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Blue Capital Global Reinsurance Fund Limited – Interim Management Statement
Hamilton, Bermuda – 06 November, 2014 – Blue Capital Global Reinsurance Fund Limited (the "Company" or "BCGR") has filed its latest interim Management statement to 30 September, 2014. The filing stated:
“This interim management statement has been produced solely to provide additional information to shareholders as a body to meet the relevant requirements of the UK Listing Authority’s Disclosure and Transparency Rules, as found in the FCA’s Handbook. It should not be relied upon by any other party or for any other purpose. All information is unaudited.
This interim management statement relates to the period from 1 July 2014 to 30 September 2014 and contains information that covers this period and up to the publication date for this interim management statement, unless otherwise specified. This interim management statement provides:
1. an explanation of material events and transactions that have taken place during the period under review and their impact on the financial position of the Company, as defined below; and
2. a general description of the financial position and performance of the Company during the period under review.
Overview
Blue Capital Global Reinsurance Fund Limited (the “Company”) is a closed-ended exempted mutual fund company of unlimited duration incorporated with limited liability in Bermuda on 8 October 2012. The Company is established as a feeder fund and invests substantially all of its assets in Blue Capital Global Reinsurance SA-I (the “Master Fund”). The Master Fund is a segregated account within Blue Water Master Fund Ltd., (the “Master Fund SAC”), a mutual fund company incorporated under the laws of Bermuda on 12 December 2011, and registered as a segregated account company under the Segregated Accounts Company Act 2000.
The Company was admitted to trading on the Specialist Fund Market of the London Stock Exchange on 6 December 2012. As at 30 September 2014, the Company had a market capitalisation of US$191.8 million and unaudited total net assets of US$191.9 million.
Investment Objective and Policy
The Company’s investment objective is to generate attractive returns from a sustainable annual dividend yield and longer term capital growth via the Master Fund’s investments in a diversified portfolio of fully collateralised reinsurance-linked contracts and other investments carrying exposures to insured catastrophe event risks which are largely uncorrelated to traditional asset classes. Blue Capital Management Ltd., the Company’s investment manager, is wholly owned by Montpelier Re Holdings Ltd. (NYSE, Ticker “MRH”), a recognised leader in property catastrophe reinsurance since 2001.
Material Events and Transactions
On 28 July 2014, the Company declared its dividend in respect of the six months ended 30 June 2014 of US$0.032 per Share, which was paid on 22 August 2014 to Shareholders on the register as at 8 August 2014.
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 Board is pleased to announce that, in the absence of unforeseen circumstances, it intends to proceed with the 2014 Placing Programme with the first placing anticipated to close in Q4 2014. The net proceeds raised pursuant to the Placing Programme are expected to be invested in fully collateralised reinsurance-linked contracts and other investments carrying exposures to insured catastrophe event risks in accordance with the Company's investment policy, with the majority of the net proceeds from the first placing to be invested in the January 2015 reinsurance renewals. A further announcement giving full details of the 2014 Placing Programme will be made in due course.
Portfolio News
Pricing pressure continued to increase during the important mid-year renewal period, resulting in risk-adjusted pricing decreases of approximately 15% compared to 2013. The largest price decreases were observed in the catastrophe bond and retrocessional markets, where the Company is underweight, and in the layers of reinsurance programs with the greatest risk and highest premium rates. In response to these competitive pressures, the Company elected not to renew several programs that were inadequately priced, replacing these exposures with layers that incorporated better pricing on a risk-adjusted basis. As a result, the Company’s portfolio is now earning less income but has a lower risk profile compared to 2013.
The table below illustrates the Company’s portfolio first-event exposure as at 30 September 2014, presenting the associated collateral invested for key zones as a percentage of the Master Fund’s net asset value:
US - Gulf WS 28%
US - Florida WS 27%
US - MidAtlantic WS 22%
US - NorthEast WS 17%
US - New Madrid WS 15%
US - New Madrid EQ 15%
US - Hawaii WS 14%
US - Midwest WS 14%
US - MidAtlantic EQ 14%
US - Northwest WS 13%
US - Northwest EQ 12%
US - Midwest EQ 11%
US - Hawaii EQ 11%
US - California EQ 11%
US - NorthEast EQ 11%
UK and Ireland WS 8%
Japan EQ 7%
Western Central Europe WS 7%
Northern Europe WS 7%
US - California WS 7%
Western Europe WS 7%
Southern Europe WS 6%
Eastern Europe WS 6%
Notes:
• WS = windstorm/hurricane, EQ = earthquake
• The maximum net aggregate exposure (i.e. the sum of all collateral invested less reinsurance recoverable) in any one zone will not exceed 35 per cent. of the Master Fund's net asset value (for these purposes, a zone is defined by a combination of geography, peril and occurrence).
• For contracts that overlap zones, the full policy limit is counted in each of the exposed zones.
• “Key zones” include the earthquake and windstorm/hurricane perils in geographic regions that represent exposures greater than 3% of the Master Fund net asset value.
• The key zones presented may also cover secondary perils. For example, some contracts exposed to US – Florida WS are also exposed to earthquake risk in the same region.
Company’s Financial Position as at 30 September 2014
NAV: $191.9 million
Market Capitalisation: $191.8 million
As described in the Company’s prospectus, the net asset value (“NAV”) and the NAV per share are both calculated monthly by the Company’s administrator based on the latest published NAV of the Master Fund.
Performance (%)
As at
30Sep14 1 month 3 months 1 year Annualised
since inception
Share Price $1.068 2.10% 4.76% 3.06% 9.31%
NAV per share $1.0682 2.43% 5.63% 8.55% 11.03%
The performance figures shown are inclusive of the following dividends:
• $0.019 declared and paid in August 2013
• $0.044 declared in January 2014 and paid in February 2014
• $0.032 declared in July 2014 and paid in August 2014
Other than set out above, the Board is not aware of any other significant events or transactions which have occurred between 30 September 2014 and the publication date of this interim management statement which would have a material impact on the financial position of the Company.
Note
Cautionary statement:
This interim management statement aims to give an indication of material events and transactions that have taken place during the period from 1 July 2014 to the date of this interim management statement and their impact on the financial position of the Company. These indications reflect the Company's current views. They are subject to a number of risks and uncertainties and could change. Factors which could cause or contribute to such differences include, but are not limited to general economic and market conditions and specific factors affecting the financial prospects or performance of individual investments within the Company's portfolio.
Please note that past performance is not necessarily a guide to the future and that the value of investments and the income from them may fall as well as rise. Investors may not get back the amount they originally invested”
-ends-
For further information please contact:
William Pollett
President and CEO, Blue Capital Management Ltd.
+1 441-299-7576