BH CREDIT CATALYSTS LIMITED - Monthly Shareholder Report - July 2014

BH Credit Catalysts Limited

                 MONTHLY SHAREHOLDER REPORT:
                 JULY 2014

                 YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT

BH Credit        Overview
Catalysts
Limited          BH Credit Catalysts Limited ("BHCC") is a closed-ended investment company,
                 registered and incorporated in Guernsey on 19 October 2010 (Registration
Manager:         Number: 52520).

Brevan Howard    BHCC invests all of its assets (net of short-term working capital) in the
Capital          ordinary shares of Brevan Howard Credit Catalysts Master Fund Limited (the
Management LP    "Fund").The investment manager of the Fund is DW Investment Management, LP
("BHCM")         ("DWIM").

Administrator:   BHCC was admitted to the Official List of the UK Listing Authority and to
                 trading on the Main Market of the London Stock Exchange on 14 December 2010.
Northern Trust
International
Fund
Administration   Total Assets
Services
(Guernsey)       $240mm1
Limited
("Northern       1. As at 31 July 2014 by BHCC's administrator, Northern Trust.
Trust")

Corporate
Brokers:

J.P. Morgan
Cazenove

Dexion Capital
Plc

Listing:

London Stock
Exchange(Premium
Listing)


Summary
Information
                 BH Credit Catalysts Limited NAV per Share (as at 31 July 2014)

                 Share            NAV (USD   NAV per
                 Class            mm)        Share

                 USD Shares       55.7       $14.00

                 GBP Shares       184.0      £14.06


                 BH Credit Catalysts Limited NAV per Share % Monthly Change

                 USD  Jan  Feb  Mar  Apr  May   Jun   Jul  Aug   Sep   Oct   Nov   Dec   YTD
                 2011 1.78 1.55 0.91 2.14 -0.03 -2.16 0.50 -0.37 -0.96 -0.50 -1.49 -0.50 0.81
                 2012 0.64 1.15 2.36 1.51 1.17  -0.10 1.38 1.39  1.65  0.80  0.73  1.26  14.83
                 2013 1.73 0.24 1.19 1.07 1.74  -0.52 0.16 1.07  1.18  1.68  1.70  1.52  13.50
                 2014 1.07 1.43 0.49 1.51 0.85  1.47  0.58                               7.63

                 GBP  Jan  Feb  Mar  Apr  May  Jun   Jul  Aug   Sep   Oct   Nov   Dec   YTD
                 2011 1.74 1.54 0.95 2.08 0.05 -2.16 0.51 -0.33 -0.93 -0.50 -1.49 -0.47 0.89
                 2012 0.64 1.15 2.40 1.50 1.22 -0.06 1.40 1.36  1.62  0.81  0.75  1.26  14.95
                 2013 1.76 0.27 1.20 1.05 1.81 -0.52 0.18 1.06  1.13  1.71  1.68  1.54  13.62
                 2014 1.08 1.43 0.53 1.51 0.88 1.48  0.63                               7.78

                 Source: Fund data is provided by the administrator of the Fund, International
                 Fund Services (Ireland) Limited. BHCC NAV and NAV per Share data is provided
                 by BHCC's administrator, Northern Trust. BHCC NAV per Share % Monthly Change
                 is calculated by BHCM. BHCC NAV data is unaudited and net of all investment
                 management fees (2% annual management fee and 20% performance fee) and all
                 other fees and expenses payable by BHCC.

                 NAV performance is provided for information purposes only. Shares in BHCC do
                 not necessarily trade at a price equal to the prevailing NAV per Share.

                 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

ASC 820 Asset
Valuation
Categorisation*  Brevan Howard Credit Catalysts Master Fund Limited

                 Unaudited Estimates as at 31 July 2014

                         % of Gross Market Value*
                 Level 1                      54
                 Level 2                      42
                 Level 3                       4

                 Source: BHCM

                 * These estimates are unaudited and have been calculated by BHCM using the
                 same methodology as that used in the most recent audited financial statements
                 of the Fund. These estimates are subject to change.

                 Level 1: This represents the level of assets in the portfolio which are
                 priced using unadjusted quoted prices in active markets that are accessible
                 at the measurement date for identical, unrestricted assets or liabilities.

                 Level 2: This represents the level of assets in the portfolio which are
                 priced using either (i) quoted prices that are identical or similar in
                 markets that are not active or (ii) model-derived valuations for which all
                 significant inputs are observable, either directly or indirectly in active
                 markets.

                 Level 3: This represents the level of assets in the portfolio which are
                 priced or valued using inputs that are both significant to the fair value
                 measurement and are not observable directly or indirectly in an active
                 market.
Performance      The information in this section has been provided to BHCC by DWIM.
Review for the
Fund

                 The NAV per share of BHCC USD Shares appreciated by 0.58% (net of fees and
                 expenses) in July. Company specific investments as a whole detracted from
                 returns on the month, but these losses were more than offset by gains in the
                 Fund's collateralised positions.

