Blue Capital Reinsurance Hol : ings (in liquidation) Reports Second Quarter 2021 Financial Position

Blue Capital Reinsurance Holdings (in liquidation) Reports Second Quarter 2021 Financial Position

HAMILTON, Bermuda - July 28, 2021 - Blue Capital Reinsurance Holdings Ltd. (in liquidation) (OTC:BCRHF) (the "Company"), a Bermuda holding company, today reported its financial position for the second quarter of 2021. The Company, through its operating subsidiaries, previously offered collateralized reinsurance in the property catastrophe market and invested in various insurance-linked securities. The Company is currently winding down its operations.

Net assets in liquidation decreased $2.5 million dollars in the current quarter, largely driven by the declaration of an interim special distribution of $2.5 million in June 2021. The Company's fully converted book value per common share was $0.15 at June 30, 2021, compared to $0.43 as of March 31, 2021. The interim special distribution announced in June 2021 is not a final distribution; future distributions will occur to the extent sufficient funds are available as the liquidation continues.

About the Company

Blue Capital Reinsurance Holdings Ltd. (in liquidation), is currently winding down its operations. The Company, through its operating subsidiaries, previously offered collateralized reinsurance in the property catastrophe market, leveraging underwriting expertise and infrastructure from established resources. Underwriting decisions, operations and other management services are provided to the Company by Blue Capital Management Ltd., a subsidiary of Sompo International Holdings Ltd. (a wholly owned subsidiary of Sompo Holdings, Inc.), a recognized global specialty provider of property and casualty insurance and reinsurance and a leading property catastrophe and short tail reinsurer since 2001. Additional information can be found at www.bcapre.bm.

Contacts

Investor Relations

Phone: [phone]

Email: [e-mail]

KPMG Advisory Limited

Phone: [phone]

Email: [e-mail]

Mark Allitt - Joint Liquidator

Mike Morrison - Joint Liquidator

Forward-Looking Statements

Some of the statements in this press release may include, and the Company may make related oral forward-looking statements which reflect our current views with respect to future events and financial performance. Such statements may include forward- looking statements both with respect to us in general and the insurance and reinsurance sectors specifically, both as to underwriting and investment matters. Statements that include the words "should," "would," "expect," "estimates", "intend," "plan," "believe," "project," "target," "anticipate," "seek," "will," "deliver," and similar statements of a future or forward-looking nature identify forward-looking statements in this press release.

All forward-looking statements address matters that involve risks and uncertainties. Accordingly, there are or may be important factors that could cause the Company's run-off performance and the timing and amount of special distributions to differ materially from those indicated in the forward-looking statements. These factors include, but are not limited to, greater frequency or severity of claims and loss activity, uncertainties in our reserving process, changes to our tax status, credit risk related to our broker counterparties, assessments for high risk or otherwise uninsured individuals, possible terrorism or the outbreak of war, a loss of key personnel, political conditions, changes in insurance regulation, operational risk, including the risk of fraud and errors and omissions, as well as technology breaches or failure, changes in accounting policies, our investment performance, the valuation of our invested assets, a breach of our investment guidelines, potential treatment of us as an investment company or a passive foreign investment company for purposes of U.S. securities laws or U.S. federal taxation, respectively, our dependence as a holding company upon dividends or distributions from our operating subsidiaries, the unavailability of capital in the future, developments in the world's financial and capital markets, government intervention in the insurance and reinsurance industry, illiquidity in the credit markets, changes in general economic conditions and other factors.

The foregoing review of important factors should not be construed as exhaustive and should be read in conjunction with the other cautionary statements that are included herein and elsewhere, including the risk factors included in the Company's most recent annual financial statements posted on the Company's website. Any forward-looking statements made in this material are qualified by these cautionary statements, and there can be no assurance that the actual results or developments anticipated by the Company will be realized or, even if substantially realized, that they will have the expected consequences to, or effects on, the Company or its business or operations. Except as required by law, the Company undertakes no obligation to update publicly or revise any forward-looking statement, whether as a result of new information, future developments or otherwise.

The contents of any website referenced in this press release are not incorporated by reference herein.

BLUE CAPITAL REINSURANCE HOLDINGS LTD. (in liquidation)

CONSOLIDATED STATEMENT OF NET ASSETS IN LIQUIDATION

(Liquidation Basis)

Unaudited

				June 30,
	(In millions of U.S. dollars)			2021
	Assets
	Cash and cash equivalents	$	4.1
	Reinsurance premiums receivable			0.2
	Funds held by ceding companies			12.4
	Other assets			-
	Total Assets	$	16.7
	Liabilities
	Loss and loss adjustment expense reserves		$	10.5
	Reinsurance balances payable			1.4
	Other liabilities			2.9
	Liability for estimated costs in excess of estimated receipts during liquidation			0.6
	Total Liabilities			15.4
	Net Assets in Liquidation	$	1.3

BLUE CAPITAL REINSURANCE HOLDINGS LTD. (in liquidation)

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS IN LIQUIDATION

(Liquidation Basis)

Unaudited

(In millions of U.S. dollars)

Net Assets in Liquidation at beginning of period

Changes in net assets in liquidation:

Changes in liquidation value of reinsurance premiums receivable Changes in liquidation value of loss and loss adjustment expense reserves

Remeasurement of assets and liabilities

Liquidating distributions to shareholders

Net Assets in Liquidation at end of period

Three Months Ended June 30,

2021

$3.8

(0.1)

0.2

(0.1)

(2.5)

$1.3

BOOK VALUE AND FULLY CONVERTED BOOK VALUE PER COMMON SHARE

Unaudited

	June 30,		March 31,		December 31,		September 30,
	2021		2021		2020		2020

Book value per share numerator (in millions of U.S.
dollars):
[A] Shareholders' Equity (in millions of U.S. dollars)	$	1.3	$	3.8	$	5.3	$	4.4

Book value per share denominators (in thousands of shares):

	[B] Common Shares outstanding		8,802					8,802			8,802						8,802
	Restricted Share Units outstanding		-			-		-					-
	[C] Fully converted book value per common share		8,802					8,802			8,802						8,802
	denominator
	Book value per common share [A]/[B]	$	0.15				$	0.43		$	0.61		$	0.50
	Fully converted book value per common share	$	0.15				$	0.43		$	0.61		$	0.50
	Change in fully converted book value per common
	From March 31, 2021		- %
	From June 30, 2020		(16.0)	%

1. Computed as the change in fully converted book value per common share plus common dividends/special distributions declared of $0.28 and $0.48 during the three and twelve month periods ended June 30, 2021, respectively.