Blue Capital Global Reinsurance Fund Limited - Update on the June 2015 reinsurance renewals

Hamilton, Bermuda – 09 July, 2015 – In a filing with the Bermuda Stock Exchange (“BSX”), Blue Capital Global Reinsurance Fund Limited (the "Company" or "BCGR"; BSX Ticker: BCGR.BH) today updated the BSX on the on the June 2015 reinsurance renewals. The filing reads:                           

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 June 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:

"Overall, following two years of aggressive price reductions due to an overabundance of capital, we witnessed a market showing signs of nearing a bottom with pricing down only 4 per cent. compared to last year on a risk adjusted basis. The stabilizing pricing environment was influenced in part by increased demand of approximately US$4 billion coming from both the Florida Hurricane Catastrophe Fund, which bought protection for the first time ever, and from insurance companies purchasing additional protection. There was also evidence that the reinsurance markets, both traditional and alternative, have started pushing back at overly aggressive price decreases advocated by the broker community with some programs not being completed on first attempt having to be re-priced to secure the required capacity. Blue Capital was well positioned to take advantage of these market dynamics, constructing an attractive portfolio."

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 billion of assets. As previously announced, Montpelier has entered into a definitive merger agreement pursuant to which it will be acquired by Endurance Specialty Holdings Ltd. (NYSE: ENH, “Endurance”) The merger remains subject to other customary closing conditions, including receipt of regulatory approvals. Endurance and Montpelier expect to complete the Merger early in the third quarter of 2015. 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.

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