the same
manager as the Company. Effective from 1
July 2021, the Management Fee charged was changed to 1/12 of
1.5% per month of the NAV. On 23 January
2023 the Management Agreement between the Company and the
Manager was amended. See note 11 for further details.
Until 30 June 2021, the Management
Fee charged was the lower of (a) 0.5% the prevailing NAV of each
class of shares and (b) 0.5% the NAV of that class of shares as at
1 April 20171. The
investment in the class B shares of the Master Fund was not subject
to management fees, but was subject to an operational services fee
payable to the Manager of 1/12 of 0.5% per month of the NAV.
During the year ended 31 December
2022, US$23,776,341
(31 December 2021: US$10,921,176) was earned by the Manager as net
Management Fees. At 31 December 2022,
US$4,224,444 (31 December 2021:
US$3,251,592) of the Management Fee
remained outstanding.
The Manager is also entitled to an annual performance fee for
both share classes. The performance fee is equal to 20% of the
appreciation in the NAV per share of that class during that
calculation period which is above the base NAV per Share of that
class, other than that arising to the remaining shares of the
relevant class from any repurchase, redemption or cancellation of
any share in the calculation period. The base NAV per share is the
greater of the NAV per Share of the relevant class at the time of
issue of such share and the highest NAV per share achieved as at
the end of any previous 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 days of the publication of the final NAV
of each class of shares as at the end of the calculation period,
any difference between the actual performance fee and the estimated
amount will be paid to or refunded by the Manager, as appropriate.
Any accrued performance fee in respect of shares which are
converted into another share class prior to the date on which the
performance fee would otherwise have become payable in respect of
those shares will crystallise and become payable on the date of
such conversion. The performance fee is accrued on an ongoing basis
and is reflected in the Company’s published NAV. During the year
ended 31 December 2022, US$63,843,904 (31 December
2021: US$6,285,545) was earned
by the Manager as performance fees. At 31
December 2022, US$62,261,207
(31 December 2021: US$6,205,245) 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’s share of any fees paid
to the Manager by the underlying Master Fund investments, managed
by the Manager.
Until 30 June 2021, the Management
Agreement could have been terminated by either party giving the
other party not less than 3 months’ written notice. In certain
circumstances, the Company would have been obliged to pay
compensation to the Manager of the aggregate Management Fees which
would otherwise have been payable during the 3 months following the
date of such notice and the aggregate of any accrued performance
fee in respect of the current calculation period. Compensation
would not have been payable if more than 3 months’ notice of
termination is given.
The notice period for termination of the Management Agreement
without cause by both the Company and the Manager was increased
from 3 months to 12 months, with effect from 1 July 2021. On 23 January
2023 the Management Agreement between the Company and the
Manager was amended. See note 11 for further details.
[1] On the basis that all shares redeemed
pursuant to the Company's 2017 own share tender offer had been
redeemed on that date (subject to certain other adjustments,
including to take account of conversions between share
classes).
Administration fee
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. The Administrator is paid fees based on
the NAV of the Company, payable quarterly in arrears. The fee is at
a rate of 0.015% of the average month-end NAV of the Company,
subject to a minimum fee of £67,500 per annum. In addition to the
NAV-based fee, the Administrator is also entitled to an annual fee
of £6,000 (31 December 2021: £6,000)
for certain additional administration services. The Administrator
is entitled to be reimbursed for out-of-pocket expenses incurred in
the course of carrying out its duties as Administrator. During the
year ended 31 December 2022,
US$240,727 (year ended 31 December 2021: US$155,973) was earned by the Administrator as
administration fees. The amounts outstanding are disclosed on the
Audited Statement of Assets and Liabilities.
5. Share capital
Issued and authorised share
capital
The Company has the power to issue an unlimited number of
ordinary shares with no-par value and an unlimited number of shares
with a par value. Shares may be divided into at least two classes
denominated in Sterling and US Dollars.
Further issues of shares may be made in accordance with the
Articles of Incorporation (the “Articles”). Shares may be issued in
differing currency classes of ordinary redeemable shares including
C shares. The treasury shares arose as a result of the discount
management programme as described in note 8. The tables below show
the movement in ordinary and treasury shares.
