CATCo Reinsurance Opportunities Fund Ltd. Interim Financial Report For the Six Months Ended 30 June 2016

Hamilton, Bermuda – August 12, 2016 – In a filing with the Bermuda Stock Exchange CATCo Reinsurance Opportunities Fund Ltd. (the "Company”; Ticker: CAT.BH), announces Interim Financial Report for the six months ended 30 June 2016.

CATCo Reinsurance Opportunities Fund Ltd. provides its Shareholders the opportunity to participate in the returns from investments linked to catastrophe reinsurance risks, principally by investing in fully collateralised reinsurance contracts and also via a variety of insurance-based investments.

CHAIRMAN’S STATEMENT

Welcome to the 2016 Interim Report of CATCo Reinsurance Opportunities Fund Ltd. (the “Company”). The Company has, in spite of the uptick in catastrophe losses around the globe, enjoyed a solid performance over the past six months, reflecting its highly diversified and significantly de-risked 2016 portfolio.

Despite a highly competitive reinsurance market, Markel CATCo Re Ltd. (the “Reinsurer”), through which the Company gains its reinsurance exposure via its investment in Markel CATCo Reinsurance Fund Ltd., maintained its robust book of business and at the same time took advantage of the plentiful capacity available to purchase additional catastrophe protection. As a result, the likelihood of losses being incurred has been significantly reduced, with the portfolio’s average risk profile down approximately 20 per cent compared to the 2015 portfolio.

Faced with this period of a protracted soft reinsurance market, the Company’s strategy continues to be one of prudent capital management whereby any excess capital will be returned to Shareholders if it cannot be effectively deployed.

However, in view of its proven reputation in the retrocessional reinsurance sector, now reinforced by the strength of the Markel brand, the Reinsurer saw an increase in demand from reinsurance clients leading to 100 per cent of the Company’s available capital being deployed as of 1 January 2016.

In addition to the capital raised in 2015, the Company raised an additional $10.89 million in March 2016 to meet a proportion of this new demand from reinsurance clients which occurred prior to the mid-year reinsurance contract renewals.

The Reinsurer’s success lies in the flexibility of its product enabling it to meet the individual preferences of each client, through a broad selection of geographic risk pillars which in turn provides diversification and reduced exposure to any one event. The benefit of this diversification is demonstrated by the fact that major insurance catastrophe losses in recent months are unlikely to have a significant impact on the 2016 portfolio, including the Fort McMurray wildfire, which is set to be Canada’s largest ever insurance loss.

As the Company enters the latter six months of 2016, the Investment Manager continues to target a 2016 net return in excess of LIBOR plus 9 to 12 per cent per annum.

Financial Performance

The NAV return for the Ordinary Shares for the first six months of 2016 was 4.86 per cent (2015: 4.47 per cent), benefiting from the release in the first quarter of 2016 of the loss reserve relating to the 2015 UK flood Side Pocket Investment. The NAV return for the C shares for the first six months of 2016 was 3.81 per cent.

The NAV Total Returns since Inception to 30 June 2016 of the Ordinary Shares issued on 20 December 2010, the C Shares issued on 20 May 2011, the C Shares issued on 16 December 2011 and the C Shares issued on 2 November 2015 were, respectively, 69.62 per cent, 94.43 per cent, 74.73 per cent and 3.81 per cent.

An annual dividend of $0.06619 for the year to 31 December 2015 in respect of Ordinary Shares was paid to holders of the Ordinary Shares on 26 February 2016.

Attritional Loss Reserve

As a consequence of the increasing diversity of the Company’s portfolio, the Reinsurer typically picks up a number of small (‘attritional’) losses. Notifications of a proportion of these losses are occasionally received towards the end of the financial year, an extended time after the event.

To offset this concentration of losses, which impacts the NAV towards the end of the year, the Company introduced a monthly attritional loss reserve of approximately 0.15 per cent. This was first included in the January 2016 NAV, and will result in an approximate 2 per cent reduction to be recorded in the NAV for the full year 2016. Any un-utilised attritional loss reserve will be reversed in December 2016.

Loss Reserves and Side Pocket Investment Releases

In January 2016, the Investment Manager announced that a proportion of the Side Pocket Investments (“SPI’s”) established in December 2015 would cover potential losses from the UK floods. During the first quarter of 2016, the Investment Manager was able to close the side pocket exposure to the UK floods and the related loss reserves were simultaneously released resulting in a 1 per cent appreciation in the Ordinary Share NAV.

On 1 May 2016, a wildfire started near Fort McMurray, Alberta and subsequently led to over 88,000 people being evacuated. The wildfire caused an estimated $3.2 billion in insured damage (source: PCS Canada®). Following recent discussions with the Reinsurer’s reinsurance clients, the Investment Manager recorded a specific loss reserve for the wildfire of approximately 1 per cent of NAV. The Investment Manager will continue to monitor the impact of the Canadian wildfire as clients release any additional loss information, and expects that any further loss development will be absorbed by the attritional loss reserve.

