BH Macro : Net Asset Value(s) and Tender Price Announcement

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, DIRECTLY OR INDIRECTLY, IN OR
INTO, THE UNITED STATES, AUSTRALIA, CANADA OR JAPAN

                       BH Macro Limited (the "Company")

   (an authorised closed-ended collective investment scheme established as a
  company with limited liability under the laws of Guernsey with registration
                                 number 46235)

                                 23 June 2016

   31 May 2016 month-end net asset values and Tender Offer redemption prices

As at the close of business on 31May 2016 the month end final net asset values
of each class of the Company's shares are as follows:

Fund Name      Sedol          NAV            MTD            YTD            NAV Date
                                             Performance    Performance

BH Macro Ltd   B1NPGV1        $20.04         -0.28%         -1.44%         31 May 2016

BH Macro Ltd   B1NP514        2087p          -0.30%         -1.62%         31 May 2016

BH Macro Ltd   B1NPGZ5        €20.21         -0.38%         -1.68%         31 May 2016

Accordingly, the final repurchase prices per share for the shares to be
acquired by the Company pursuant to the tender offer to shareholders (the
"Tender Offer") for up to 25 per cent. of the issued shares of each class of
the Company launched on 27 April 2016 will be as follows:

                  5% increment      6% increment      7% increment      Base (8%)
                  acceptances       acceptances       acceptances       increment
                                                                        acceptances

Sterling shares   1982.79p          1961.92p          1941.05p          1920.18p

Euro shares       €19.2041          €19.0019          €18.7998          €18.5976

US dollar shares  N/A               $18.8348$18.6344$18.4340

The shares to be acquired by the Company pursuant to the Tender Offer will be
repurchased with effect from 27 June 2016 and the Tender Offer consideration
despatched thereafter.

The net asset value figures in this announcement have been calculated by
Northern Trust International Fund Administration Services (Guernsey) Limited
and are based on unaudited valuations.  The month-end net asset values do not
take any account of the effect of Tender Offer or the costs associated with the
Tender Offer.

This document is for information purposes only and is not an offer to invest.
All investments are subject to risk.  Past performance is no guarantee of
future returns and the value of investments may fluctuate.  Prospective
investors are advised to seek expert legal, financial, tax and other
professional advice before making any investment decisions. Results achieved in
the past are no guarantee of future results.

The MTD performance figures are calculated  by reference to the previous
estimated month end  NAV or, if published, the previous  month end  confirmed
NAV.  The YTD performance figures are calculated by reference to the NAV at the
end of the last calendar year.  MTD and YTD performance figures are based on
the NAV per share calculated to four decimal places.

Enquiries

Brevan Howard:

Dan Riggs
020 7022 6236

J.P. Morgan Cazenove:

William Simmonds
020 7742 4000

Northern Trust:

Sharon Williams
01481 745436

Important notices

J.P. Morgan Securities plc, which conducts its UK investment banking activities
as J.P. Morgan Cazenove ("J.P. Morgan Cazenove"), which is authorised by the
Prudential Regulation Authority and regulated by the Prudential Regulation
Authority and the Financial Conduct Authority in the United Kingdom, is acting
exclusively for the Company and no-one else in connection with the Tender Offer
and will not be responsible to anyone other than the Company for providing the
protections afforded to customers of J.P. Morgan Cazenove or for providing
advice in relation to the Tender Offer or any matter referred to herein.

This announcement does not constitute an offer or solicitation to acquire or
sell any securities in the Company. Any acceptance or other response to the
Tender Offer should be made on the basis of the information contained in the
Circular. The Tender Offer will not be extended into any jurisdiction where to
do so may be unlawful or which may otherwise subject the Company or any other
person to any unduly onerous obligation.

This announcement is not for distribution in or into the United States, Canada,
Australia or Japan or any other jurisdiction in which its distribution may be
unlawful. This announcement is not an offer of securities for sale in the
United States or elsewhere. The securities of the Company have not been and
will not be registered under the United States Securities Act of 1933, as
amended (the "Securities Act"), and may not be offered or sold in the United
States unless registered under the Securities Act or pursuant to an exemption
from such registration. The Company has not been and will not be registered
under the US Investment Company Act of 1940, as amended, and investors are not
entitled to the benefits of that Act. There has not been and there will be no
public offering of the Company's securities in the United States.

This announcement includes statements that are, or may be deemed to be,
''forward-looking statements''. These forward-looking statements can be
identified by the use of forward-looking terminology, including the terms
''believes'', ''estimates'', ''anticipates'', ''expects'', ''intends'',
''may'', ''will'' or ''should'' or, in each case their negative or other
variations or comparable terminology. These forward-looking statements include
matters that are not historical facts. They appear in a number of places
throughout this announcement and include statements regarding the intentions,
beliefs or current expectations of the Company. By their nature,
forward-looking statements involve risks and uncertainties because they relate
to events and depend on circumstances that may or may not occur in the future.
Forward-looking statements are not guarantees of future performance. The
investment performance, financial condition and prospects of the Company may
change. Except as required by law or applicable regulation, the Company does
not undertake any obligation to update any forward-looking statements, even
though the situation of the Company may change in the future. All of the
information presented in this announcement, and particularly the
forward-looking statements, is qualified by these cautionary statements.

ENDS