BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES ...

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES

Société d'Investissement à Capital Variable (“SICAV”)

(R.C.S. No B 144263)

AUDITED ANNUAL REPORT FOR THE YEAR ENDED

31 DECEMBER 2018

Subscriptions cannot be received on the basis of financial reports alone. Subscriptions are valid only if made on the

basis of the current prospectus and the latest Key Investor Information Document, as supplemented by the annual report

as well as by the semi-annual report, if published thereafter.

Brevan Howard Capital Management LP, the commodity pool operator of Brevan Howard Liquid Portfolio Strategies,

has filed a claim of exemption with the Commodity Futures Trading Commission (“CFTC”) in respect of Brevan

Howard Liquid Portfolio Strategies pursuant to Section 4.7 of the CFTC regulations.

Brevan Howard Liquid Portfolio Strategies

Table of Contents

Page

Management and Administration of the Fund 1

Investment Managers’ Report 2

Independent Auditor’s Report 5

Brevan Howard Diversified Strategies Fund - Schedule of Investments 8

Statement of Net Assets 10

Statement of Operations and Changes in Net Assets 11

Statement of Changes in the Number of Shares 12

Statistical Information 13

Notes to the Financial Statements 15

Affirmation of the Commodity Pool Operator 21

Remuneration policy (Unaudited) 22

Securities Financing Transaction Regulation (Unaudited) 23


Management and Administration of the Fund

1

Board of Directors

Justin Egan (Chairman) Philippe Lespinard

Principal Director

Carne Global Financial Services Limited Willard Advisors SARL

Paul Guillaume Tracey McDermott

Managing Partner Director

Altra Partners S.A. Gemini Governance & Advisory Solutions S.à r.l.

Andrew Heyworth

Head of Branch

Brevan Howard Investment Products Limited,

Geneva Branch

Registered Office Legal Adviser (as to Luxembourg law) 49, Avenue J.F. Kennedy Linklaters LLP

L-1855 Luxembourg 35 Avenue J.F. Kennedy

Grand Duchy of Luxembourg L-1855 Luxembourg

Grand Duchy of Luxembourg

Depositary and Paying Agent

State Street Bank Luxembourg S.C.A. Administrator, Registrar and Transfer Agent 49, Avenue J.F. Kennedy State Street Bank Luxembourg S.C.A.

L-1855 Luxembourg 49, Avenue J.F. Kennedy

Grand Duchy of Luxembourg L-1855 Luxembourg


Manager

Brevan Howard Capital Management LP Principal Distributor Acting by its sole general partner Brevan Howard Capital Management LP

Brevan Howard Capital Management Limited Acting by its sole general partner

6th Floor, 37 Esplanade Brevan Howard Capital Management Limited

St Helier, Jersey, JE2 3QA 6th Floor, 37 Esplanade

Channel Islands St Helier, Jersey, JE2 3QA

Channel Islands

Investment Managers

Brevan Howard Investment Products Limited (until 29 June 2018) Management Company

6th Floor, 37 Esplanade Carne Global Fund Managers (Luxembourg) S.A.

St Helier, Jersey, JE2 3QA European Bank and Business Centre

Channel Islands 6B, route de Trèves

L-2633 Senningerberg

Brevan Howard Asset Management LLP Grand Duchy of Luxembourg

55 Baker Street

London, W1U 8 EW

United Kingdom

Auditor

KPMG Luxembourg, Société coopérative

39, Avenue J.F. Kennedy

L-1855 Luxembourg


Legal Adviser (as to English law)

Simmons & Simmons LLP

Citypoint

One Ropemaker Street

London EC2Y 9SS

United Kingdom


Investment Managers’ report for the year ended 31 December 2018

2

Scope of the Report

This report covers the following sub-funds of Brevan Howard Liquid Portfolio Strategies:

Brevan Howard Dynamic Global Investment Fund (“BHDGIF”)

Brevan Howard Diversified Strategies Fund (“BHDSF”)

Performance Summary

BHDGIF The first half of 2018 was a challenging period for BHDGIF, with a drop in world equities hitting performance during the first quarter. In the

second quarter, most of this loss was then recovered before the fund’s closure on 29 June 2018. From a pure value perspective, BHDGIF had

remained overweight equities versus fixed income. The fall in equities triggered the Dynamic Risk Control model for European markets in

anticipation of further falls, resulting in BHDGIF reducing the equity exposure from that indicated by the value model. The Investment

Committee continued to reduce fixed income exposure compared to the fixed income model’s output given concerns over potentially higher

and steeper yield curves.

Note: This fund closed on 29 June 2018.

BHDSF

Increased volatility during the first quarter provided strong positive returns from a new VIX strategy. Over the first half of 2018 there were

negative returns on the equity portfolio, with all other asset class portfolios being positive. The third quarter provided strong performance

driven by the equity portfolio, VIX and emerging-market FX strategies. However, the market turbulence in the final quarter caused many

systematic strategies to struggle and the fund reversed the previous quarter’s returns. The strategy allocations were reduced to zero in

December following significant redemptions.

Fund performance (%) as at 31 December 2018

BHDGIF

2018

Class CCY(1) Jan Feb Mar Apr May Jun YTD

A CHF 0.96% -2.51% -1.79% 1.35% 0.42% 0.09% -1.54%

EUR 0.99% -2.48% -1.76% 1.36% 0.44% 0.12% -1.38%

GBP 1.06% -2.44% -1.66% 1.46% 0.54% 0.21% -0.90%

USD 1.16% -2.29% -1.53% 1.57% 0.71% 0.36% -0.08%

B CHF 1.01% -2.45% -1.74% 1.40% 0.47% 0.14% -1.23%

EUR 1.04% -2.43% -1.71% 1.42% 0.49% 0.17% -1.07%

GBP 1.11% -2.39% -1.61% 1.51% 0.59% 0.25% -0.59%

C USD(2) 1.19% -2.22% -1.06%

E EUR 0.95% -2.53% -1.80% 1.32% 0.39% 0.08% -1.64%

I EUR 1.05% -2.43% -1.71% 1.42% 0.49% 0.17% -1.06%

GBP 1.12% -2.39% -1.61% 1.51% 0.60% 0.26% -0.58%

USD 1.21% -2.24% -1.48% 1.63% 0.76% 0.42% 0.25%

M CHF 1.06% -2.41% -1.70% 1.45% 0.51% 0.17% -0.98%

EUR 1.09% -2.39% -1.67% 1.46% 0.53% 0.21% -0.83%

GBP 1.16% -2.35% -1.57% 1.56% 0.63% 0.29% -0.34%

USD 1.26% -2.19% -1.44% 1.67% 0.80% 0.45% 0.48%

X EUR 1.02% -2.41% -1.61% 1.45% 0.51% 0.12% -0.98%


Investment Managers’ report for the year ended 31 December 2018 (continued)

3

Performance Summary (continued)

Source: State Street Bank Luxembourg S.C.A.. Monthly NAV data is net of all investment management fees and expenses.