On 14 January 2022, the Company
issued 921,862 Sterling shares at a
price of 3,670 pence per share.
On 16 March 2022, the Company
issued 268,379 Sterling shares at a
price of 3,770 pence per share.
At an Extraordinary General Meeting (“EGM”) held on 5 May 2022, Shareholders approved a resolution
allowing the Directors to issue up to 2,707,396 Sterling shares, being 10% of the Sterling shares in issue as at the date of the
EGM.
On 19 May 2022, the Company issued
1,521,441 Sterling shares at a price of
4,270 pence per share.
On 26 May 2022, the Company issued
59,631 Sterling shares at a price of
4,300 pence per share.
On 16 June 2022, the Company
issued 582,182 Sterling shares at a
price of 4,455 pence per share.
On 7 July 2022, the Company issued
187,684 Sterling shares at a price of
4,300 pence per share.
On 11 August 2022, the Company
issued 356,458 Sterling shares and
185,000 US Dollar Shares at a price
of 4,375 pence per share and
US$44.20 per share respectively.
On 2 September 2022, the Company
issued 94,360 US Dollar shares at a
price of US$47.30 per share.
At an AGM held on 9 September
2022, Shareholders approved a Resolution allowing the
Directors to issue up to 9,818,410 Sterling shares and 873,549
US Dollar shares.
On 13 October 2022, the Company
issued 303,513 Sterling shares at a
price of 4,600 pence per share.
For the year ended 31 December 2022
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
Number
of ordinary shares |
|
|
|
|
|
|
|
|
In issue at 1
January 2022 |
|
|
|
|
|
|
25,864,663 |
|
2,689,547 |
Share
conversions |
|
|
|
|
|
90,641 |
|
(110,772) |
Issue of new
shares |
|
|
|
|
|
|
4,201,150 |
|
279,360 |
In
issue at 31 December 2022 |
|
|
|
|
|
30,156,454 |
|
2,858,135 |
|
|
|
|
|
|
|
|
|
|
Number
of treasury shares |
|
|
|
|
|
|
|
|
In
issue at 1 January 2022 and at 31 December 2022 |
|
|
|
- |
|
- |
For the year ended 31 December 2021
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
Number
of ordinary shares |
|
|
|
|
|
|
|
|
In
issue at 1 January 2021 |
|
|
|
|
|
15,009,868 |
|
2,191,379 |
Share
conversions |
|
|
|
|
|
153,458 |
|
(202,031) |
Issue of
new shares |
|
|
|
|
|
9,689,134 |
|
449,971 |
Sale of
shares from treasury |
|
|
|
|
|
2,346,302 |
|
375,391 |
Tender
offer shares transferred to treasury |
|
|
|
|
(1,334,099) |
|
(125,163) |
In
issue at 31 December 2021 |
|
|
|
|
|
25,864,663 |
|
2,689,547 |
|
|
|
|
|
|
|
|
|
|
Number of treasury
shares |
|
|
|
|
|
|
|
|
|
In
issue at 1 January 2021 |
|
|
|
|
|
1,012,203 |
|
250,228 |
Tender
offer shares transferred to treasury |
|
|
|
|
1,334,099 |
|
125,163 |
Sale of
shares from treasury |
|
|
|
|
|
(2,346,302) |
|
(375,391) |
In
issue at 31 December 2021 |
|
|
|
|
|
- |
|
- |
Share classes
In respect of each class of shares, a separate class account has
been established in the books of the Company. An amount equal to
the aggregate proceeds of issue of each share class has been
credited to the relevant class account. Any increase 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.
Voting rights of shares
Ordinary shares carry the right to vote at general meetings of
the Company and to receive any dividends attributable to the
ordinary shares as a class declared by the Company and, in a
winding-up will be entitled to receive, by way of capital, any
surplus assets of the Company attributable to the ordinary shares
as a class in proportion to their holdings remaining after
settlement of any outstanding liabilities of the Company.
As prescribed in the Company’s Articles, the different classes
of ordinary shares have different values attributable to their
votes. The attributed values have been calculated on the basis of
the Weighted Voting Calculation (as described in the Articles)
which takes into account the prevailing exchange rates on the date
of initial issue of ordinary shares. On a vote, a single US Dollar
ordinary share has 0.7606 votes and a single Sterling ordinary share has 1.4710 votes.
