Title: URL Source: https://doc.morningstar.com/document/597e6934600f294c5d207af4e2572b3b.msdoc/?clientid=ajbell&key=805803a4ca9fc338 Markdown Content: KEY INFORMATION DOCUMENT IMPORTANT NOTICE: Brevan Howard Capital Management LP has followed the methodology prescribed by the Packaged Retail and Insurance -based Investment Products (Amendment) (EU Exit) Regulations 2019 (‘the Regulation’) and related rules of the FCA for the preparation of this document. The requirements of, and methodologies prescribed by, the Regulation are not specifically tailo red to companies with publicly traded securities such as B H Macro Limited. Investors are cautioned against relying on this Key Info rmation Document to estimate future returns for BH Macro Limited or as a useful comparison against other investment products. PURPOSE This document provides you with key information about this investment product. It is not marketing material. The informat ion is required by law to help you understand the nature, risks, costs, potential gains and losses of this product and to help you compare it with other products. BH MACRO LIMITED – US DOLLAR SHARES ISIN: GG00BQBFY479 W: http://www.bhmacro.com T: +44 (0)1481 745 436 PRIIP manufacturer (for the purposes of this document only): Brevan Howard Capital Management LP This key information document was produced on 25 April 202 4 (data as at 29 December 2023 ) WHAT IS THIS PRODUCT ? Type US Dollar shares of BH Macro Limited, a closed -ended investment company incorporated in Guernsey (the “Company”). The US Dollar shares are traded on the Main Market of the London Stock Exchange. The Company also has Sterling shares in issue. The Company has an unlimited life and there is no maturity date for the US Dollar shares. There is no recommended holding period for the US Dollar shares (although a holding period of 5 years has been used f or the purposes of the calculations in this document) . Investors should expect that the primary means of disposing of US Dollar shares will be by sales on the secondary market. The price at which an investor may dispose of US Dollar shares will depend on the prevailing secondary market price, which may, or may not, reflect the prevailing net asset value per US Dollar share. Typically, at any given time on any given day, the price at which an ordinary share can be bought will be higher than the price at w hich an ordinary share can be sold. Investment p olicy The Company is a feeder fund that invests all of its assets (net of short -term working capital requirements) directly in Brevan Howard Master Fund Limited (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 “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 monet ary policy and market inefficiencies. Intended retail investor The Company is not specifically intended for retail investors. An investment in the Company is suitable only for investors that are capable of evaluating the merits and risks of such an investment, who understand the potential risk of capital loss and tha t there may be limited liquidity in the US Dollar shares, for whom an investment in the US Dollar shares constitutes part of a diversified investment portfolio, who fully understand and are willing to assume the risks involved in investing in the Company a nd who have sufficient resources to be able to bear losses (which may equal the whole amount invested) that may result from such an investment. Accordingly, typical investors in the Company are expected to be experienced investors, institutional investors, high net worth investors and other investors who have taken appropriate professional advice and understand the risks involved in investing in the Company . WHAT ARE THE RISKS AND WHAT COULD I GET IN RETURN? Risk Indicator The summary risk indicator is a guide to the level of risk of this product compared to other products. It shows how likely it is that the product will lose money because of movements in the markets or because we are not able to pay you. We h ave classified this product as 5 out of 7, which is a medium -high risk class. This rates the potential losses from future performan ce at a medium -high level, and poor market conditions are likely to impact the value of the US Dollar shares. In addition, the summary risk indicator only reflects historic share price volatility of the US Dollar shares. It excludes other risks which may a ffect the Company and, therefore, does not show the full risk > Lower risk Higher risk # 1 2 3 4 5 6 7 There is no specific recommended holding period for this product. There is no committed liquidity offered by market makers or the PRIIP manufacturer so liquidity depends only on the availability of buyers and sellers on the secondary market. You may not be able to sell your ordinary shares easily or you may have to sell at a price below the p rice that you paid or below the prevailing net asset value per ordinary share. KEY INFORMATION DOCUMENT > 23 to the investor. See "Other Relevant Information" below regarding further risk disclosure relevant to an investment in the Co mpany. Other risks materially relevant to the US Dollar shares that are not included in the summary risk indicator include:  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 Company is exposed to the risks arising from any failure of systems and controls in the operations of the Manager or its other service providers.  While there may be methods by which the Company could seek to manage any discount to net asset value at which the Company’s shares tr ade in the secondary market, there is no guarantee that the Company can or will utilise any or all of these methods or, if it does, that it will be successful. This product does not include any protection from future market performance so you could lose s ome or all of your investment. INVESTMENT PERFORMANCE INFORMATION The Company’s future investment performance will primarily depend upon the performance of the Master Fund and the Manager as manager of the Master Fund. The Master Fund employs a multi -trader model that includes a combination of macro directional and macro relative value strategies that focus primarily on economi c change and monetary policy. Based on the HFRI Macro (Total ) Index (Ticker: HFRIMI Index), the average risk over the most recent 5 -year period to 31 December 2023 was an annualised