(1) Unless otherwise stated, all Classes were fully redeemed on 29 June 2018.

(2) This Class was fully redeemed on 8 March 2018. Please note the above NAV performance is from close of business on 1 January 2018 to 29 June 2018, which was the date of the last official published NAV

for the year.

BHDSF

2018

Class CCY Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD

C GBP(3) 0.50% 2.08% -0.26% -0.79% 0.02% -1.36% 0.16%

USD(4) 0.61% 2.19% -0.11% -0.68% 0.18% -1.20% -0.12% 1.35% 0.97% -3.11% -2.73% -2.76%

I EUR(7) 0.43% 1.98% -0.38% -0.90% -0.10% -1.46% -0.34% 1.11% 0.74% -3.37% -3.03% -1.25% -6.50%

GBP(4) 0.49% 2.07% -0.27% -0.81% -0.01% -1.38% -0.25% 1.22% 0.84% -3.26% -2.90% -4.32%

USD 0.59% 2.06% -0.11% -0.63% 0.14% -1.17% -0.13% 1.29% 0.85% -3.00% -2.75% -0.88% -3.80%

Im EUR(5) 0.39% 1.94% -0.42% -0.94% -0.14% -1.49% -0.38% 1.07% 0.70% -3.41% -3.07% -5.74%

GBP(4) 0.45% 2.02% -0.31% -0.85% -0.05% -1.42% -0.29% 1.18% 0.80% -3.30% -2.94% -4.75%

USD(4) 0.55% 2.13% -0.16% -0.74% 0.11% -1.26% -0.18% 1.29% 0.91% -3.17% -2.79% -3.39%

M EUR(6) 0.46% 2.01% -0.35% -0.87% -0.06% -1.42% -0.31% 1.14% 0.77% -3.34% -3.00% -4.99%

GBP(6) 0.52% 2.10% -0.24% -0.78% 0.03% -1.35% -0.22% 1.25% 0.87% -3.23% -2.87% -4.00%

USD(6) 0.63% 2.21% -0.09% -0.67% 0.19% -1.19% -0.10% 1.36% 0.98% -3.10% -2.72% -2.62%

X EUR(4) 0.45% 2.00% -0.36% -0.88% -0.07% -1.43% -0.32% 1.14% 0.76% -3.35% -3.01% -5.09%

Source: State Street Bank Luxembourg S.C.A.. Monthly NAV data is net of all investment management fees and expenses.

With the exception of the share classes listed below, the above NAV performance is from close of business on 1 January 2018 to 28 December 2018, which was the date of the last official published NAV for the year.

(3) This Class was fully redeemed on 18 July 2018, at the last available NAV. (4) This Class was fully redeemed on 17 December 2018, at the last available NAV.

(5) This Class was fully redeemed on 18 December 2018, at the last available NAV.

(6) This Class was fully redeemed on 21 December 2018, at the last available NAV. (7) This Class was fully redeemed on 28 December 2018, at the last available NAV.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.


Investment Managers’ report for the year ended 31 December 2018 (continued)

4

Performance Summary (continued)

Risk Management (1)

Each sub-fund employs the absolute VaR approach to calculate global exposure, in accordance with ESMA’s guidelines on risk measurement

and the calculation of global exposure and counterparty risk for UCITS dated 28 July 2010 (“ESMA’s guidelines”) and CSSF Circular 11/512

(dated 30 May 2011). The applicable VaR limits and utilisation for BHDGIF from 1 January 2018 to 29 June 2018, and BHDSF from 1

January 2018 to 31 December 2018 were as follows:

BHDGIF

VaR Limit Min Max Average

16% 0.03% 5.22% 4.54%

Expected Gross Leverage Min Max Average Leverage Period End

<300% 13.80% 840.45%* 239.14% 104.06%

* Following redemptions towards the end of May 2018, market risk in the fund was reduced via the purchase of offsetting positions. This caused the maximum gross leverage to temporarily rise before the collapse of the relevant trades was completed. In some cases, trade collapses were not completed until

after the publication of the final NAV on 29 June 2018.

The leverage figure is as at 29 June 2018 and is calculated using the sum-of-notionals methodology, as set out in ESMA’s Guidelines.

BHDSF

VaR Limit Min Max Average

16% 0.05% 9.21% 4.20%

Expected Gross Leverage Min Max Average Leverage Year End

800-2500% 46.76% 3142.01%* 1005.43% 3063.83%*

* Following redemptions towards the end of December 2018, market risk in the fund was reduced via the purchase of offsetting positions. This caused the

maximum gross leverage and leverage year end figure to temporarily rise before the collapse of the relevant trades was completed.

The leverage figure is as at 31 December 2018 and is calculated using the sum-of-notionals methodology, as set out in ESMA’s Guidelines.

(1) The VaR model uses a historical simulation, with the following features:

A 1-month holding period;

2 years of market data; A 99% confidence interval;

Equally weighted daily returns;

Daily data update; and Daily calculation.

KPMG Luxembourg, Societe cooperative 39, Avenue John F. Kennedy L - 1855 Luxembourg

To the Shareholders of Brevan Howard Liquid Portfolio Strategies Societe d'lnvestissement a Capital Variable 49, Avenue J.F. Kennedy L-1855 Luxembourg

Tel. : +352 22 51 51 1 Fax: +352 22 51 71 E-mail: [email protected] Internet: www.kpmg.lu

REPORT OF THE REVISEUR D'ENTREPRISES AGREE

Report on the audit of the financial statements

Opinion

We have audited the accompanying financial statements of Brevan Howard Liquid Portfolio Strategies and each of its sub-funds (the "Fund"), which comprise the Statement of Net Assets and the Schedule of Investments as at 31 December 2018 and the Statement of Operations and Changes in Net Assets for the year then ended, and notes to the financial statements, including a summary of significant accounting policies.

In our opinion, the accompanying financial statements give a true and fair view of the financial position of Brevan Howard Liquid Portfol io Strategies and each of its sub-funds as at 31 December 2018, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.