Repurchase of ordinary shares
Under the Company’s Articles, Shareholders of a class of shares
have the ability to call for repurchase of that class of shares in
certain circumstances. See note 8 for further details.
Further issue of shares
As approved by the Shareholders at the Annual General Meeting
held on 24 September 2021, the
Directors had the power to issue further shares for cash totalling
7,965,377 Sterling shares and
931,107 US Dollar shares,
respectively; with authority to dis-apply pre-emption rights in
respect of 279,360 shares designated as US Dollar shares and
2,389,852 shares designated as Sterling
share. These authorities expired at the conclusion of the
9 September 2022 Annual General
Meeting. An additional authority to dis-apply pre-emption rights in
respect of Sterling shares only was
adopted at the 5 May 2022
Extraordinary General Meeting ("EGM"), as noted below.
As approved by the Shareholders at an EGM held on 5 May 2022, the Directors had the power to issue
further shares for cash on a non-pre-emptive basis totalling
2,707,396 Sterling shares. This power
expired on the conclusion of the 9 September
2022 Annual General Meeting of the Company.
As approved by the Shareholders at the Annual General Meeting
held on 9 September 2022, the
Directors have the power to issue further shares for cash on a
non-pre-emptive basis totalling 9,818,410 Sterling shares and 873,549
US Dollar shares, respectively. This power was 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 was earlier, unless such power was varied, revoked or
renewed prior to that Meeting by a resolution of the Company in
general meeting.
On 23 January 2023, the Board
announced the commencement of its Initial Issue, comprising of the
Placing, Intermediaries Offer and Offer for Subscription of new
ordinary shares of no par value in the capital of the Company,
together with an issuance programme for subsequent issues, which
remains open until 23 January 2024.
See note 11 for further details.
Distributions
The Master Fund has not previously paid dividends to its
investors. This does not prevent the Directors of the Company from
declaring a dividend at any time in the future if the Directors
consider payment of a dividend to be appropriate in the
circumstances. If the Directors declare a dividend, such dividend
will be paid on a per class basis.
As announced on 15 January 2014,
the Company intends to be operated in such a manner to ensure that
its shares are not categorised as non-mainstream pooled
investments. This may mean that the Company may pay dividends in
respect of any income that it receives or is deemed to receive for
UK tax purposes so that it would qualify as an investment trust if
it were UK tax-resident.
Further, the Company will first apply any such income in payment
of its Management Fee and performance fees.
Treasury shares are not entitled to distributions.
Share conversion scheme
The Company has implemented a share conversion scheme. The
scheme provides Shareholders with the ability to convert some or
all of their ordinary shares in the Company of one class into
ordinary shares of the other class. Shareholders are able to
convert ordinary shares on the last business day of every month.
Each conversion will be based on the NAV (note 7) of the shares of
the class to be converted.
6. Taxation
Overview
The Company is exempt from taxation in Guernsey under the provisions of the Income
Tax (Exempt Bodies) (Guernsey)
Ordinance 1989.
Uncertain tax positions
The Company recognises the tax benefits of uncertain tax
positions only where the position is more-likely-than- not (i.e.
greater than 50%), to be sustained assuming examination by a tax
authority based on the technical merits of the position. In
evaluating whether a tax position has met the recognition
threshold, the Company must presume that the position will be
examined by the appropriate taxing authority that has full
knowledge of all relevant information. A tax position that meets
the more-likely-than-not recognition threshold is measured to
determine the amount of benefit to recognise in the Company’s
Audited Financial Statements. Income tax and related interest and
penalties would be recognised by the Company as tax expenses in the
Audited Statement of Operations if the tax positions were deemed
not to meet the more-likely-than-not threshold.
The Company analyses all open tax years for all major taxing
jurisdictions. Open tax years are those that are open for
examination by taxing authorities, as defined by the statute of
limitations in each jurisdiction. The Company identifies 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 benefits should be
recorded related to uncertain tax positions. Further, the Directors
are not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognised tax benefits will
significantly change in the remainder of the year.