                 In July, price declines across equity and credit markets made for a difficult
                 backdrop for many of the Fund's company specific investments. In many ways,
                 July felt like a reversal of June: distressed and corporate structured
                 holdings posted small losses, while the performing long/short strategy saw
                 low level declines across a number of positions and was the largest detractor
                 by strategy for the month. In particular, those positions structured with a
                 long credit leg and a short equity leg posted mark-to-market losses as
                 credit, particularly HY, underperformed equity markets in July. The largest
                 detractor in the corporate strategy was the Fund's position in US homebuilder
                 Beazer Homes. The Fund had gains in Beazer last year, but has lost money so
                 far this year, as Beazer, along with other homebuilders have lost sales due
                 to particularly bad weather in the first quarter of 2014. In July, Beazer
                 announced operating results that disappointed the market in key areas such as
                 balance sheet efficiency and the pace at which the company has opened newly
                 developed communities. While we were disappointed with Beazer's second
                 quarter reported results, we retain our conviction in the prospects for
                 progress at the company going forward.

                 The Fund's mortgage- and asset-backed positions bucked the broader July trend
                 of price declines in risk assets. Although broad-based indices of higher
                 dollar price MBS/ABS fell in July in line with the broader markets, the more
                 credit sensitive, special situation positions that the Fund holds in the
                 residential and commercial mortgages were more resilient. Hedges also
                 contributed to the Fund's performance across collateralised strategies.

                 In terms of market news, as broadly expected, Trustees of MBS where JP Morgan
                 had proposed settling "put back" litigation received expert opinions
                 generally supporting the appropriateness of JP Morgan's proposed settlement
                 amounts, making it that much more likely that Trustees may accept JP Morgan's
                 settlement offer for the majority of RMBS trusts in question. Also in July,
                 BlackRock auctioned a large legacy portfolio of residential mortgage-backed
                 securities from a vehicle that had reached the end of its investment period.
                 The auction provided a welcome source of bonds to the market, where new
                 supply has been somewhat lacking in recent months.

Investment       The information in this section has been provided to BHCC by DWIM.
Manager's Market
Review and
Outlook
                 For most asset classes, the start of July was fairly benign, continuing the
                 steady upward trend in prices established during the second quarter. However,
                 better than expected second quarter US GDP results (second quarter GDP
                 annualisedgrowth was 4% in contrast to market expectations of 3%; first
                 quarter GDP was also revised upward from -2.9% to -2.1%) changed the tone
                 into month end, as the market became concerned that monetary conditions might
                 tighten sooner than previously expected. Interest rates moved upward briefly
                 (10 year US Treasuries went from sub 2.5% yields to as high as 2.6%
                 intraday), but most of the negative impact was felt in risk assets as
                 equities fell nearly 1.5% and high yield credit widened nearly 20bp on the
                 last day of the month.

                 In credit markets, the asset class that fell the most in July was high yield
                 corporate bonds. Ignoring the interest rate component of high yield bonds,
                 spreads widened from 303bp on 30 June to 344bp by 31 July. The catalyst
                 appeared to be retail selling, with outflows from high yield mutual funds and
                 ETFs of nearly 4% of AUM.

                 Many in the financial press have looked to link the back-up in high yield
                 spreads with concerns regarding market liquidity. While we believe it is
                 important for all credit investors to have a healthy concern regarding
                 liquidity, we are somewhat wary of jumping on the "liquidity collapse"
                 bandwagon. We found the market response to a nearly 4% outflow from high
                 yield mutual funds and ETFs to be fairly robust. In past periods of similarly
                 large outflows, prices have generally fallen more than was the case in July
                 (approximately 3% on average compared to the approximately 1% drop in July),
                 indicating demand from institutional channels for high yield assets. Volumes
                 also held up over the month, with institutional high yield trade volume
                 tracking approximately on par with volume traded year to date.

                 Price action in other segments of credit markets was more subdued: investment
                 grade spreads (CDX Investment Grade) moved from L+59bp to L+64bp, while (high
                 yield) bank loan prices dropped by only 0.25% to 98.9%.

                 Headline indices related to the mortgage- and asset-backed sectors weakened
                 somewhat in July, broadly in line with risk assets - the Bank of
                 America/Merrill Lynch ABS/CMBS bond index fell 32bp on the month (versus Bank
                 of America/Merrill Lynch BBB bond index which lost 53bp). US housing data was
                 mixed for the month, as existing home sales held up well relative to market
                 expectations, while Case-Shiller and CoreLogic house price levels showed
                 slight declines month-over-month on a seasonally adjusted basis, and new home
                 sales - the area of greatest weakness year to date - continued their sluggish
                 trend.