Basis for opinion

We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession ("Law of 23 July 2016") and with International Standards on Auditing ("ISAs") as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier ("CSSF"). Our responsibilities under the law of 23 July 2016 and ISAs are further described in the « Responsibilities of "Reviseur d'Entreprises agree" for the Audit of the Financial Statements » section of our report. We are also independent of the Fund in accordance with the International Ethics Standards Board for Accountants' Code of Ethics for Professional Accountants ("IESBA Code") as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements, and have fulfilled our other ethical responsibilities under those ethical requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Other information

The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our report of "Reviseur d'Entreprises agree" thereon.

KPMG Luxt;mbourg. S0c1ete coo001at1,..e, a Luxemt>ou·o ent-t',• and a TV A tU 27351518 mem~er furn of the KPMG notwo1k of independent member firms RC.S Luxombou'g B 1·19133 .11f11tamd w11h KPMG 1~1orr,at,ona! Cooporativo ( .. KP~ .. 1G lntornat.onal"), a Swiss entity

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the Fund for the financial statements

The Board of Directors of the Fund is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund's ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so.

Responsibilities of the "Reviseur d'Entreprises agree" for the audit of the financial statements

The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue a report of "Reviseur d'Entreprises agree" that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

- Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery , intentional omissions, misrepresentations, or the override of internal control.

8 5 V')

- Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control.

- Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Fund.

- Conclude on the appropriateness of the Board of Directors of the Fund's use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund's ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our report of "Reviseur d'Entreprises agree" to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our report of "Reviseur d'Entreprises agree". However, future events or conditions may cause the Fund to cease to continue as a going concern.

- Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit find ings, including any significant deficiencies in internal control that we identify during our audit.

Luxembourg, 28 March 2019 KPMG Luxembourg Societe cooperative Cabin de revision agree

Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund

Schedule of Investments

As at 31 December 2018

8

The accompanying notes are an integral part of these financial statements.

Treasury Bonds Country

Nominal

Value Currency Security Description

Market

Value

USD

% of

Net

Assets

United States of America

225,000 USD US Treasury 0% 08/01/2019 224,902 14.00

225,000 USD US Treasury 0% 15/01/2019 224,800 14.00

225,000 USD US Treasury 0% 22/01/2019 224,695 13.99

225,000 USD US Treasury 0% 29/01/2019 224,573 13.98

225,000 USD US Treasury 0% 31/01/2019 224,556 13.98

225,000 USD US Treasury 0% 05/02/2019 224,474 13.98

225,000 USD US Treasury 0% 12/02/2019 224,362 13.97

1,572,362 97.90

Total Treasury Bonds 1,572,362 97.90

TOTAL TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS DEALT IN ON ANOTHER REGULATED MARKET 1,572,362 97.90

Forward Foreign Exchange

Contracts Purchases Sales Maturity Date

Unrealised

Gain/(Loss)

USD

% of

Net

Assets

SEK 156,313,903 USD 17,381,976 20/03/2019 126,644 7.89

USD 1,715,871 GBP 1,300,000 25/01/2019 58,396 3.64

USD 957,596 CAD 1,250,000 25/01/2019 41,858 2.61

USD 1,057,299 AUD 1,450,000 25/01/2019 36,034 2.24

USD 947,180 EUR 820,000 25/01/2019 8,082 0.50

KRW 630,553,118 USD 558,357 29/01/2019 7,073 0.44

GBP 924,977 USD 1,172,510 25/01/2019 6,819 0.42

JPY 35,000,000 USD 311,126 25/01/2019 6,403 0.40

USD 212,604 ZAR 3,000,000 25/01/2019 4,594 0.29

JPY 66,054,001 USD 595,779 25/01/2019 3,481 0.22

EUR 811,373 USD 926,823 25/01/2019 2,395 0.15

USD 115,510 EUR 100,000 25/01/2019 986 0.06

SEK 2,062,435 USD 229,274 25/01/2019 744 0.05

USD 145,506 SEK 1,300,000 25/01/2019 521 0.03

EUR 75,000 USD 85,378 25/01/2019 515 0.03

USD 126,365 SEK 1,128,983 25/01/2019 452 0.03

GBP 40,000 USD 50,565 25/01/2019 434 0.03

USD 17,954 AUD 25,000 25/01/2019 346 0.02

USD 219,905 HKD 1,718,233 25/01/2019 305 0.02

SEK 360,955 USD 40,000 25/01/2019 256 0.02

ZAR 2,398,098 USD 166,062 25/01/2019 214 0.01

USD 115,185 HKD 900,000 25/01/2019 160 0.01

USD 9,689 GBP 7,500 25/01/2019 127 0.00

USD 11,724 GBP 9,100 25/01/2019 122 0.00

USD 28,255 EUR 24,600 25/01/2019 82 0.00

USD 9,627 GBP 7,500 25/01/2019 65 0.00

USD 316,475 KRW 352,860,000 29/01/2019 58 0.00

USD 23,820 EUR 20,750 25/01/2019 56 0.00

SEK 400,032 USD 44,755 20/03/2019 52 0.00

USD 200,490 KRW 223,540,000 29/01/2019 37 0.00

HKD 2,343,756 USD 299,510 25/01/2019 35 0.00

USD 2,051 EUR 1,803 25/01/2019 (14) (0.00)

USD 2,319 GBP 1,835 25/01/2019 (21) (0.00)

USD 9,368 EUR 8,200 25/01/2019 (23) (0.00)

USD 2,971 GBP 2,350 25/01/2019 (25) (0.00)

ZAR 432,291 USD 30,000 25/01/2019 (27) (0.00)

HKD 234,339 USD 30,000 25/01/2019 (50) (0.00)

USD 24,240 EUR 21,300 25/01/2019 (154) (0.01)

USD 48,000 KRW 54,153,120 29/01/2019 (560) (0.03)

USD 1,004,195 EUR 877,448 25/01/2019 (695) (0.04)

USD 810,163 SEK 7,267,809 20/03/2019 (3,900) (0.24)

USD 962,943 GBP 758,569 25/01/2019 (4,219) (0.26)

AUD 1,039,690 USD 738,076 25/01/2019 (5,800) (0.36)

CAD 854,630 USD 631,922 25/01/2019 (5,828) (0.36)

USD 1,360,714 EUR 1,193,368 25/01/2019 (5,981) (0.37)

AUD 410,000 USD 298,961 25/01/2019 (10,189) (0.63)

CAD 379,967 USD 291,084 25/01/2019 (12,724) (0.79)

USD 1,568,615 SEK 14,126,882 20/03/2019 (13,728) (0.85)

TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS DEALT IN ON ANOTHER REGULATED MARKET

DERIVATIVE FINANCIAL INSTRUMENTS

Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund

Schedule of Investments (continued)


9


Forward Foreign Exchange

Contracts (continued) Purchases Sales Maturity Date

Unrealised

Gain/(Loss)

USD

% of

Net

Assets

GBP 331,000 USD 436,887 25/01/2019 (14,868) (0.93)

USD 896,338 JPY 100,833,144 25/01/2019 (18,448) (1.15)

EUR 2,147,469 USD 2,480,537 25/01/2019 (21,165) (1.32)

GBP 786,854 USD 1,038,569 25/01/2019 (35,345) (2.20)

USD 15,003,198 SEK 135,319,244 20/03/2019 (153,824) (9.58)

Total Forward Foreign Exchange Contracts (242) (0.01)

The currency forward foreign exchange contracts listed in the table above were concluded with HSBC Bank plc.