On 20 March 2016, oil production at the Jubilee Oil Field off the coast of Ghana halted, resulting in a potentially significant insured loss for the industry, which will be more accurately quantified when official estimates are forthcoming. The Investment Manager is monitoring the possible impact of this loss on the Company’s portfolio.

C Share Conversion

As at 30 June 2016, the SPI’s established in 2014 remain at approximately 1.5 per cent of the Ordinary Share NAV (31 Dec 2015: 1.5 per cent) whilst the SPI’s established in 2015 represent 3.8 per cent of the Ordinary Share NAV (31 Dec 2015: 5.5 per cent).

As such, the combined 2014 and 2015 SPI’s amount to 5.3 per cent of the Ordinary Share NAV, which the Board deems to be a material amount as it relates to the potential impact on a C Share conversion.

The reinsurance clients have the option to hold collateral in relation to prior events, which is in accordance with the terms of their contracts. The Investment Manager currently does not expect any further significant releases to be made during the remainder of 2016.

However, the Board intends to consider again, in the fourth quarter of 2016, the materiality of the SPI’s and the possible timing of the consolidation of the C Shares into a single share class along with the existing Ordinary Shares.

2016 Catastrophic Activity to Date

Industry insured catastrophe losses increased significantly during the first half of 2016 compared to the same period the previous year. Losses for the first six months of 2016 are estimated by Munich Re to be approximately $27 billion (2015: $19 billion).

In April, Japan was struck by two earthquakes on the island of Kyushu causing a combined loss of approximately $5 billion (source: Aon Benfield). The Fort McMurray wildfire in Alberta, Canada, began on 1 May causing approximately $3.2 billion of insured losses and was declared the largest catastrophe in Canadian history. Prior to this wildfire, the costliest insured disaster in Canadian history was the Alberta floods of 2013 which caused a loss of $1.8 billion.

Other notable events were the hailstorms that struck the San Antonio area of Texas which are expected to be the costliest hailstorm in the state’s history, with insured losses from this single event expected to surpass $2 billion (source: Insurance Council of Texas).

During May and June, parts of Europe experienced widespread flooding from Storm Elvira. Some of the worst hit areas were in Germany and France where floods along the River Seine, including Paris, caused approximately $3.4 billion of combined insured losses (source: Aon Benfield).

UK Brexit Referendum

On 23 June 2016, the UK held a referendum in which it voted to leave the EU (“Brexit”). The longer-term impact on the Company, and, more particularly, its investors, of the result of the Brexit referendum in the UK, is unclear. It is dependent on the terms of the settlement between the UK and the EU which will govern the UK’s post-Brexit relationship with the EU. While Brexit is not inevitable until the UK’s withdrawal arrangements are agreed, it is politically highly likely.

In the meantime, EU law and regulations currently in place or implemented in the UK before Brexit will still be binding, although, in the longer-term, there will, almost certainly, be an overhaul. However, the most likely short-term effects of the referendum will be economic. Changes in the value of Sterling, inflation rates, yields on gilts and bonds, stock market fluctuations and hence, increased market volatility, will provide challenges for the Company, including its ability to raise money in the UK capital markets. However, there may also be opportunities, as the largely non-correlated nature of the Company’s returns may prove to be attractive to investors.

The Board will continue both to monitor the effect of the referendum and subsequent developments leading towards Brexit, and to ensure that the appropriate steps are being taken in order to identify and mitigate any resultant risks to the Company, and to identify and capitalise upon any opportunities that may present themselves.

Outlook

The excess capacity in the property catastrophe reinsurance and retrocession markets continues to prove a challenge, with signs that the reinsurance cycle is permanently changing given the more fungible nature of capital flows. In anticipation of a protracted soft market, the Investment Manager is practising disciplined underwriting, using its modeling and underwriting expertise to select the most attractive and diversified risks at risk adequate prices.

In a low interest rate environment, the appetite of capital market investors for catastrophe risk remains strong and there appears to be no sign of this waning. Property catastrophe risk offers pension funds and other institutional investors an asset class that is uncorrelated to equity investments, and which continues to offer attractive returns, in spite of ongoing competitive pressures.

Encouraging signs are being seen that other ILS managers are taking a disciplined approach to underwriting, with a willingness to turn down business that is not priced adequately. This is reflected in the slowing of rate reductions at the mid-year June/July 2016 renewals. Willis Re have noted that “standalone insurance-linked securities (ILS) funds showed discipline through the first quarter of 2016”.