volatility of 4.97 %. Risk will vary, however the highest on e-year risk (a nnualised volatility) was observed at 5.89 %, conversely t he lowest one -year risk was 2.19 %. What could affect my return positively? Factors that could affect returns positively include the ability of the Manager , and underlying investment managers , in respect of the Master Fund to successfully construct strategies (which may often be contingent in nature ) with superior risk/return profiles . The occurrence of a potential event within a pre -determined period of time that crystallises the outcome of su ch strategies may further enhance returns . What could affect my return negatively? Factors that could affect returns negatively include the Master Fund’s portfolio fail ing to perform in line with the Company’s objectives or if it is inappropriately invested. Negative outcomes could also be cau sed by, or exacerbated , if markets move adversely, if there is a failure of systems and controls in the operations of the Manager or its administrator and/or by increased geopolitical uncertainty . 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 respec t of the Master Fund. What could happen in severe market conditions? The principal and emerging risks and uncertainties to which the Company is exposed, as referenced above, may become more acute in severe or uncertain market conditions. Under severely adverse market conditions, there is a risk that the capital value of an investment in the Company’s shares could reduce significantly, potentially down to zero. WHAT HAPPENS IF THE COMPANY IS UNABLE TO PAY OUT ? The Company is not required to make any payme nt to you in respect of your investment. If the Company were liquidated, you would be entitled to receive a distribution equal to your share of the Company’s assets, after payment of all of its creditors. The M anager has no obligation to make any payment to you in respect of the US Dollar shares. There is no compensation or guarantee scheme in place that applies to the Company and, if you invest in the Company, you should be prepared to assume the risk that you could lose all o f your investment . WHAT ARE THE COSTS ? The Reduction in Yield (“RIY”) shows what impact the Company's total costs will have on the investment return you might get. The total costs take into account one -off, ongoing and incidental costs. The amounts shown here are the cumulative costs of the product itself, for three different holding periods. The figures assume you invest $10,000. The figures are estimates and may change in the future. You should note that these costs are paid by the Company whereas the return that you may recei ve will depend on the Company’s share price performance. There is no direct link between the Company’s share price and the costs that it pays. Table 1: Costs over time The person advising you about this product may charge you other costs. If so, this person will provide you with information a bout these costs, and show you the impact that all costs will have on your investment over time. Investment of $10,000 Scenar ios If you cash in after 1 year If you cash in after 3 years If you cash in after 5 years Total costs $443 $1,433 $2,860 Impact on return (RIY) per year 4.90 % 4.90% 4.90% Table 2: Composition of costs The table below shows:  the impact each year of the different types of costs on the investmen t return that you might get at the end of the recommended holding period ;  the meaning of the different cost categories. One -off costs Entry costs N/A No entry costs are payable when you acquire US Dollar shares, although you may be required to pay brokerage fees or commissions. KEY INFORMATION DOCUMENT > 33 Exit costs N/A No exit costs are payable when you dispose of US Dollar shares, although you may be required to pay brokerage fees or commissions. Ongoing costs Portfolio transaction costs 0.13 % The impact of the costs of buying and selling underlying investments for the product. Other ongoing costs 2.15 % The impact of the management fee payable to the Manager and the fees and expenses of the Company’s other service providers. Incidental costs Performance fees 2.62 % The impact of the performance fee payable to the Manager equal to 20% of any increase in net asset value per US Dollar share in each of the Company’s financial year in excess of a “high water mark”, being the highest net asset value in respect of which a performance fee was previously paid. Carried interests N/A No carried interest is payable. HOW LONG SHOULD I HOLD IT AND CAN I TAKE MONEY OUT EARLY ? This product has no required minimum holding period . It is designed for long term investment with investors being able to sell their investment at will on the London Stock Exchange. The recommended holding period i n this document is for illustrative purposes only. The Company is not obliged to acquire any of the Company’s shares. You may sell your shares in the Company on any day which is a dealing day on the London Stock Exchange. No fees or penalties are payabl e to the Company or the PRIIPs manufacturer on sale of your investment but you may be required to pay fees or commissions to any person arranging the sale on your behalf. HOW CAN I COMPLAIN ? If you have any complaints about the product or conduct of the product manufacturer, you may lodge your complaint with the Company’s Administrator, Northern Trust International Fund Administration Services (Guernsey) Limited, on +44 (0)1481 745 436 or at bhfa@ntrs.com . You do not have the right to complain to the UK Financial Ombudsman Service (FOS) about the management of the Company. If you have a complaint about a person who is advising on, or selling, the product you should pursue that complaint with the relevant person in the first instance. OTHER RELEVANT INFORMATION Further documentation, including the Company’s annual and semi -annual reports and regulatory disclosures , is available on the Company’s website at http://www.bhmacro.com . This documentation is made available in accordance with the Listing Rules and the Disclosure Guidance and Transparency Rules of the FCA . Your attention is particularly drawn to the risk disclosures in the Company's annual report. The cost, performance and risk calculations included in this KID follow the methodology prescribed by the Regulation and related rules of the FCA .