TOTAL DERIVATIVE FINANCIAL INSTRUMENTS (242) (0.01)

Total Investments 1,572,120 97.89

Other Assets less Liabilities 33,931 2.11

Total Net Assets 1,606,051 100.00

DERIVATIVE FINANCIAL INSTRUMENTS (CONTINUED)


Statement of Net Assets


10


BREVAN HOWARD COMBINED

DIVERSIFIED BREVAN HOWARD LIQUID

STRATEGIES FUND PORTFOLIO STRATEGIES

Notes USD USD

Assets

Investments in Securities at Market Value 3c) 1,572,362 1,572,362

Acquisition cost 1,569,571 1,569,571

Cash at Bank 43,459 43,459

Formation Expenses Prepaid 3f) 37,013 37,013

Dividend Receivable 16,732 16,732

Interest Receivable 17 17

Other Receivables 120,508 120,508

Total Assets 1,790,091 1,790,091

Liabilities

Derivative instruments:

Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 3g) 242 242

Administration Fee Payable 36,650 36,650

Dividend Payable 6,933 6,933

Other Payables 140,215 140,215

Total Liabilities 184,040 184,040

Net Assets 1,606,051 1,606,051


Statement of Operations and Changes in Net Assets

For the Year Ended 31 December 2018

11

*This Sub-Fund was liquidated on 29 June 2018.


BREVAN HOWARD BREVAN HOWARD COMBINED

DYNAMIC GLOBAL DIVERSIFIED BREVAN HOWARD LIQUID

Notes INVESTMENT FUND* STRATEGIES FUND PORTFOLIO STRATEGIES

USD USD USD

Income

Interest Income 3d) 47,312 235,106 282,418

Dividend Income, net of witholding taxes 3d) - 329,356 329,356

Other Income 4c) 5,993 4,631 10,624

Management Fee Reduction and Ongoing Charges Cap Income 4a) 115,577 231,908 347,485

Total Income 168,882 801,001 969,883

Expenses

Management Fees 4a) 8,677 14,967 23,644

Depositary and Paying Agent, Administrator, Registrar and Transfer Agent Fees 4c) 85,332 178,246 263,578

Taxe d'abonnement 6) 3,834 7,748 11,582

Audit Fees 12,464 29,142 41,606

Legal Fees 38,602 132,028 170,630

Amortisation of Formation Expenses 3f) 33,230 20,164 53,394

Interest Expense 25,120 40,836 65,956

Transaction Costs 8) 10,923 855,658 866,581

Other Expenses 4d), 4e), 4f) 95,041 176,966 272,007

Total Expenses 313,223 1,455,755 1,768,978

Net Investment Income/(Loss) for the Year (144,341) (654,754) (799,095)

Net Realised Gain/(Loss) on Sale of Investments 645,710 1,429,381 2,075,091

Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts 3g) (517,302) (1,149,097) (1,666,399)

Net Realised Gain/(Loss) on Futures Contracts 3h) 1,321,293 (1,107,719) 213,574

Net Realised Gain/(Loss) on Interest Rate Swaps 3i) (1,782,744) (1,023,124) (2,805,868)

Net Realised Gain/(Loss) on Equity Swaps 3j) - (701,464) (701,464)

Net Realised Gain/(Loss) on Foreign Exchange 3e) 110,062 306,482 416,544

Net Realised Gain/(Loss) for the Year (222,981) (2,245,541) (2,468,522)

Net Change in Unrealised Gain/(Loss) on Investments (146,180) (48,082) (194,262)

Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 3g) (495,994) (37,340) (533,334)

Net Change in Unrealised Gain/(Loss) on Futures Contracts 3h) (117,263) (163,044) (280,307)

Net Change in Unrealised Gain/(Loss) on Interest Rate Swaps 3i) 344,535 335,166 679,701

Net Change in Unrealised Gain/(Loss) on Equity Swaps 3j) - (757,583) (757,583)

Net Change in Unrealised Gain/(Loss) on Foreign Exchange 3e) (152,567) (188,272) (340,839)

Net Change in Unrealised Gain/(Loss) for the Year (567,469) (859,155) (1,426,624)

Increase/(Decrease) in Net Assets as a Result of Operations (934,791) (3,759,450) (4,694,241)

Subscriptions - 2,400,000 2,400,000

Redemptions (117,885,892) (98,118,944) (216,004,836)

Increase/(Decrease) in Net Assets as a Result of Movements in Share Capital (117,885,892) (95,718,944) (213,604,836)

Net Assets at the Beginning of the Year 118,820,683 101,084,445 219,905,128

Net Assets at the End of the Year - 1,606,051 1,606,051


Statement of Changes in the Number of Shares

For the Year Ended 31 December 2018

12

*This Sub-Fund was liquidated on 29 June 2018.

(1) This Class was redeemed on 29 June 2018. (2) This Class was redeemed on 8 March 2018.

(3) This Class was redeemed on 18 July 2018.

(4) This Class was redeemed on 17 December 2018. (5) This Class was redeemed on 28 December 2018.

(6) This Class was redeemed on 21 December 2018.