Despite the more recent increase in insured losses during 2016, insured losses over the past three years have been significantly below average, with exceptionally quiet Atlantic hurricane seasons. US landfall hurricanes have historically been the biggest contributor to annual catastrophe claims. $37 billion of global insurance losses were caused from natural catastrophes in 2015, well below the $62 billion average of the previous ten years (according to Swiss Re sigma).

Despite the relatively low occurrence of major catastrophic loss activity, the experience of the past six months has once again been a reminder of the potential for substantial losses emanating from a wide range of catastrophic perils, including floods, windstorms, earthquakes, wildfires and severe convective storms.

In spite of the competitive forces currently present in the market, the reinsurer’s unique product enables it to continue to command a higher premium, shielding the Company from the effects of large year-on-year price reductions seen in the traditional reinsurance market.

Nigel Barton

Chairman,

CATCo Reinsurance Opportunities Fund Ltd.

12 August 2016

DIRECTORS’ REPORT

Risks and Uncertainties

The Board of Directors has identified a number of key risks that affect the Company’s business. The principal risks are:

Reinsurance Risk

The objective of the Company and of Markel CATCo Reinsurance Fund Ltd. - Markel CATCo Diversified Fund (the “Markel CATCo Master Fund”), the fund through which the Company conducts substantially all of its investment activities, is to give their Shareholders the opportunity to participate in the returns from investments linked to catastrophe reinsurance risks, principally by investing in fully collateralised Reinsurance Agreements accessed by investments in preferred shares of the Reinsurer, Markel CATCo Re Ltd. The Markel CATCo Master Fund spreads investment risk by seeking exposure to multiple non-correlated risk categories so as to endeavour to limit the amount of capital at risk with respect to a single catastrophic event. The Company’s 2015 Annual Report, on page 16, explains in detail how the Company and the Markel CATCo Master Fund ensure that appropriate diversification is achieved.

Risks related to the Company’s investment activities

These risks include, but are not limited to, market price, counterparty, interest rate, liquidity and credit risk. Such key risks relating to investment underwriting and strategy including, for example, inappropriate asset allocation or borrowing are managed through investment policy guidelines and restrictions, and by oversight at each Board meeting. Operational disruption, accounting and legal risks are also covered annually, and regulatory compliance is reviewed at each Board meeting. The risks arising from the UK’s decision to leave the EU (“Brexit”) are discussed in the Chairman’s Statement.

In the view of the Board, except for the risks relating to Brexit referred to above, there have not been any changes to the fundamental nature of these risks since the previous report, and these principal risks and uncertainties are equally applicable to the remaining six months of the financial year as they were to the six months under review.

Related Party Disclosure and Transactions with the Investment Manager

The Investment Manager is regarded as a related party and details of the management fees payable are set out in the unaudited Statement of Operations and note 7.

Going Concern Status

The Company’s business activities, together with the factors likely to affect its future development, performance and position, are set out in the Chairman’s Statement.

In accordance with the Financial Reporting Council’s guidance on going concern and liquidity risk issued in October 2009, the Board of Directors have undertaken a rigorous review of the Company’s ability to continue as a going concern.

The Company’s assets consist of cash and a diverse portfolio of retrocessional reinsurance investments, including Industry Loss Warranties, which, in most circumstances, are fully liquid at the end of their contractual term.

The Board of Directors have reviewed forecasts and they believe that the Company has adequate financial resources to continue its operational existence for the foreseeable future and at least one year from the date of this interim report. Accordingly, the Directors continue to adopt the going concern basis in preparing these accounts.

Directors’ Responsibility Statement

The Directors are responsible for preparing the Half-Yearly Financial Report in accordance with applicable law and regulations. The Directors confirm that, to the best of their knowledge:

1. The condensed set of Financial Statements contained within the Half-Yearly Financial Report has been prepared in accordance with the applicable accounting standards.

2. The Chairman’s Statement, the Financial Highlights and the notes to the unaudited Financial Statements provides a fair review of the information required by rule 4.2.7R of the Disclosure and Transparency Rules (being an indication of important events that have occurred during the first six months of the financial year and their impact on the condensed set of Financial Statements and a description of the principal risks and uncertainties for the remaining six months of the financial year) and rule 4.2.8R (being related party transactions that have taken place during the first six months of the financial year and that have materially affected the financial position of the Company during that period; and any changes in the related party transactions described in the last Annual Report that could do so).

The Half-Yearly Financial Report was approved by the Board on 12 August 2016 and the above responsibility statement was signed on its behalf by the Chairman.

Nigel Barton

Chairman,

For and on behalf of the Board

12 August 2016

Please use the address below to view full filing:

www.bsx.com/CompanyDocuments/2016%20Financials/2016%20Interim%20Financials/CATCo%20Interim%20Financial%20Report.pdf