7. Publication and calculation of the Company’s Net
Asset Value (“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 class will be
calculated by dividing the NAV of the relevant class account by the
number of shares of the relevant class in issue on that day.
The Company publishes the NAV per share for each class of shares
as calculated by the Administrator based in part on information
provided by the Master Fund, monthly in arrears, as at each
month-end.
The Company also publishes an estimate of the NAV per share for
each class of shares as calculated by the Administrator based in
part on information provided by the Master Fund, weekly in
arrears.
8. Discount management 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.
Market purchases
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
condition of the April 2017 Tender
Offer, this was suspended until 1 April
2017 and for much of the period since that date, the
Company’s shares have traded at a premium or minimal discount to
NAV. However, if the Company’s shares were again to trade at wide
or volatile discounts to NAV in the future, it is the Board’s
intention to keep any resumption of market purchases of shares
under review.
On 23 January 2023, the Board
announced the commencement of its Initial Issue, comprising of the
Placing, Intermediaries Offer and Offer for Subscription of new
ordinary shares of no par value in the capital of the Company,
together with an issuance programme for subsequent issues, which
remains open until 23 January 2024.
See note 11 for further details.
Annual offer of partial return of
capital
Under the Company’s Articles, once in every calendar year, the
Directors have discretion to determine that the Company make an
offer of a partial return of capital in respect of such number of
shares of the Company in issue as they determine, provided that the
maximum amount distributed does not exceed 100% of the increase in
NAV of the Company in the prior calendar year.
The Directors have discretion to determine the particular class
or classes of shares in respect of which a partial return of
capital would be made, the timetable for that partial return of
capital and the price at which the shares of each relevant class
are to be returned.
The Company is entitled to redeem upon three months’ notice, no
more than once per year, a portion of its interest in the Master
Fund representing up to 10 per cent of each class of the Company’s
holding of Master Fund shares as at the date of the relevant
redemption request in connection with any such offer of a partial
capital return of capital which is approved by the Directors.
The decision to make a partial return of capital in any
particular year and the amount of the return depend, among other
things, on prevailing market conditions, the ability of the Company
to liquidate its investments to fund the capital return, the
success of prior capital returns and applicable legal, regulatory
and tax considerations.
Class closure resolutions
If any class of shares trades at an average discount at or in
excess of 8% of the monthly NAV in any year from 1 January to 31
December, the Company will hold a class closure vote of the
relevant class.
The average premiums to NAV for the Sterling shares and US Dollar Shares for the year
ended 31 December 2022 were 10.61%
and 11.08% respectively and consequently, no closure vote will be
held in 2023.
The arrangements are described more fully in the Company’s
principal documents which were approved at the EGM on 24 February 2017.
9. Financial highlights
The following tables include selected data for a single ordinary
share of each of the ordinary share classes in issue at
31 December 2022 and other
performance information derived from the Audited Financial
Statements.
The per share amounts and ratios which are shown reflect the
income and expenses of the Company for each class of ordinary
share.
|
|
|
|
|
|
|
31.12.22 |
|
31.12.22 |
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
|
|
|
|
|
|
|
£ |
|
US$ |
Per
share operating performance |
|
|
|
|
|
|
|
|
Net
asset value at beginning of the year |
|
|
|
|
|
34.30 |
|
35.71 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
|
Net
investment loss* |
|
|
|
|
|
(2.44) |
|
(2.50) |
Net
realised and unrealised gain on investment |
|
|
|
8.87 |
|
9.22 |
Other
capital items** |
|
|
|
|
|
1.08 |
|
0.85 |
Total
gain |
|
|
|
|
|
7.51 |
|
7.57 |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
41.81 |
|
43.28 |
|
|
|
|
|
|
|
|
|
|
Total gain
before performance fees |
|
|
|
|
|
26.78% |
|
25.93% |
Performance fees |
|
|
|
|
|
(4.87%) |
|
(4.76%) |
Total
gain after performance fees |
|
|
|
|
|
21.91% |
|
21.17% |
Total gain reflects the net return for an investment made at the
beginning of the year and is calculated as the change in the NAV
per ordinary share during the year from 1
January 2022 to 31 December
2022. An individual Shareholder’s return may vary from these
returns based on the timing of their purchase or sale of
shares.
