Blue Capital Global Reinsurance Fund Limited Issues Half Yearly Report

Hamilton, Bermuda: 28 August 2014 - The Company has today, in accordance with DTR 6.3.5, released its Half Yearly Report for the period ended 30 June 2014.

CHAIRMAN'S STATEMENT

On behalf of the Board of Directors (the “Directors”) of Blue Capital Global Reinsurance Fund Limited (the “Company”), I am very pleased to present the Company’s interim report for the six month period ended 30 June 2014.

The Company was admitted to trading on the Specialist Fund Market of the London Stock Exchange on 6 December 2012, successfully raising US$100.1 million. In April 2013, the Company put in place a 12-month placing programme and subsequently during that period raised combined gross proceeds of US$75.3 million.  In May 2014, the Company raised an additional US$6.9 million in a private placement.

Capital Deployment

The Company’s investment in Blue Capital Global Reinsurance SA-I (the “Master Fund”) at 30 June 2014 was US$179.5 million, representing all of the Company’s capital excluding that retained for working capital purposes.

As at 30 June  2014, the Master Fund has invested 89% of its assets in reinsurance-linked instruments at the Master Fund and preferred shares of Blue Water Re Ltd. (the “Reinsurer”), which in turn has deployed US$160 million of funds across 57 different positions and 45 different clients.  The bulk of the Master Fund’s remaining deployable capital was invested in further preferred shares issued by the Reinsurer during July and August 2014. A further breakdown of the exposure of the portfolio is set out in the Investment Manager’s Report, below.

Performance

During the first half of 2014, the Net Asset Value of the Company’s Ordinary Shares increased by approximately 1.0% after the impact of dividends declared. The NAV per Ordinary Share moved from US$1.0751 at 31 December 2013 to US$1.0416 per share, with a US$0.044 per share dividend declared in January. The Ordinary Shares traded at an average premium to their Net Asset Value of 3.0%.  As discussed in the Investment Manager’s Report below, most of the portfolio has been allocated to U.S. wind-related risks, for which the premiums are earned between July and October.

During the first half of 2014, the Company issued statements in relation to weather events and premium adjustments that occurred during the period.  The weather events occurred in the U.S. (tornado) and Europe (windstorm) during May and June and had a combined impact of approximately US$0.005 per Ordinary Share.    Premium adjustments represent increases or decreases to premium revenue and occur in the ordinary course of reinsurance activity.  These adjustments, which were announced in connection with the Company’s results for March and April, also had a combined net negative impact of approximately US$0.005 per Ordinary Share.

Dividend

As noted above, the Company declared a dividend of US$0.044 per Ordinary Share in January 2014.  On 28 July 2014, the Company declared a dividend of US$0.032 per Ordinary Share. The Directors’ current intention that, save for unforeseen circumstances, the second distribution in respect of the six months ended 31 December 2014 (expected to be paid in March 2015), will be for approximately the same amount.^[1]

OUTLOOK

Looking ahead to the second half of the year, while little direct reinsurance will be bound prior to the January renewals, Blue Capital Management Ltd. (“the “Investment Manager”) will continue to look for opportunities to improve our portfolio and position us for the upcoming renewal season.

The Company is pleased with the diversified portfolio that the Investment Manager has created, which has attractive risk-adjusted return characteristics, consistent with the investment objectives.

On 15 May 2014, shareholders approved all the resolutions at the Annual General Meeting, including the resolution to allot New Shares for cash for the purposes of the 2014 Placing Programme. The Directors will consider putting in place such a programme in due course, subject to the level of demand for the Company's shares.

John R. Weale

Chairman