BH Macro Limited (the "Company")                        
      (a closed-ended collective investment scheme established as a company with   
      limited liability under the laws of Guernsey with registered number 46235)   

                    Completion of 31 December 2016 Share Conversion                

                                    23 January 2017                                

    Following the publication on 18 January 2017 of the final month-end net asset
    values for 31 December 2016, the following share conversion ratios have been
    determined in accordance with the articles of incorporation of the Company for
    the purposes of the 31 December 2016 share conversion date:

    0.782768 Sterling shares for each US     
             Dollar share                    
                                             
    0.942572 Euro shares for each US Dollar  
             share                           
                                             
    1.277518 US Dollar shares for each       
             Sterling share                  
                                             
    1.203907 Euro shares for each Sterling   
             share                           
                                             
    1.060927 US Dollar shares for each Euro  
             share                           
                                             
    0.830629 Sterling shares for each Euro   
             share                           

    On the basis of aggregate applications received and using the conversion ratios
    listed above, the following shares will be issued:

      * 50,491 GBP Shares of no par value

    and the following shares will be cancelled:

      * 23,318 US Dollar Shares of no par value
      * 38,813 Euro Shares of no par value

    all with effect from 23 January 2016

    Application has been made to the Financial Conduct Authority ("FCA") for the
    new shares to be admitted to the Official List of the UK Listing Authority and
    admitted to trading on the London Stock Exchange's main market for listed
    securities.

    Admission is expected to occur on 26 January 2017 Shareholder CREST accounts
    for converting shareholders are expected to be updated by 5.00pm on 26 January
    2017.

    Following issue and cancellation of the relevant shares, the total number of
    shares in issue in each class will be as follows:

    -               1,476,059                Euro Shares

    -               271,854                   Euro Treasury Shares

    -               9,952,206                US Dollar Shares

    -               1,406,228                US Dollar Treasury Shares

    -               22,422,160              Sterling Shares

    -               2,650,652                Sterling Treasury Shares

    The number of votes each share in the Company is entitled to on a poll at any
    general meeting of the Company was published by the Company on 9 March 2007 and
    will not change as a result of the conversions. These are:

    Euro Share             1

    US Dollar Share    0.7606    

    Sterling Share       1.4710

    From 23 January 2017, the total number of voting rights in the Company (rounded
    down to the whole number) is 42,028,704

    Enquiries:

    Website:    www.bhmacro.com

    Northern Trust International Fund Administration Services (Guernsey) Limited
    Sharon A Williams
    Tel:  +44 (0)1481 745436