|
|
|
|
|
|
|
31.12.22 |
|
31.12.22 |
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
|
|
|
|
|
|
|
£'000 |
|
US$'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
1,260,923 |
|
123,686 |
Average
net asset value for the year |
|
|
|
|
|
1,132,773 |
|
110,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.22 |
|
31.12.22 |
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
|
|
1.68% |
|
1.74% |
|
Master Fund
expenses**** |
|
|
|
|
|
0.41% |
|
0.41% |
|
Master
Fund interest expenses***** |
|
|
|
1.22% |
|
1.18% |
Performance fees |
|
|
|
|
|
4.23% |
|
4.20% |
|
|
|
|
|
|
|
7.54% |
|
7.53% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fees* |
|
|
|
(1.95%) |
|
(1.98%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
|
|
|
(6.18%) |
|
(6.18%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.21 |
|
31.12.21 |
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
|
|
|
|
|
|
|
£ |
|
US$ |
Per
share operating performance |
|
|
|
|
|
|
|
|
Net
asset value at beginning of the year |
|
|
|
|
|
33.38 |
|
34.78 |
|
|
|
|
|
|
|
|
|
|
Income
from investment operations |
|
|
|
|
|
|
|
|
Net
investment loss* |
|
|
|
|
|
(0.86) |
|
(0.82) |
Net
realised and unrealised gain on investment |
|
|
|
1.40 |
|
1.66 |
Other
capital items** |
|
|
|
|
|
0.38 |
|
0.09 |
Total
gain |
|
|
|
|
|
0.92 |
|
0.93 |
|
|
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
34.30 |
|
35.71 |
|
|
|
|
|
|
|
|
|
|
Total gain
before performance fees |
|
|
|
|
|
3.45% |
|
3.39% |
Performance fees |
|
|
|
|
|
(0.69%) |
|
(0.72%) |
Total
gain after performance fees |
|
|
|
|
|
2.76% |
|
2.67% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total gain reflects the net return for an investment made at the
beginning of the year and is calculated as the change in the NAV
per ordinary share during the year from 1
January 2021 to 31 December
2021. An individual Shareholder’s return may vary from these
returns based on the timing of their purchase or sale of
shares.
|
|
|
|
|
|
|
31.12.21 |
|
31.12.21 |
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
|
|
|
|
|
|
|
£'000 |
|
US$'000 |
Supplemental data |
|
|
|
|
|
|
|
|
Net
asset value, end of the year |
|
|
|
|
|
887,143 |
|
96,050 |
Average
net asset value for the year |
|
|
|
|
|
651,999 |
|
83,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.12.21 |
|
31.12.21 |
|
|
|
|
|
|
|
Sterling shares |
|
US
Dollar shares |
Ratio
to average net assets |
|
|
|
|
|
|
|
|
Operating
expenses |
|
|
|
|
|
|
|
|
|
Company
expenses*** |
|
|
|
|
|
1.33% |
|
1.12% |
|
Master Fund
expenses**** |
|
|
|
|
|
0.68% |
|
0.68% |
|
Master
Fund interest expenses***** |
|
|
|
0.32% |
|
0.33% |
Performance fees |
|
|
|
|
|
0.64% |
|
0.70% |
|
|
|
|
|
|
|
2.97% |
|
2.83% |
|
|
|
|
|
|
|
|
|
|
Net
investment loss before performance fees* |
|
|
|
(1.79%) |
|
(1.58%) |
|
|
|
|
|
|
|
|
|
|
Net
investment loss after performance fees* |
|
|
|
(2.43%) |
|
(2.28%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes
*
The net investment loss figures disclosed above, does not include
net realised and unrealised gains/losses on investments allocated
from the Master Fund.
** Included in other
capital items are the discounts and premiums on conversions between
share classes and on the sale of treasury shares as well as any
partial capital return effected in the relevant year as compared to
the NAV per share at the beginning of the year.
*** Company expenses are as
disclosed in the Audited Statement of Operations excluding the
performance fee and foreign exchange losses/gains.
**** Master Fund expenses are the operating
expenses of the Master Fund excluding the interest and dividend
expenses of the Master Fund.
