Blue Capital Global Reinsurance Fund Limited – Oklahoma Tornado

Hamilton, Bermuda – 23 May, 2013 – Blue Capital Global Reinsurance Fund Limited (the "Company" or "BCGR") has filed a management statement referencing the Oklahoma Tornado event of Monday, 20 May, 2013. The filing states:

“The Company has been provided the following information relating to the Oklahoma tornado of May 20, 2013 by Blue Capital Management Ltd. ("Blue Capital"), which serves as the investment manager for the Company:

On May 20th a 1.3 mile wide tornado tore through the town of Moore (pop. 55,000), a southern suburb of Oklahoma City, OK, USA. Over 200 people have been injured and current reports list 24 fatalities. This is the deadliest U.S. tornado since an EF-5 killed 161 people in Joplin, Missouri two years ago.  President Barack Obama has declared Oklahoma a major disaster area, ordering federal aid to supplement state and local efforts in Moore. The National Weather Service originally assigned the tornado a damage rank of EF-4 on the Enhanced Fujita Scale, and upgraded it to EF-5, the most powerful category of tornado, on May 21st.

Blue Capital has commenced its normal post-event procedures to estimate any loss to the Company. Based on current information, we do not expect this loss event to be material to the Company. We will provide an estimate of any potential loss in due course.

Blue Capital Management Ltd. ("Blue Capital"), which serves as the investment manager for both the Company and Blue Water Master Fund Ltd., provides innovative catastrophe reinsurance-linked investment products to institutional and retail investors. Catastrophe reinsurance is an alternative asset class whose returns have historically been largely uncorrelated to those of other asset classes including global equities, bonds and hedge funds.

Blue Capital is wholly owned by Montpelier Re Holdings Ltd. (NYSE: MRH, "Montpelier Re"), a leading global provider of property catastrophe and short tail reinsurance solutions with over US$4.0 billion of assets. By leveraging Montpelier Re's industry-leading proprietary systems, underwriting expertise, and deep broker and client relationships, Blue Capital differentiates itself by providing investors access to the entire catastrophe reinsurance market. More information is available at www.bluecapital.bm

For investor and media enquiries please contact:

William Pollett, President, Blue Capital           +1 441-299-7576

Gary Gould/Alex Collins, Jefferies     +44 20 7029 8000