Blue Capital Global Reinsurance Fund Limited: Portfolio Update

Hamilton, Bermuda: 03 February 2016 - Blue Capital Global Reinsurance Fund Limited (the "Company") today provided an update on the January 2016 reinsurance renewals.  The filing stated: 

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 2016 reinsurance renewals.

Adam Szakmary, President and CEO of Blue Capital Management Ltd. ("Blue Capital"), commented: "We are pleased to report that in BCGR’s third full year of operations, the Company has continued to deliver very attractive returns to investors consistent with the preferred access Blue Capital provides to the traditional reinsurance market.  The Company posted a total Net Asset Value (“NAV”) return (inclusive of dividends) of 9.6 per cent. in 2015, an increase of approximately 80 basis points from the previous year.

The Company is also pleased to confirm its successful underwriting execution during the key January renewal period.  Although pricing pressures persisted during this renewal period, we successfully grew our deployed capacity, improved the diversification of our portfolio and maintained expected profitability in line with our targeted returns.  We remain confident that we can continue to deliver attractive un-correlated returns to shareholders."

The Company’s total investments after the January 2016 renewals grew by US$9.8 million year over year, resulting in a total investment of US$208.5 million in Blue Capital Global Reinsurance SA-1 (the "Master Fund").

The Master Fund has invested substantially all of its assets in: (i) preferred shares of Blue Water Re Ltd., (ii) industry loss warranty (“ILW”) derivatives and (iii) one catastrophe bond. The combined investments represent the deployment of US$193.8 million across 102 different positions and 47 different clients generating US$44.6 million of net insurance premium written and fixed ILW payments which is an increase of US$8.4 million from the previous year.  Growth in premium is directly attributable to the investment policy changes and portfolio construction adjustments made to the portfolio in response to changes in market conditions since the Company’s initial public offering.

A further breakdown of the current portfolio is set out below.

Inforce Portfolio Return Summary¹

^{1 The in force portfolio return summary is provided for illustrative purposes only. The projections are derived by reference to the Company's portfolio as at 1 January 2016 and do not take into account actual costs, expenses or other factors which are not attributable to the portfolio. As such, the in force portfolio return summary should not in any way be construed as forecasting the Company’s actual returns should no losses occur or otherwise.}

^{2 Net aggregate return distribution between a mean and median catastrophe year.}

Capital Investment Summary

The following unaudited tables provide a breakdown of the current fair value of the Company’s portfolio investments by contract type, zone and peril (as at 1 January 2016).

^{XOL = excess of loss                    ILW = industry loss warranty}                  

^{*Underlying positions held within the quota share retrocessional agreements total 1,565.}

Probable Maximum Loss

The exposures summarised below represent the sum of all collateral invested less reinsurance recoverable.  Per the Company’s Investment Policy, the net first event Probable Maximum Loss (“PML”) in any one zone will not exceed 35 per cent. of the Company’s NAV (at the time the investment is made).  For contracts that overlap zones, the total exposure is counted in each of the exposed zones.

^{1 Value at Risk (“VaR”) represents the 99.0 percentile or the 1 in 100 year event for windstorm perils and the 99.6 percentile or the 1 in 250 year event for earthquake perils.}

For further information please contact:

Adam Szakmary,
President and CEO, Blue Capital Management Ltd. +1 441-278-0485

Adam.szakmary@bluecapital.bm

Gary Gould/Alex Collins +44 20 7029 8000

Jefferies International Limited

Notes to editors

Blue Capital, which serves as the investment manager for both the Company and Blue Water Master Fund Ltd. and as the insurance manager for Blue Water Re 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 Endurance Specialty Holdings Ltd. (NYSE: ENH, "Endurance"), a recognized global specialty provider of property and casualty insurance and reinsurance since 2001. Endurance acquired Blue Capital as part of its acquisition of Montpelier Re Holdings Ltd. in July 2015. Additional information can be found at www.bcgr.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 8 per cent. per annum¹ to be achieved over the longer term, net of fees.

^{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.}