Currency

Shares Outstanding

at the Beginning of

the Year

Shares

Subscribed

Shares

Redeemed

Shares Outstanding

at the End of

the Year

BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT FUND*

A (CHF) (1) As at 31 December 2018 CHF (hedged) 10.00 - 10.00 -

A (EUR) (1) As at 31 December 2018 EUR (hedged) 10.00 - 10.00 -

A (GBP) (1) As at 31 December 2018 GBP (hedged) 10.00 - 10.00 -

A (USD) (1) As at 31 December 2018 USD 10.00 - 10.00 -

B (CHF) (1) As at 31 December 2018 CHF (hedged) 10.00 - 10.00 -

B (EUR) (1) As at 31 December 2018 EUR (hedged) 63,848.77 - 63,848.77 -

B (GBP) (1) As at 31 December 2018 GBP (hedged) 10.00 - 10.00 -

C (USD) (2) As at 31 December 2018 USD 1,004.86 - 1,004.86 -

E (EUR) (1) As at 31 December 2018 EUR (hedged) 10.00 - 10.00 -

I (EUR) (1) As at 31 December 2018 EUR (hedged) 10.00 - 10.00 -

I (GBP) (1) As at 31 December 2018 GBP (hedged) 10.00 - 10.00 -

I (USD) (1) As at 31 December 2018 USD 10.00 - 10.00 -

M (CHF) (1) As at 31 December 2018 CHF (hedged) 128,606.25 - 128,606.25 -

M (EUR) (1) As at 31 December 2018 EUR (hedged) 118,225.67 - 118,225.67 -

M (GBP) (1) As at 31 December 2018 GBP (hedged) 83,642.81 - 83,642.81 -

M (USD) (1) As at 31 December 2018 USD 635,704.24 - 635,704.24 -

X (EUR) (1) As at 31 December 2018 EUR (hedged) 10.00 - 10.00 -

BREVAN HOWARD DIVERSIFIED STRATEGIES FUND

C (GBP) (3) As at 31 December 2018 GBP (hedged) 530.00 - 530.00 -

C (USD) (4) As at 31 December 2018 USD 6,636.54 7,917.80 14,554.34 -

I (EUR) (5) As at 31 December 2018 EUR (hedged) 10.00 - 10.00 -

I (GBP) (4) As at 31 December 2018 GBP (hedged) 10.00 - 10.00 -

I (USD) As at 31 December 2018 USD 10.00 16,938.10 - 16,948.10

Im (EUR) (7) As at 31 December 2018 EUR (hedged) 13,360.03 - 13,360.03 -

Im (GBP) (4) As at 31 December 2018 GBP (hedged) 10.00 - 10.00 -

Im (USD) (4) As at 31 December 2018 USD 10.00 - 10.00 -

M (EUR) (6) As at 31 December 2018 EUR (hedged) 9,620.94 - 9,620.94 -

M (GBP) (6) As at 31 December 2018 GBP (hedged) 8,178.29 - 8,178.29 -

M (USD) (6) As at 31 December 2018 USD 979,999.54 - 979,999.54 -

X (EUR) (4) As at 31 December 2018 EUR (hedged) 10.00 - 10.00 -


Statistical Information

31 December 2018

13

Currency

Outstanding

Shares

Net Asset

Value per

Share

USD

Net Asset Value

per Share in

Local currencies

Net Assets

USD

Net Asset

in Local

currencies

BREVAN HOWARD DIVERSIFIED STRATEGIES FUND

I (USD) As at 31 December 2018 (indicative) USD 16,948.10 94.7629 94.7629 1,606,051 1,606,051

As at 28 December 2018 (official published) 16,948.10 94.6594 94.6594 1,604,297 1,604,297


Statistical Information (continued)

31 December 2018

14

*This Sub-Fund was liquidated on 20 December 2017. **This Sub-Fund was liquidated on 29 June 2018.

(1) This Class was redeemed on 29 June 2018. (2) This Class was redeemed on 8 March 2018.

(3) This Class was redeemed on 18 July 2018.

(4) This Class was redeemed on 17 December 2018. (5) This Class was redeemed on 28 December 2018.




Notes to the Financial Statements

31 December 2018

15

1. Organisation

Brevan Howard Liquid Portfolio Strategies (the “Fund”) is an open-ended investment company incorporated under the laws of the Grand

Duchy of Luxembourg as a Société d'Investissement à Capital Variable (“SICAV”). The Fund was incorporated under the name of

Brevan Howard Investment Fund on 12 January 2009 for an unlimited period and changed its name to “Brevan Howard Liquid Portfolio

Strategies” with effect from 1 October 2015. The Fund is governed by Part I of the Luxembourg Law of 17 December 2010 on

Undertakings for Collective Investment (UCI). The most recent Articles of Incorporation, dated 2 November 2015, were published on 24

November 2015 in the “Mémorial C, Recueil des Sociétés et Associations”.

The Fund is registered at the “Registre de Commerce et des Sociétés” at the District Court of Luxembourg under the number B 144263.

Brevan Howard Dynamic Global Investment Fund was closed on 29 June 2018.

As at 31 December 2018, the Fund has the following Sub-Fund:

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES – BREVAN HOWARD DIVERSIFIED STRATEGIES FUND

The base currency is USD.

As at 31 December 2018, the following classes were subscribed:

Accumulation share class I (“Class I Shares”) in USD

2. Investment Objective

The Brevan Howard Dynamic Global Investment Fund did seek to generate returns over the medium to longer term with lower levels of

risk and drawdown than are usually associated with investing only in equities. This was to be delivered through active allocation

primarily to global assets, in particular through exposure to the global equity markets and the global fixed income markets.

The Brevan Howard Diversified Strategies Fund seeks to generate absolute returns over the period of at least a year irrespective of the

conditions or direction of traditional markets. This is to be delivered through discretionary active allocation primarily to quantitative

trading strategies spanning multiple investment styles, asset classes and geographies.

3. Significant Accounting Policies

a) General

The financial statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment in

Transferable Securities (“UCITS”).

The accounts of the Fund are expressed in USD and the accounts of the Sub-Funds are kept in the currency of each Sub-Fund. During

the year ended 31 December 2018 the currency of each Sub-Fund was USD.

b) Net Asset Value per Share

The Net Asset Value per Share of each Sub-Fund is determined on each business day or any other day as the Board of Directors may

determine (“Valuation Day”).

c) Investment Valuation

The value of the securities listed or dealt in on any Stock Exchange is based on the last available price on the Stock Exchange which is

normally the principal market for such securities.

The value of securities dealt in on any other Regulated Market is based on the last available price on the relevant market.

Securities not listed or dealt in on any Stock Exchange or on any other Regulated Market and securities which are listed or dealt in on

any Stock Exchange or on any other Regulated Market but in which price is not representative of the fair market value of the relevant

securities are valued based on the reasonably foreseeable sales price determined prudently and in good faith.

Money Market Instruments with a remaining maturity of ninety days or less are valued based on the last available price on the relevant

market.

