Brevan Howard Global Limited commentary for the month ended June 30, 2016.

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Brevan Howard Global 11

Q2 2016 Portfolio Update

The information in this section has been provided to BHG by BHCM.

The BHG USD shares appreciated by 1.32% (net of fees and expenses) in the second quarter.

The bulk of the profits were generated in credit and interest rate trading. In credit, the Fund benefitted from recovery in a number of corporate high yield and distressed positions, in particular within the energy space. Additional gains arose from other credit exposures including structured finance legacy positions (i.e. bonds issued prior to 2008). In interest rate trading, tactical and relative value trades as well as strategic long exposures in USD, EUR and GBP were the main contributors.

Additional small gains arose in FX trading. Gains from FX volatility trading and short exposures to EUR and GBP against USD were partly offset by long exposures to commodity related currencies including AUD and MXN during the early part of the quarter.

Tactical trading in equity indices, and to a lesser extent commodities, were detractors over the quarter.

Systematic trading had a negative quarter despite a strong recovery during June. The bulk of the gains arose from long exposure to global bond markets. The gains were more than offset by losses in other asset classes. In FX, a short exposure to USD against a basket of currencies including AUD and EUR at the beginning of the quarter generated losses. Additional losses arose in equity indices and commodities.

The Investment Committee (“IC”) increased the Fund’s allocation to the DIP to approximately 50% during the quarter. The DIP has been the main positive contributor during the second quarter and for the first half of the year. Allocations to BHA and BHMF were reduced over the period.

Portfolio Update for Brevan Howard Global

The information in this section has been provided to BHG by BHCM.

Monthly, quarterly and annual contribution (%) to the performance of BHG USD Shares (net of fees and expenses) by asset class*

Brevan Howard Global

Monthly, quarterly and annual contribution (%) to the performance of BHG USD Shares (net of fees and expenses) by strategy group*

Brevan Howard Global

Quarterly and Annual Contribution (%) by Underlying Allocation as at 30 June 2016

Brevan Howard Global

BHG Underlying Investment Exposures as at 30 June 2016 (allocations subject to change):

Brevan Howard Global

Brevan Howard Global

Allocation Changes as a % of NAV as at 30 June 2016 (allocations subject to change):

Brevan Howard Global

Exposures by Asset Class as at 30 June 2016 (exposures subject to change):

Brevan Howard Global

Brevan Howard Global

Exposure Changes as at 30 June 2016 (subject to change):

Brevan Howard Global

Monthly Performance Review for BHG

The information in this section has been provided to BHG by BHCM.

BHG Monthly Commentary

The NAV per share of BHG’s USD shares appreciated by 1.71% and the NAV per share of BHG’s GBP shares appreciated by 1.46% in June 2016.

Monthly Performance of BHMS Underlying Allocations*

Brevan Howard Global

Brevan Howard Master Fund Limited (“BHMF”)

The NAV per share of BHMF Class Z USD shares appreciated by 1.12% in June. Gains in interest rate trading were predominantly generated from long directional positioning in European and US rates as well as long positions in Japanese and UK interest rate volatility. European swap spread and peripheral bond trading also contributed modest gains. Gains in FX trading came from directional trading of a broad range of currency pairs including GBP, EUR and BRL, and from associated moves in implied volatility. Equity trading losses came from tactical positions in Japan and in Europe.
Brevan Howard Asia Master Fund Limited (“BHA”)

The NAV per share of BHA Ordinary USD shares depreciated by 0.04% in June. Losses in interest rate trading came mostly from long volatility positions in US rates partially offset by gains from curve trading in Korean rates. FX trading generated losses from a long USD theme against JPY and several other Asian currencies. Equity gains came predominately from the decline in US equity volatility via long positioning in put options on the VIX.

BH-DG Systematic Trading Master Fund Limited (“BHDGST”)

The NAV per share of BHDGST Class Z USD shares appreciated by 5.51% in June. June saw positive returns in all sectors excluding energies and equities. Bonds were the top performing sector and contributed substantially to overall returns, resulting in increased risk in this sector. In STIR markets, the model reverted net short positions in Canadian Banker Acceptance and Eurodollar futures into longs. In indices, the model took a more bearish stance overall. In currencies, the model’s position in GBP flipped between long and short several times as Sterling saw increased volatility leading into and post the UK’s Brexit referendum. Exposure in energy markets was largely reduced in June. The model reduced short positions in LME base metals and flipped a short position in aluminium to long. In precious metals, longs in gold and silver futures were substantially increased as prices broke out on safe-haven buying.

Direct Investment Portfolio (“DIP”)

The Direct Investment Portfolio (“DIP”) appreciated by 1.82% in June. The DIP generated the bulk of the profits in credit, FX and interest rate trading. In credit, most gains arose from long exposure to residential mortgage backed securities originated by Countrywide following the settlement of a court case in favour of the bondholders. In interest rates, long exposures in EUR, USD & GBP were the main positive contributors. Additional gains were generated in FX where the DIP benefitted from higher volatility and a modest short exposure to GBP against the USD. Some of the profits in DIP were offset by tactical trading in equity indices. Commodity trading was flat for the month without any significant exposures.

Manager’s Market Review and Outlook

The information in this section has been provided to BHG by BHCM.

Market Commentary

United States

Economic activity picked up in June. Hiring rebounded smartly after having stalled in May, allaying concerns that the labor market was sliding unexpectedly into recession. Taking the longer view, employment gains have slowed from a rapid pace. In the first quarter, employment expanded nearly 200,000 per month and, in the second quarter, the monthly pace was approximately 150,000. Economists’ estimates of the long-term sustainable increase in employment range from 75,000 to 125,000 per month, so the current gains still represent moderate progress in absorbing slack. At the same time, the unemployment rate rose to 4.9%, but part of the increase was accounted for by a rise in job seekers. Wages appear to be increasing moderately, which is impressive compared with lacklustre productivity growth but disappointing compared with prior business cycle expansions.

Real consumption spending increased by approximately 4% annualised in the second quarter. In particular, retail sales accelerated, led by brisk online sales, but motor vehicle purchases

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