                 In broad commercial real estate markets, July saw an uptick in the issuance
                 of new commercial mortgage-backed securities. 2014 had been running behind
                 2013 in terms of total CMBS new issuance, but following the pickup in June
                 and July, 2014 is now slightly ahead of 2013, leading some to question the
                 market's ability to fully absorb this recent increase in issuance, as well as
                 new issues expected to come to market before year end.

Enquiries        Northern Trust International Fund Administration Services (Guernsey) Limited

                 Harry Rouillard [phone]


Important Legal Information and Disclaimer

BH Credit Catalysts Limited ("BHCC") is a feeder fund investing in Brevan
Howard Credit Catalysts Master Fund Limited (the "Fund"). Brevan Howard
Capital Management LP ("BHCM") and DW Investment Management, LP ("DWIM") have
supplied certain information herein regarding BHCC's and the Fund's
performance and outlook.

The material relating to BHCC and the Fund included in this report is provided
for information purposes only, does not constitute an invitation or offer to
subscribe for or purchase shares in BHCC or the Fund and is not intended to
constitute "marketing" of either BHCC or the Fund as such term is understood
for the purposes of the Alternative Investment Fund Managers Directive as it
has been implemented in states of the European Economic Area. This material is
not intended to provide a sufficient basis on which to make an investment
decision. Information and opinions presented in this material relating to BHCC
and the Fund have been obtained or derived from sources believed to be
reliable, but none of BHCC, the Fund, BHCM or DWIM make any representation as
to their accuracy or completeness. Any estimates may be subject to error and
significant fluctuation, especially during periods of high market volatility
or disruption. Any estimates should be taken as indicative values only and no
reliance should be placed on them. Estimated results, performance or
achievements may materially differ from any actual results, performance or
achievements. Except as required by applicable law, BHCC, the Fund, BHCM and
DWIM expressly disclaim any obligations to update or revise such estimates to
reflect any change in expectations, new information, subsequent events or
otherwise.

Tax treatment depends on the individual circumstances of each investor in BHCC
and may be subject to change in the future. Returns may increase or decrease
as a result of currency fluctuations.

You should note that, if you invest in BHCC, your capital will be at risk and
you may therefore lose some or all of any amount that you choose to invest.
This material is not intended to constitute, and should not be construed as,
investment advice. All investments are subject to risk. You are advised to
seek expert legal, financial, tax and other professional advice before making
any investment decisions.

THE VALUE OF INVESTMENTS CAN GO DOWN AS WELL AS UP. YOU MAY NOT GET BACK THE
AMOUNT ORIGINALLY INVESTED AND YOU MAY LOSE ALL OF YOUR INVESTMENT. PAST
PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS.

Risk Factors

Acquiring shares in BHCC may expose an investor to a significant
risk of losing all of the amount invested. Any person who is in any doubt
about investing in BHCC (and therefore gaining exposure to the Fund) should
consult an authorised person specialising in advising on such investments. Any
person acquiring shares in BHCC must be able to bear the risks involved. These
include the following:

- The Fund is speculative and involves substantial risk.

- The Fund will be leveraged and will engage in speculative
investment practices that may increase the risk of investment loss. The Fund
may invest in illiquid securities.

- Past results of the Fund's investment manager are not necessarily
indicative of future performance of the Fund, and the Fund's performance may
be volatile.

- An investor could lose all or a substantial amount of his or her
investment.

- The Fund's investment manager has total investment and trading
authority over the Fund, and the Fund is dependent upon the services of the
investment manager. The use of a single advisor could mean lack of
diversification and, consequently, higher risk.

- Investments in the Fund are subject to restrictions on withdrawal
or redemption and should be considered illiquid. There is no secondary market
for investors' interests in the Fund and none is expected to develop.

- The investment manager's incentive compensation, fees and
expenses may offset the Fund's trading and investment profits.

- The Fund is not required to provide periodic pricing or valuation
information to investors with respect to individual investments.

- The Fund is not subject to the same regulatory requirements as
mutual funds.

- A portion of the trades executed for the Fund may take place on
foreign markets.

- The Fund and its investment manager are subject to conflicts of
interest.

- The Fund is dependent on the services of certain key personnel,
and, were certain or all of them to become unavailable, the Fund may
prematurely terminate.

- The Fund's managers will receive performance-based compensation.
Such compensation may give such managers an incentive to make riskier
investments than they otherwise would.

- The Fund may make investments in securities of issuers in
emerging markets. Investment in emerging markets involve particular risks,
such as less strict market regulation, increased likelihood of severe
inflation, unstable currencies, war, expropriation of property, limitations on
foreign investments, increased market volatility, less favourable or unstable
tax provisions, illiquid markets and social and political upheaval.

The above summary risk factors do not purport to be a complete
description of the relevant risks of an investment in shares of BHCC or the
Fund and therefore reference should be made to publicly available documents
and information.