Units or shares of open-ended UCI are valued at their last determined and available net asset value or, if such price is not representative

of the fair market value of such assets, then the price is determined by the Board of Directors on a fair and equitable basis. Units or

shares of a closed-ended UCI are valued at their last available stock market value.


Notes to the Financial Statements (continued)

31 December 2018

16

3 Significant Accounting Policies (continued)

d) Investment Transactions and Investment Income

Investment transactions are recorded on a trade date basis. Realised gains and losses on sales of investments and futures are determined

using the first in first out method.

Dividend income is accrued on the ex-dividend date. Interest income is recorded on the accrual basis.

e) Conversion of Foreign Currencies

The books and records of the Sub-Funds are denominated in USD. Amounts denominated in other currencies are translated into USD on

the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currencies are converted each

business day into USD using currency exchange rates prevailing on each such business day, and (ii) purchases and sales of foreign

investments, income and expenses are converted into USD using currency exchange rates prevailing on the respective dates of such

transactions.

Net realised gains and losses on foreign exchange represent: (i) foreign exchange gains and losses from the holding and sale of foreign

currencies, (ii) gains and losses between trade date and settlement date on securities transactions, and (iii) gains and losses arising from

the difference between amounts of dividends and interest recorded and the amounts actually received.

The resulting gains and losses on exchange are included in “Net Realised Gain/(Loss) on Foreign Exchange” in the Statement of

Operations and Changes in Net Assets.

The accounts of the Fund are maintained in USD.

The exchange rates applied as at 31 December 2018 are as follows:

f) Formation Expenses

Charges relating to the restructuring of the Fund in November 2015 have been amortised over the life of the Brevan Howard Liquid

Portfolio Strategies – Brevan Howard Dynamic US Investment Fund and the Brevan Howard Liquid Portfolio Strategies – Brevan

Howard Dynamic Global Investment Fund, a period that ended on 29 June 2018.

Charges relating to the creation of a new Sub-Fund are amortised on a straight line basis over a period not exceeding five years from the

launch of the relevant Sub-Fund against the assets of that Sub-Fund.

g) Forward Foreign Exchange Contracts

A Forward Foreign Exchange Contract is an agreement between two parties to exchange one currency for another at a specific price and

date in the future.

Open forward contracts are valued based by reference to the last available forward currency rates prevailing at the relevant valuation

date.

These market values are recorded under “Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts” in the Statement of Net

Assets. The changes in such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange

Contracts” and the realised gain/loss under “Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts” in the Statement of

Operations and Changes in Net Assets.

1 USD = 0.8748 EUR

1 USD = 0.7852 GBP

1 USD = 110.42 JPY

1 USD = 1.3658 CAD

1 USD = 1.4205 AUD



31 December 2018

17

3. Significant Accounting Policies (continued)

h) Futures Contracts

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change

in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Sub-Fund is required

to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the

initial margin account. Subsequent payments, referred to as variation margin, are made or received by the Sub-Fund periodically and are

based on changes in the market value of open futures contracts.

These market values are recorded under “Net Unrealised Gain/(Loss) on Futures” in the Statement of Net Assets. Changes in the market

value of open futures contracts are recorded as unrealised appreciation/depreciation in the Statement of Operations and Changes in Net

Assets under “Net Change in Unrealised Gain/(Loss) on Futures Contracts”. Realised profits or losses, representing the difference

between the value of the contract at the time it was opened and the value at the time it was closed, are reported at the closing or

expiration of futures contracts in the Statement of Operations and Changes in Net Assets under “Net Realised Gain/(Loss) on Futures

Contracts”. Securities deposited as initial margin are designated in the securities portfolio and cash deposited is recorded in the

Statement of Net Assets. A receivable and/or a payable to brokers for the daily variation margin is also recorded in the Statement of Net

Assets.

i) Interest Rate Swaps

An interest rate swap (“IRS”) is a bilateral agreement in which each of the parties agree to exchange a series of interest payments

(usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged.

IRS contracts are valued by reference to the net present value of the underlying future cash flows.

These market values are recorded under “Net Unrealised Gain/(Loss) on Interest Rate Swaps” in the Statement of Net Assets. The

changes in such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Interest Rate Swaps” and the realised gain/loss

under “Net Realised Gain/(Loss) on Interest Rate Swaps” in the Statement of Operations and Changes in Net Assets.

j) Equity Swaps

Equity swaps are contractual agreements whereby one counterparty receives the appreciation (or pays the depreciation) on an equity

notional amount. Equity swaps involve the exchange by the Fund and a counterparty of their respective commitments to pay or receive a

net amount based on the change in the fair value of a particular security and the notional amount of the swap contract. In particular, the

party receiving the equity return receives any dividend recorded under “Dividend Income, net of withholding taxes” in the Statement of

Operations and Changes in Net Assets generated by the asset and benefits if the price of the asset appreciates over the life of the swap. If

the asset's price falls over the swap's life, the total return receiver will be required to pay the asset owner the amount by which the asset

has fallen in price.

Typically, these financial instruments serve as components of the Fund’s investment strategies and are utilised primarily to structure

investments to match the objectives of the Fund. A realised gain or loss is recorded upon termination of each swap or on a reset date

when the Fund receives or makes payments.

These market values are recorded under “Net Unrealised Gain/(Loss) on Equity Swaps” in the Statement of Net Assets. The changes in

such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Equity Swaps” and the realised gain/loss under “Net

Realised Gain/(Loss) on Equity Swaps” in the Statement of Operations and Changes in Net Assets.



31 December 2018

18

4. Fees and Expenses

a) Management Fees

Each Sub-Fund pays a management fee to the Manager equal to 1/12 of the relevant percentage of the weighted average net asset value

of each Shares Class for the relevant month as described in the below table. The management fee is payable monthly and is accrued and calculated as of each Valuation Day.

BREVAN HOWARD LIQUID PORTFOLIO

STRATEGIES

– BREVAN HOWARD DYNAMIC GLOBAL

INVESTMENT FUND

Management

fee

Management

Fee

Reduction

and Ongoing

Charges Cap

Income2

Net

Management

Fee and

Ongoing

Charges Cap

Income

Management fee

percentage

Class A1 (31) 12 (19) 1.25%

Class B1 (8,626) 9,041 415 0.625%

Class C - - - 0.00%

Class D - - - 0.00%

Class E1 (8) 3 (5) 1.25%

Class I1 (12) 9 (3) 0.625%

Class M4 - 106,512 106,512 0.00%

Class X - - - 0.00%

(8,677) 115,577 106,900

1 The Manager agreed to take a reduced management fee in respect of the Class A, Class B, Class E and Class I Shares in order to

ensure that all Ongoing Charges incurred by such Share Classes did not exceed:

- Class A Shares: 1/12 of 1.440% of the weighted average net asset value of such Shares for the relevant month,

- Class B Shares: 1/12 of 0.815% of the weighted average net asset value of such Shares for the relevant month,

- Class E Shares: 1/12 of 1.940% of the weighted average net asset value of such Shares for the relevant month, and

- Class I Shares: 1/12 of 0.775% of the weighted average net asset value of such Shares for the relevant month.

