Blue Capital Global Reinsurance Fund Limited proposal to revise the investment policy and performance fees.

Hamilton, Bermuda: 08 December 2015 - Blue Capital Global Reinsurance Fund Limited (the "Company" or "BCGR"), announced a proposal to revise investment policy and performance fees.  The filing stated:

Following discussions with the Investment Manager, the Board now believes that it is in the best interests of the Company and the Shareholders as a whole to revise the Company's (and the Master Fund's) investment policy in advance of the January 2016 reinsurance cycle (the "Revised Investment Policy").  In connection with this, and its long-term view of the property catastrophe market, the Board also believes that it is appropriate to: (a) reduce the Company's target return (the "Revised Target Return"); and (b) modify the calculation of the Performance Fee paid to the Investment Manager by the Master Fund (the "Modified Performance Fee").

The Revised Investment Policy

The key changes proposed to the investment policy are as follows:

•        the formal adoption of investment guidelines and restrictions relating to the classes of reinsurance (e.g. indemnity reinsurance, indemnity retrocession, quota share, etc.) in which the Master Fund may invest.;

•       the adjustment to certain maximum net aggregate exposure and net probable maximum loss limits, enabling the Master Fund to have more flexibility to pursue exposure to particular zones (being specific occurrences of specific perils in specific geographical regions) ; and

•      the removal of the prohibition on the Master Fund from investing directly in contracts or securities with a premium of less than 5 per cent. of the limit exposed to a single event.

A full copy of the Revised Investment Policy is set out in the Circular (as defined below), a copy of which is available on the Company's website at http://ir-bcgr.bluecapital.bm.

The Revised Target Return

To better reflect the expected long-term market conditions, the Company believes that, with effect on and from 1 January 2016, it is appropriate to change its target net return from LIBOR plus 10% per annum to LIBOR plus 8% per annum, to be achieved over the longer term¹. For the avoidance of doubt, the Company's distribution target remains unchanged, being an annualised dividend yield of LIBOR plus 6% per annum on the original issue price of its Ordinary Shares in December 2012¹. 

The Modified Performance Fee

Under the terms of the Underwriting and Insurance Management Agreement, the Performance Fee payable by the Master Fund to the Investment Manager is calculated (inter alia) by reference to a Performance Hurdle and a Performance Trigger.  Broadly, a Performance Fee is paid in respect of a particular Performance Period on profits over the Performance Hurdle, but only if the profits exceed the Performance Trigger.

In connection with the Revised Target Return and the adoption of the Revised Investment Policy, the Board believes that, in light of long-term market expectations, the Investment Manager will be more appropriately incentivised and more closely aligned with the Company's interests if the Performance Trigger is reduced from LIBOR plus 10% to LIBOR plus 8%, meaning that annual performance has to meet the lower Revised Target Return for a Performance Fee to be paid.  However, it is also proposed that the Performance Hurdle is increased from LIBOR plus 3% to LIBOR plus 5%, meaning that the Performance Fee will only be paid on profits over a higher threshold than is currently in place.

Publication of Circular

The Revised Investment Policy represents a material amendment to the Company's investment policy, which requires the approval of Shareholders.  Adopting the Modified Performance Fee does not require the approval of Shareholders; however, the Board believes that seeking Shareholder approval for these changes represents sound corporate governance and consistent with these principles, Montpelier Reinsurance Ltd., an affiliate of the Investment Manager and the holder of 25.1% of the Company's Ordinary Shares, has agreed with the Board to abstain from voting in relation to the Modified Performance Fee. If approved, it is intended that the Revised Investment Policy and the Modified Performance Fee will have effect on and from 1 January 2016.  The Revised Target Return is not subject to Shareholder approval and the Board will adopt the Revised Target Return with effect on and from 1 January 2016 regardless of whether or not the other proposals are approved.

Accordingly, the Company  published a circular on 4 December 2015 (the “Circular”) seeking Shareholders' approval for the adoption of the Revised Investment Policy and the Modified Performance Fee at a Special General Meeting to be held at 9 a.m. (Bermuda time) on 21 December 2015.  The Circular, setting out details of the proposals outlined above,  is available on the Company's website at http://ir-bcgr.bluecapital.bm.

Unless otherwise defined, capitalised words and phrases in this announcement shall have the meaning given to them in the Circular.

For further information please contact:

Adam Szakmary, Chief Executive Officer                                       +1 441-278-0485

Blue Capital Management Ltd

adam.szakmary@bluecapital.bm

Gary Gould/Alex Collins                                                              +44 20 7029 8000

Jefferies International Limited

Note 1: Shareholders should note that the return and distribution targets are targets only and not profit forecasts. There can be no assurance that these targets will be met and they should not be viewed as an indication of the Company's expected or actual results