***** Master Fund interest expenses include interest and
dividend expenses on investments sold short.
10. Related-party transactions
Parties are considered to be related if one party has the
ability to control the other party or exercise significant
influence over the party in making financial or operational
decisions.
The Management Fees, performance fees and administration fees
are disclosed in note 4.
Until 30 June 2022, The Company’s
Articles limited the fees payable to Directors in aggregate to
£400,000 per annum. The annual Directors’ fees were: £70,000 for
Richard Horlick, the Chair; £55,000
for John Le Poidevin, the Chair of
the Audit Committee; £50,000 for Claire
Whittet, as Chair of the Management Engagement Committee and
the Senior Independent Director and £45,000 for all other
Directors.
A Remuneration and Nomination Committee was established on
17 June 2022, with Bronwyn Curtis appointed as Chair of that
committee. Julia Chapman
became Chair of the Management Engagement Committee on 1 July 2022.
The annual Directors’ fees from 1 July
2022 have been:
|
|
|
Fee
per annum |
Role |
|
|
£ |
Board Chair |
|
|
90,000 |
Audit Committee
Chair |
|
|
65,000 |
Management Engagement
Committee Chair |
|
|
55,000 |
Remuneration and
Nomination Committee Chair |
|
|
55,000 |
Senior Independent
Auditor |
|
|
55,000 |
All other
Directors |
|
|
50,000 |
At the Annual General Meeting, held on 9
September 2022, Shareholders approved an increase in the
annual aggregate limit of fees payable to Directors from £400,000
per annum to £800,000 per annum.
11. Subsequent events
On 23 January 2023, the Board
announced the commencement of its Initial Issue, comprising of the
Placing, Intermediaries Offer and Offer for Subscription of new
ordinary shares of no par value in the capital of the Company,
together with an issuance programme for subsequent issues, which
remains open until 23 January 2024,
which could be denominated as Sterling
shares or US Dollar shares, at a price per share of the relevant
class equal to the latest estimated net asset value per share of
the relevant class as at the closing date of the Initial Issue, of
the latest estimated NAV per share, plus a premium of two per
cent.
The Company also announced the issue of a new prospectus and a
circular to Shareholders (the "Circular"), in connection with the
Issuance Programme.
In order to reflect the increased investment of the Company in
the Master Fund, the Company and the Manager agreed to a number of
amendments to the Management Agreement and the terms on which the
Company's investment in the Master Fund could be redeemed in order
to provide the Manager with more operational certainty regarding
the Company's investment in the Master Fund. These changes, which
did not require Shareholder approval, were as follows:
· The Company will ordinarily be required to
provide 12 months' notice of the redemption of all or some of its
investment 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-market share buy backs. Any redemption of all or part of 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 required to be on 12 months' notice. In those cases, the
Company would only receive the proceeds of redemption from the
Master Fund (and, therefore, Shareholders would only receive
payment from the Company) after the redemption date at the end of
the 12 month notice period and the Company (and, therefore,
Shareholders) would remain exposed to the investment performance of
the Master Fund in the intervening period to that redemption
date.
· The circumstances in which the Company can
terminate the Management Agreement and redeem its investment in the
Master Fund on less than 12 months' notice will be limited to
certain "cause" events affecting the Manager, in which case the
Company would be entitled to terminate the Management Agreement and
redeem its investment in the Master Fund on three months'
notice.
· In addition, the annual buy back allowance
arrangements introduced in 2021 will continue to apply in respect
of repurchases and redemptions of shares of each class in excess of
five per cent. of the relevant class in any calendar year, as
described further in the Circular.
The Directors believe that these changes are in the interests in
the Company, given that they will help facilitate the Initial Issue
and the Issuance Programme, and that the Initial Issue and the
Issuance Programme should benefit the Company through a significant
increase in its market capitalisation and potential increase in the
liquidity of the Shares.
At an EGM held on 6 February 2023,
resolutions were passed to approve the grant of authority to issue
new shares and dis-apply pre-emption rights in respect of shares
issued pursuant to the Initial Issue and the Issuance Programme and
to sub-divide the Company’s shares, so that each existing share
would be replaced by ten shares of the same currency class, in
order to assist in liquidity of the shares (the “Share
Sub-Division”), together with the terms of the Company'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. This 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$4.47 per US Dollar share, raising gross
proceeds of approximately £315m (based on a US Dollar/Sterling FX
spot rate of 1.2113 being the prevailing rate as at 3.00 p.m. on 10 February
2023).
