Blue Capital Global Reinsurance Fund Limited Provides Update On January 2015 Reinsurance Renewals

Hamilton, Bermuda: 11 March 2015 - Blue Capital Global Reinsurance Fund Limited (the "Company" or "BCGR"), whose shares are admitted to trading on the London Stock Exchange's Specialist Fund Market (ticker: BCGR) and the Bermuda Stock Exchange, is pleased to provide an update on the January 2015 reinsurance renewals. Capitalised terms not otherwise defined herein have the meanings assigned to them in the Company’s Prospectus dated 20 November 2014:

William Pollett, President and CEO of Blue Capital Management Ltd. ("Blue Capital"), commented:

"We are pleased with our 2014 results in spite of the challenging market conditions, posting a total NAV return (including dividends) of 8.8 per cent."

"Overall, we witnessed a competitive underwriting environment with healthy competition from traditional and alternative markets over the important January 2015 renewal period. Blue Capital's differentiated product focus on collateralized reinsurance transactions with smaller, regional insurance companies enabled it to sidestep the most competitive market segments. Overall, the January trades were executed with an average risk adjusted rate decrease of approximately 13 per cent. compared to last year. Despite these rate decreases, we remain confident that we can deliver attractive returns for our Shareholders."

The Company expects to publish a supplementary prospectus containing further details of the current portfolio in due course.

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 for institutional and retail investors. Catastrophe reinsurance is an alternative asset class the returns from which have historically been largely uncorrelated to those of other asset classes including global equities, bonds, hedge funds and other alternative investments.

Blue Capital is wholly owned by Montpelier Re Holdings Ltd. (NYSE: MRH, "Montpelier "), a leading global provider of property catastrophe and short tail reinsurance solutions with over US$4.0 billion of assets. By leveraging Montpelier'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.

The Company targets a dividend yield of LIBOR plus 6 per cent. per annum¹ on the original issue price of the Ordinary Shares in December 2012 and a net return to Shareholders (comprised of dividends and other distributions to Shareholders together with increases in the Company's Net Asset Value) of LIBOR plus 10 per cent. per annum¹ to be achieved over the longer term, net of fees.

Investment Policy Amendments

The Company recently made several minor amendments to its Investment Policy. The amendments clarify the application of certain constraints in cases where the Company uses quota share and stop loss agreements to gain exposure to multiple underlying reinsurance contracts. Prior to adopting the amendments to the Investment Policy, the Company’s Board of Directors determined that the amendments were not material in nature and therefore did not require shareholder approval.

The amendments to the Investment Policy are summarized as follows:

1.            The Investment Policy limits the Master Fund’s exposure to any one catastrophe linked contract or security to 20 per cent. of its net asset value. The first revision specifies that, in the case of quota share and stop loss agreements, analysis under this constraint “looks through” any quota share and stop loss agreements to the underlying reinsurance contracts.

2.            The Investment Policy prevents the Master Fund from investing in a reinsurance contract or security with a premium of less than 5 per cent. of the limit exposed to a single event (a “Low Premium Risk”). The second revision clarifies that this constraint applies only to individual reinsurance contracts, and that the Master Fund may gain exposure to Low Premium Risks indirectly through a quota share or stop loss agreement. 

3.            The last amendment clarifies that the Company may enter into stop loss agreements in addition to quota share agreements with rated reinsurers, including Montpelier Re, a wholly-owned subsidiary of Montpelier.

The full text of the Company’s Investment Policy is presented below.

INVESTMENT POLICY

The Company

The Company seeks to achieve its investment objective by investing all of its assets (other than cash or near cash pending distribution to Shareholders or investment in the Master Fund and any funds required for short-term working capital purposes) in the Master Fund. The Master Fund invests in a diversified portfolio of fully collateralised reinsurance-linked contracts and other investments carrying exposures to insured catastrophe event risks.

The Company's published investment policy is consistent with that of the Master Fund which is set out below. The Master Fund SAC has agreed pursuant to the Control Agreement that it will not amend the Master Fund's investment policy without the consent of the Company.

The Company may not borrow for investment purposes, however borrowings may be used for the purposes of funding repurchases of Ordinary Shares or managing other working capital requirements. In each of these circumstances, the Company is limited to borrowing an amount equivalent to a maximum of 20 per cent. of its Net Asset Value, at the time of draw down.

The Directors do not currently intend to propose any material changes to the Company's investment policy, save in the case of exceptional or unforeseen circumstances. Any material change to the investment policy of the Company will be made only with the approval of Shareholders.

The Master Fund

The investment objective of the Master Fund is to generate attractive returns by investing in a diversified portfolio of fully collateralised reinsurance-linked contracts and other investments carrying exposures to insured catastrophe event risks.

The Master Fund predominantly invests in fully collateralised reinsurance-linked contracts through preference shares issued by the Reinsurer which in turn writes the reinsurance contracts with the ceding companies.