2 These amounts represent the reduction in the management fee, where applicable, or income from the manager to ensure that

Ongoing Charges do not exceed the maximum charges outlined in the footnotes to each class, where applicable.

BREVAN HOWARD LIQUID PORTFOLIO

STRATEGIES

– BREVAN HOWARD DIVERSIFIED STRATEGIES

FUND

Management

fee

Management

Fee

Reduction

and Ongoing

Charges Cap

Income2

Net

Management

Fee and

Ongoing

Charges Cap

Income

Management fee

percentage

Class C - - - 0.00%

Class D - - - 0.00%

Class I3 (221) 15,698 15,477 0.50%

Class Im3 (14,746) 5,440 (9,306) 1.00%

Class M4 - 210,770 210,770 0.00%

Class X5 - - - 0.00%

Class Xm5 - - - 0.50%

Class Z - - - 0.00%

(14,967) 231,908 216,941

3 The Manager has agreed to take a reduced management fee in respect of the Class I and Class Im Shares in order to ensure that all

Ongoing Charges incurred by such Share Classes do not exceed:

- Class I Shares: 1/12 of 0.650% of the weighted average net asset value of such Shares for the relevant month, and

- Class Im Shares: 1/12 of 1.150% of the weighted average net asset value of such Shares for the relevant month.

4 The Manager shall ensure that all Ongoing Charges less Administration Fees incurred by the Class M Shares of Brevan Howard

Dynamic Global Investment Fund and Brevan Howard Diversified Strategies Fund do not exceed 1/12 of 0.15% of the weighted

average net asset value of such Shares for the relevant month.

5In respect of the Class X and Class Xm Shares, the Manager will ensure that all Ongoing Charges incurred by this Share Class do

not exceed 1/12 of 0.15% and 0.65% of the weighted average net asset value of such Shares for the relevant month.



31 December 2018

19

4. Fees and Expenses (continued)

b) Performance Fees

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES - BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT

FUND:

No performance fee is payable by the Sub-Fund to the Manager in respect of all Share Classes.

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES - BREVAN HOWARD DIVERSIFIED STRATEGIES FUND:

The Sub-Fund pays a performance fee to the Manager in respect of Class I Shares and Class X Shares and is equal to 10% of the excess of

the Net Asset Value per Share of Class I Shares and Class X Shares at the end of the Performance Period, as defined in the Fund’s

prospectus, over the High Water Mark, as defined in the Fund’s prospectus, of that Class, multiplied by the number of Shares of the

relevant Class in issue at the end of the Performance Period.

The performance fee is calculated on an annual basis and is payable annually in arrears in respect of each performance period.

No performance fee is payable by the Sub-Fund to the Manager in relation to Class C Shares, Class D Shares, Class Im Shares or Class

M Shares.

For the year ended 31 December 2018, no performance fees were charged in respect of Class I Shares and Class X Shares.

c) Depositary, Paying Agent, Administrator, Registrar and Transfer Agent Fees

The fees payable to State Street Bank Luxembourg S.C.A. and its affiliates for the provision of depositary, administration and registrar

and transfer agency, paying agency, middle office and compliance testing services out of the Sub-Fund’s assets attributable to each Class

of Shares will not exceed 0.25% p.a., calculated as of each Valuation Day on the basis of the Net Asset Value of the assets attributable to

the relevant Class of Shares, and are paid out monthly.

The Manager has agreed to pay the amount of USD 5,993 to Brevan Howard Dynamic Global Investment Fund and the amount of USD

4,631 to Brevan Howard Diversified Strategies Fund to ensure such fees will not exceed the threshold described above. These amounts

are shown as “Other Income’’ on the Statement of Operations and Changes in Net Assets and included in “Other Receivables’’ on the

Statement of Net Assets.

d) Other expenses

The expenses include management company fees, registration fees and various administration fees.

e) Directors’ Fees

As at the date hereof, the remuneration of independent Directors’ services is up to EUR 20,000 (excluding VAT) per director per annum.

These are included under “Other Expenses” on the Statement of Operations and Changes in Net Assets.

f) Distribution Fees

Brevan Howard Dynamic Global Investment Fund pays the following distribution fees to the Principal Distributor in respect of Class E

and Class Ed Shares: 1/12 of 0.50% of the weighted average net asset value of such Shares for the relevant month. The distribution fee is

payable monthly and is accrued and calculated as of each Valuation Day.

5. Distribution Policy

The SICAV will not declare dividends in respect of the Accumulation Share Classes. All income and gains attributable to the

Accumulation Share Classes will be accumulated and reinvested on behalf of the Accumulation Share Classes Shareholders.

The Board of Directors intends that substantially all of the net income attributable to the Distribution Share Classes (but excluding any

gains from disposal of investments attributable to the Distribution Share Classes) will be distributed by way of dividend.

For the year ended 31 December 2018, no dividends had been distributed.



31 December 2018

20

6. Taxation

The Fund is not liable to any Luxembourg tax on profits or income. The Fund is, however, liable in Luxembourg to a “taxe

d’abonnement” of 0.05% per annum of its NAV, such tax being payable quarterly on the basis of the value of the aggregate NAV of the

Sub-Funds at the end of the relevant calendar quarter. No such tax is payable on the value of assets which consist of units or shares of

other Luxembourg funds that have already been subject to such tax. No stamp duty or other tax is payable in Luxembourg on the issue of

Shares. No Luxembourg tax is payable on the realised capital appreciation of the assets of the Fund.

A reduced taxe d’abonnement rate of 0.01% per annum will be applicable to certain Classes of Shares reserved to Institutional Investors

within the meaning of article 174 (2) c) of the Law.

Dividends and interest received by the Fund on its investments may be subject to non-recoverable withholding or other taxes in the

countries of origin.

In addition, the Fund may be liable to certain taxes in countries where the Fund carries out its investment activities. Those taxes are not

recoverable by the Fund in Luxembourg.

7. Statement of Changes in Investments

A statement giving the changes in the portfolio of investments for the year under review can be obtained free of charge from the

registered office of the SICAV.