The Directors have evaluated subsequent events up to
28 March 2023, which is the date that
the Audited Financial Statements were approved and available to be
issued and have concluded there are no further items that require
disclosure or adjustment to the Audited Financial Statements.
Historic Performance Summary
As at 31 December 2022
|
|
|
|
|
31.12.22 |
|
31.12.21 |
|
31.12.20 |
|
31.12.19 |
|
31.12.18 |
|
|
|
|
|
US$'000 |
|
US$'000 |
|
US$'000 |
|
US$'000 |
|
US$'000 |
Net
increase in net assets |
|
|
|
|
|
|
|
|
|
|
resulting from operations |
|
112,078 |
|
12,010 |
|
181,533 |
|
59,462 |
|
34,985 |
Total
assets |
|
|
|
1,707,130 |
|
1,307,490 |
|
802,224 |
|
570,779 |
|
506,307 |
Total
liabilities |
|
|
|
(66,682) |
|
(9,762) |
|
(41,055) |
|
(11,014) |
|
(6,004) |
Net assets |
|
|
|
|
1,640,448 |
|
1,297,728 |
|
761,169 |
|
559,765 |
|
500,303 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number
of shares in issue |
|
|
|
|
|
|
|
|
|
|
Sterling shares |
|
|
|
|
30,156,454 |
|
25,864,663 |
|
15,009,868 |
|
14,310,040 |
|
14,136,242 |
US Dollar
shares |
|
2,858,135 |
|
2,689,547 |
|
2,191,379 |
|
2,442,057 |
|
2,664,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
asset value per share |
|
|
|
|
|
|
|
|
|
|
Sterling shares |
|
|
|
|
£41.81 |
|
£34.30 |
|
£33.38 |
|
£26.06 |
|
£24.13 |
US Dollar
shares |
|
|
|
US$43.28 |
|
US$35.71 |
|
US$34.78 |
|
US$26.99 |
|
US$24.67 |
Affirmation of the Commodity Pool
Operator
As at 31 December 2022
To the best of my knowledge and belief, the information detailed
in this Annual Report and these Audited Financial Statements is
accurate and complete.
Name: Jonathan
Hughes
Title: Chief Financial Officer and Authorised
Signatory
Brevan Howard Capital Management Limited as general partner of
Brevan Howard Capital Management LP, the manager and commodity pool
operator of BH Macro Limited
28 March 2023
Glossary of Terms and
Alternative Performance Measures
Alternative Performance Measures
(“APMS”)
We assess our performance using a variety of measures that are
not specifically defined under US GAAP and therefore termed APMs.
The APMs that we use may not be directly comparable with those used
by other companies.
Average Premium to NAV
The average premium to NAV of the whole year is calculated for
each share class by using the following formula:
Where:
· ‘A’ is the average closing
market price of a share of the relevant share class as derived from
the trading price on the London Stock Exchange, calculated as the
sum of all the closing market prices per share of that class as at
each London 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 Calculation Dates in the year ended 31 December 2022 calculated as the sum of the
final NAV of the share class as at each month-end NAV Calculation
Date during the period ended 31 December
2022, divided by 12.
Premium
If the share price of an investment is lower than the NAV per
share, the shares are said to be trading at a discount. The size of
the discount is calculated by subtracting the share price from the
NAV per share of the relevant share class and is usually expressed
as a percentage of the NAV per share. If the share price is higher
than the NAV per share, the shares are said to be trading at a
premium. The Board monitors the level of discount or premium and
consideration is given to ways in which share price performance may
be enhanced, including the effectiveness of marketing and share
buy-backs, where appropriate. The premium is shown below.
