Blue Capital Global Reinsurance Fund : Portfolio Update

Blue Capital Global Reinsurance Fund Limited (Ticker: 'BCGR')

2 February 2017

Portfolio Update

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 2017 reinsurance renewals.

Adam Szakmary, President and CEO of Blue Capital Management Ltd. ('Blue Capital'), commented:

'I am very proud to report that BCGR has now begun its 5 year of operation with the continued focus on providing investors access to attractive, largely uncorrelated, investment returns of the traditional reinsurance and insurance linked securities market. The Company's preferred access to risk, proprietary methodology of portfolio construction, and its conservative approach to reserving allowed the Company to deliver superior portfolio returns. The Company posted a total Net Asset Value return (inclusive of dividends) of 8.3 per cent. in 2016, which is down year over year due to an increase in global loss activity.

The Company is also pleased to confirm its successful execution of renewals during the key January period. Although pricing pressures persisted during this renewal period, observed reductions began to moderate at approximately 3 per cent. compared with more significant reductions during previous renewal periods. We remain confident that we can deliver attractive returns for our Shareholders in spite of the current insurance market cycle and the pro forma modelled return expectations for the portfolio constructed are consistent with the Company's target return.'

The Company's total investments after the January 2017 renewals reduced by US$25.0 million year over year, resulting in a total investment of US$183.5 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$177.6 million across 93 different positions and 39 different clients generating US$41.5 million of net insurance premium written and fixed ILW payments which is a decrease of US$3.1 million from the previous year. Changes in premium and exposure are directly attributable to portfolio construction adjustments made in response to changes in market conditions by asset class and region, and the redemption share process.

A further breakdown of the exposure of the current portfolio at 1 January 2017 is set out below.

Portfolio Return Summary

Illustrative Net Aggregate Return Distribution	2017 Portfolio
Returns
No Loss Return	14.2%
Expected Return Range*	6.4 - 10.1%
Probability of:
Mean or Greater Return	71%
Breakeven or Greater	80%
Loss to NAV Greater than 5%	14%
Loss to NAV Greater than 10%	10%
Loss to NAV Greater than 15%	7%
Loss to NAV Greater than 25%	3%
Loss to NAV Greater than 35%	2%

1 The portfolio return summary is provided for illustrative purposes only. The projections are derived by reference to the Company's projected portfolio as at 1 January 2017 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.

Exposure Summary

The following unaudited tables provide a breakdown of the current portfolio's exposure by contract type, zone and peril as at 1 January 2017. The current portfolio exposure represents the fair value of the positions held by the Company.

Contract Type	Exposure (US$ millions)	Exposure as a % of Current Portfolio	Positions Held
Property Catastrophe Total	161.3	87.9%	86
Prop Cat - First Event XOL	143.5	78.2%	72
Prop Cat - Subsequent Event XOL	15.0	8.2%	10
Prop Cat - Aggregate XOL	2.8	1.5%	4
Industry Loss Warranty Total	20.2	11.0%	6
ILW - Subsequent Event XOL	20.2	11.0%	6
ILW - First Event XOL	0.0	0.0%	0
ILW - Aggregate XOL	0.0	0.0%	0
Cat Bond Total	2.0	1.1%	1
Current Portfolio	183.5	100%	93

XOL = excess of loss ILW = Industry Loss Warranty

Asset Class	Exposure (US$ millions)	Expsoure as a % of Current Portfolio	Positions Held
Traditional	161.3	87.9%	86
Quota Share Retrocessional Agreements	72.1	39.3%	3*
Indemnity Reinsurance	63.1	34.4%	71
Indemnity Retrocession	26.1	14.2%	12
Non-Traditional	21.4	21.7	4
Other non-property catastrophe risks	11.3	6.2%	1
Industry Loss Warranties	8.1	4.4%	2
Cat Bonds	2.0	1.1%	1
Retrocessional Hedging	0.8	0.4%	3
Current Portfolio	183.5	100%	93

*Underlying positions held within the quota share retrocessional agreements totals 1,457

Probable Maximum Loss

The exposures summarised below represent the sum of all collateral invested less reinsurance recoverable. Per the Master Fund'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 Net Asset Value (at the time the investment is made).For contractsthatoverlap zones, thetotal exposure iscounted in each of the exposed zones.

Value at Risk ('VaR') represents a 1 in 100 year event for windstorm perils and a 1 in 250 year event for earthquake perils.

Territory / Region / Peril	First Event VaR as a % of NAV
US - Florida Hurricane	31.0%
Japan Earthquake	13.3%
US - California Earthquake	12.3%
US - Gulf Hurricane	11.2%
US - Northeast Hurricane	8.8%
US - MidAtlantic Hurricane	8.3%
UK & Ireland Windstorm	6.6%
Japan Windstorm	4.9%
All other territory / region / peril zones	< 5.0%

For further information please contact:

Adam Szakmary,
President and CEO, Blue Capital Management Ltd. [phone]

[e-mail]

Gary Gould [phone]

Jefferies International Limited

Notes to editors

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 Endurance Specialty Holdings Ltd. (NYSE: ENH, 'Endurance'), a recognized global specialty provider of property and casualty insurance and reinsurance since 2001. Additional information can be found at www.bcgr.bm.

The Company targets a dividend yield of LIBOR plus 6 per cent. per annum 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 annum to be achieved over the longer term, net of fees.