Transaction in Own Shares

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)

                          Transaction in Own Shares

                              17 September 2014

On 17 September 2014 the Company purchased the following amount of shares:

  - 44,943 ordinary shares of no par value in the value in the capital
    of the Company designated as US Dollar shares ("US Dollar Shares") at a
    price of USD 19.5292 per US Dollar Share.

  - 21,845 ordinary shares of no par value in the value in the capital
    of the Company designated as Sterling shares ("Sterling Shares") at a
    price of GBP 20.2500 per Sterling Share.

  - 1,511 ordinary shares of no par value in the value in the capital
    of the Company designated as Euro shares ("Euro Shares") at a price of EUR
    19.6600 per Euro Share.

These shares will be held as treasury shares. Following the
purchase of the relevant Euro, US Dollar and Sterling Shares, the total number
of shares in issue in each share class of the Company will be as follows:

Total number of treasury shares                             Number of shares in issue
held by the Company following the                           less shares held in treasury
purchase and non-cancellation                               following the purchase as
as described above                                          described above

491,813 Euro Shares                                         5,349,406 Euro Shares
2,016,057 US Dollar Shares                                  19,785,698 US Dollar Shares
3,944,817 Sterling Shares                                   39,430,587 Sterling 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 17 September 2014, the total number of voting rights in the
Company (rounded down to the whole number) is 78,400,801.

Enquiries:

Company website: www.bhmacro.com

William Simmonds
JPMorgan Cazenove
Tel: [phone]

The Company Secretary
Northern Trust International Fund Administration Services (Guernsey) Limited
Tel: [phone]