|
|
|
|
|
Sterling Shares |
US Dollar Shares |
|
|
|
|
|
31.12.22 |
31.12.21 |
31.12.22 |
31.12.21 |
Share
Price at Year End (A) |
|
|
£44.90 |
£37.40 |
$45.20 |
$40.10 |
NAV per
Share (B) |
|
|
|
£41.81 |
£34.30 |
$43.28 |
$35.71 |
Premium to
NAV (A-B)/B |
|
|
|
7.39% |
9.04% |
4.44% |
12.29% |
Ongoing Charges
The Ongoing Charges are calculated using the AIC Ongoing Charges
methodology, which was last updated in April
2022 and is available on the AIC website (theaic.co.uk). 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 and are expressed as a percentage of the average
of the daily net assets during the 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:
|
|
|
|
|
Sterling Shares |
US Dollar Shares |
|
|
|
|
|
Year
ended |
Year
ended |
Year
ended |
Year
ended |
|
|
|
|
|
31.12.22 |
31.12.21 |
31.12.22 |
31.12.21 |
Average
NAV for the year (A) |
|
|
£1,132,773,154 |
£651,999,493 |
US$110,421,043 |
US$83,119,938 |
|
|
|
|
|
|
|
|
|
Investment
management fee |
|
|
£17,787,437 |
£7,337,629 |
US$1,792,074 |
US$840,210 |
Other
Company expenses |
|
|
|
£1,248,572 |
£1,353,514 |
US$127,701 |
US$86,917 |
Total
Company Expenses |
|
|
|
£19,036,009 |
£8,691,143 |
US$1,919,775 |
US$927,127 |
|
|
|
|
|
|
|
|
|
Expenses
allocated from the Master Fund |
|
£2,325,281 |
£2,938,057 |
US$238,666 |
US$374,525 |
|
|
|
|
|
|
|
|
|
Performance Fee |
|
|
|
£47,900,303 |
£4,155,847 |
US$4,691,933 |
US$575,942 |
|
|
|
|
|
|
|
|
|
Total
Expenses (B) |
|
|
|
£69,261,593 |
£15,785,047 |
US$6,800,374 |
US$1,877,594 |
|
|
|
|
|
|
|
|
|
Ongoing
Charges (B/A) |
|
|
|
6.11% |
2.43% |
6.16% |
2.25% |
The NAV
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.
Return per Share
Return per share is calculated using the net return on ordinary
activities after finance costs and taxation (a gain of £195,693,403
and a gain of US$19,301,255) divided
by the weighted average number of shares in issue for the year
ended 31 December 2022 (28,620,989
Sterling shares and 2,722,649 US Dollar shares). The Directors also
regard returns per share to be a key indicator of performance. The
return per share is shown in the Strategic Report.
Company Information
Directors
Richard Horlick (Chair)
Caroline Chan (appointed
6 December 2022)
Julia Chapman
Bronwyn Curtis
John Le Poidevin
Claire Whittet
(All Directors are non-executive and independent for the
purpose of Listing Rule 15.2.12-A)
Registered Office
PO Box 255
Trafalgar Court
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 3QL
Manager
Brevan Howard Capital Management LP
6th Floor
37 Esplanade
St Helier
Jersey
Channel Islands JE2 3QA
Administrator and Corporate Secretary
Northern Trust International Fund Administration Services
(Guernsey) Limited
PO Box 255
Trafalgar Court Les Banques
St Peter Port
Guernsey
Channel Islands GY1 3QL
Independent Auditor
KPMG Channel Islands Limited
Glategny Court
Glategny Esplanade
St Peter Port
Guernsey
Channel Islands GY1 1WR
Registrar and CREST Service Provider
Computershare Investor Services (Guernsey) Limited
1st Floor
Tudor House
Le Bordage
St Peter Port
Guernsey GY1 1DB
Legal Advisor (Guernsey Law)
Carey Olsen
Carey House
Les Banques
St Peter Port
Guernsey
Channel Islands GY1 4BZ
Legal Advisor (UK Law)
Hogan Lovells
International LLP
Atlantic House
Holborn Viaduct
London EC1A 2FG
Corporate Broker
JPMorgan Cazenove
25 Bank Street
Canary Wharf
London E14 5JP
Tax Adviser
Deloitte LLP
PO Box 137
Regency Court
Glategny Esplanade
St Peter Port
Guernsey
Channel Islands GY1 3HW
For the latest information
www.bhmacro.com