The Master Fund's investment in other reinsurance-linked investments carrying exposure to insured  catastrophe event risks such as Industry Loss Warranties, Cat Bonds and other Insurance-Linked Instruments may be made directly by the Master Fund or indirectly via the Reinsurer.

In order to ensure that the Master Fund has a spread of investment risk, the Master Fund has adopted the following investment restrictions:

·         The portfolio will be diversified geographically with an emphasis on the 20 regions set out below:

·         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 geographical regions (as outlined above), peril and occurrence. Examples of individual zones include, but are not limited to: USA Florida Windstorm 1st event; USA Florida Windstorm 2nd event; UK and Ireland Windstorm 1st event; UK and Ireland Windstorm 2nd event; USA California Earthquake 1st event; Japan Earthquake 1st event; and USA Midwest Aggregate.

·         The net probable maximum loss (i.e. net of (a) reinsurance recoverable, (b) net unearned premiums on loss impacted contracts, and (c) any reinstatement premiums receivable) from any one catastrophe loss event at the one in one hundred year return period will not exceed 25 per cent. of the Master Fund's Net Asset Value.

·         The net probable maximum loss (i.e. net of (a) reinsurance recoverable, (b) net unearned premiums on loss impacted contracts and (c) any reinstatement premiums receivable) from any one earthquake loss event at the one in two hundred and fifty year return period will not exceed 25 per cent. of the Master Fund's Net Asset Value.

·         No more than 20 per cent. of the Master Fund's Net Asset Value will be invested in any one catastrophe linked contract or security. For avoidance of doubt, in the case of Quota Share or Stop Loss Agreements the analysis will look through to the underlying contracts.

·         The Master Fund will not invest directly in contracts or securities with a premium of less than 5 per cent. of the limit exposed to a single event. The Master Fund may invest in contracts with a premium of less than 5 per cent. of the limit exposed to a single event indirectly through a Quota Share or Stop Loss Agreement.

The investment restrictions above apply in respect of any new investment at the time of investment, using the information available to the Investment Manager at that time. This will include information on the existing portfolio contract limits and modelled loss exposures by zone as well as estimations of the potential impact on the portfolio limits and modelled loss exposures from unquantified external factors.

These factors include industry loss events that have the potential to cause loss to the Master Fund's portfolio, and changes in methodology for calculating modelled losses. Based on the information  available to the Investment Manager at the time, if a new investment being considered would cause an investment restriction to be breached, or if an investment restriction relevant to that new investment opportunity is already in breach, then that new investment shall not be made. The existence of investment restriction breaches does not preclude the Master Fund from making any new investments, it only restricts it from making new investments that would result in a new breach or exacerbate existing breaches of investment restrictions.

The Master Fund may, from time to time, directly or indirectly via the Reinsurer, purchase retrocessional protection to hedge against the impact of catastrophe events on the portfolio. The Master Fund may (but is not obliged to) undertake currency hedging for exposures in non-US Dollar currencies.

The Master Fund may, via the Reinsurer, enter into fronting arrangements with highly rated, sophisticated participants, or otherwise well capitalised insurance companies that pass the Reinsurance Manager's detailed credit review process, including Montpelier Re, under which such party will agree to enter into certain reinsurance contracts that are to be underwritten by the Reinsurer  and  such  party  will  transfer  all  risks  and  premiums  under  such  contracts  to  the Reinsurer via a collateralised retrocessional reinsurance contract. A fronting fee will be deducted from premiums paid to the Reinsurer, which will be calculated on an arm's length basis and will be limited to five per cent. of any premium paid. The purpose of such fronting arrangement is to permit the Master Fund to access attractive catastrophe reinsurance opportunities with counterparties who prefer to transact such business with a rated reinsurance company. Where it is  proposed  that  Montpelier  Re  acts  as  fronting  reinsurer,  the  Investment  Manager  has established procedures to deal with any potential conflicts of interest that may arise. Any such fronting services would only be supplied with the approval of the Directors, all of whom are independent of Montpelier Re. For the avoidance of doubt, the Master Fund may enter into Quota Share and Stop Loss Agreements with rated reinsurers, including Montpelier Re.  If transacted with Montpelier Re, the terms of the agreements will be at arm's length and approved in advance by the Directors.

The Master Fund may not borrow for investment purposes. Borrowings may however be used for the purposes of working capital requirements. In such circumstances, the Master Fund is limited to borrowing an amount equivalent to a maximum of 10 per cent. of its Net Asset Value, at the time of draw down.

Note 1: These are targets only and not profit forecasts. There can be no assurance that these targets will be met or that the Company will make any returns or distributions whatsoever or that investors will recover all or any of their investment. Prospective investors should decide for themselves whether or not the target returns and distributions are reasonable or achievable in deciding whether to invest in the Company.

For further information please contact:

William Pollett,
President and CEO, Blue Capital Management Ltd. +1 441-299-7576

bill.pollett@bluecapital.bm

Gary Gould/Alex Collins +44 20 7029 8000

Jefferies International Limited