8. Transaction Costs

The Sub-Funds incurred the following transaction costs in relation to Foreign Exchange, Futures and Swap Prime Brokerage.

9. Related Parties

As at 31 December 2018, Brevan Howard Capital Management LP, the manager and principal distributor of the Company (the

“Manager”), held 100% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund.

The Manager has appointed (i) Brevan Howard Investment Products Limited (“BHIP”) as the investment manager of Brevan Howard

Liquid Portfolio Strategies – Brevan Howard Dynamic Global Investment Fund, and (ii) Brevan Howard Asset Management LLP

(“BHAM”) as the investment manager of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund.

Both BHAM and BHIP are indirect subsidiaries of the Manager.

The Manager has also appointed both BHAM and BHIP to provide certain ancillary services in respect of the Sub-Funds. BHAM has

delegated the provision of certain front-to-back office services and control support services with respect to the Sub-Funds (such services

having previously been performed by BHAM) to Coremont LLP, an indirect subsidiary of the Manager.

For each Sub-Fund, Class C Shares (and Class Cd Shares where applicable) may be held by the Directors and the Manager’s (and its

affiliates’) members or employees.

For each Sub-Fund, Class D Shares (and Class Dd Shares where applicable) may be held by the Manager’s (and its affiliates’) members.

Justin Egan is both a member of the Board of Directors and employed by an affiliate of the Management Company. Andrew Heyworth is

both a member of the Board of Directors and employed by an affiliate of the Manager.

10. Subsequent Events

In the second half of December 2018, Brevan Howard Master Fund Limited and the sole third-party investor redeemed their holdings in

Brevan Howard Liquid Portfolio Strategies - Diversified Strategies Fund. The Manager invested approximately USD1.6m to maintain

the minimum capital requirement of the SICAV whilst the board of directors considers the options available. The sub-fund’s assets are

currently being held in US Treasury Bills (or equivalent), for which the Manager has provided its consent.

USD

Brevan Howard Dynamic Global Investment Fund 10,923

Brevan Howard Diversified Strategies Fund 855,658


Affirmation of the Commodity Pool Operator

31 December 2018

21

Affirmation of the Commodity Pool Operator

31 December 2018

To the best of my knowledge and belief, the information detailed in these Audited Financial Statements is accurate and complete.

By:

Name: Jonathan Wrigley

Title: Group Head of Finance and Authorised Signatory

Brevan Howard Capital Management Limited as general partner of Brevan Howard Capital Management LP, the manager and commodity pool

operator of Brevan Howard Liquid Portfolio Strategies.

25 March 2019


Remuneration policy (Unaudited)

31 December 2018

22

The Management Company has designed and implemented a remuneration policy (the “Remuneration Policy”) in line with the provisions on

remuneration as set out by the European Directive 2009/65/EC (“UCITS Directive”), as amended by Directive 2014/91/EU (“UCITS V

Directive”) as implemented into Luxembourg in the Law of 10 May 2016 (the “2016 Law”).

The Management Company has developed and implemented remuneration policies and practices that are consistent with and promote a sound

and effective risk management of the Fund, do not encourage risk-taking which is inconsistent with the risk profiles/rules governing the Fund,

and do not impair compliance with the Management Company’s duty to act in the best interest of the Fund and ultimately its investors.

The Board of Directors of the Management Company is responsible for the design, implementation and regular review of the Remuneration

Policy. In reviewing the Remuneration Policy, the Board of Directors of the Management Company will consider whether the remuneration

framework operates as intended and ensure that the risk profile, long-term objectives and goals of the Fund are adequately reflected. No

material amendments were made to the Remuneration Policy and no irregularities were uncovered during the period under review.

Proportion of the total remuneration of the staff of the UCITS attributable to Brevan Howard Liquid Portfolio Strategies as of 31

December 20181.

The proportion of the total remuneration attributable to Brevan Howard Liquid Portfolio Strategies has been calculated on a pro rata basis and

on the basis of the total AUM of UCITS managed by the Management Company.

Number of beneficiaries Total remuneration

(EUR)2 Fixed remuneration in

percentage of total

Variable remuneration in

percentage of total

Total remuneration paid

to Identified Staff3 by the

Management Company

during the financial year

7 EUR 1,764,117 1.43% 0.44%

131 December is the financial year end of the Management Company.

2Total remuneration = sum of fixed remuneration and variable remuneration paid during the Management Company’s financial year.

3Identified Staff comprises = Chief Executive Officer, Conducting Officers and Head of Legal and Compliance.


Securities Financing Transaction Regulation (Unaudited)

31 December 2018

23

The Securities Financing Regulation (Regulation (EU) 2015/2365) (“SFTR”) came into force on 12 January 2016. Its aim is to improve

the transparency of securities financing transactions. The Manager has considered the SFTR and concluded that no disclosures are

required in the Notes to the Financial Statements with regards to Brevan Howard Dynamic Global Investment Fund as this sub-fund did

not enter into any securities financing transactions, as defined in the SFTR, during the year ended 31 December 2018.

The following disclosures relate to Brevan Howard Diversified Strategies Fund.

During the year, the Sub-Fund entered Total Return Swaps on equities and Total Return Swaps on government bonds (“Bond TRSs”) but

no Total Return Swaps were held as at 31 December 2018.

Global Data:

The absolute amount of assets engaged as part of Equity Swaps as at 31 December 2018 was USD Nil.

Concentration Data and Aggregate Transaction Data:

All Equity Swaps are traded bilaterally with Credit Suisse Securities (Europe) Limited, a company incorporated under the laws of

England and Wales. All Bond TRSs have been traded bilaterally with Citigroup Global Markets Ltd.

The types of assets that can be subject to Total Return Swaps are government bonds and listed equities. The equity swaps are traded with

a one year maturity. The Bond TRSs are typically traded with a maturity of one to two weeks.

Securities received as collateral by the Sub-Fund in relation to Equity Swaps and Bond TRSs are not reused.

The Sub-Fund’s Assets and the collateral received by the relevant Sub-Fund in relation to over the counter (“OTC”) Derivatives

(including Equity Swaps and Bond TRSs) are safe-kept by the Depository and its sub-custodians/correspondents in a segregated manner.

The overall gain/(loss) on the Total Return Swaps for the year was USD (1,459,047) for Equity Swaps and USD $424,573 for Bond

TRSs. This includes a financing cost of USD (701,098) for Equity Swaps and financing income of USD 12,138 for Bond TRSs.

Any returns or losses generated by the Total Return Swaps are for the benefit of the Sub-Fund.

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