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

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

HAMILTON, Bermuda - October 29, 2021 - Blue Capital Reinsurance Holdings Ltd. (in liquidation) (OTC:BCRHF) (the "Company"), a Bermuda holding company, today reported its financial position for the third 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 remained at $1.3 million, unchanged from the prior quarter. The interim special distribution of $2.5 million declared in June 2021 was paid in July 2021. The Company's fully converted book value per common share was $0.15 at September 30, 2021, compared to $0.15 as of June 30, 2021. Please note that the interim special distribution paid in July is not a final distribution; future distributions will occur to the extent sufficient funds are available as the liquidation continues and a distribution was not declared for the current quarter.

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

			September 30,
	(In millions of U.S. dollars)			2021
	Assets
	Cash and cash equivalents		$	1.5
	Reinsurance premiums receivable			-
	Funds held by ceding companies			4.5
	Other assets			0.1
	Total Assets		$	6.1
	Liabilities
	Loss and loss adjustment expense reserves		$	3.5
	Reinsurance balances payable			0.4
	Other liabilities			0.5
	Liability for estimated costs in excess of estimated receipts during liquidation			0.4
	Total Liabilities			4.8
	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

			Three Months Ended
(In millions of U.S. dollars)			September 30, 2021
Net Assets in Liquidation at beginning of period		$	1.3
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		$	1.3

BOOK VALUE AND FULLY CONVERTED BOOK VALUE PER COMMON SHARE

Unaudited

			September 30,		June 30,				March 31,		December 31,
				2021				2021				2021			2020
	Book value per share numerator (in millions of U.S.
	dollars):
	[A] Shareholders' Equity (in millions of U.S. dollars)	$	1.3			$	1.3	$	3.8	$	5.3
	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
	denominator			8,802				8,802				8,802			8,802
	Book value per common share [A]/[B]		$	0.15			$	0.15			$	0.43		$	0.61
	Fully converted book value per common share [A]/[C]	$	0.15			$	0.15	$	0.43	$	0.61
	Change in fully converted book value per common share:(1)
	From June 30, 2021			- %
	From September 30, 2020			26.0	%

1. Computed as the change in fully converted book value per common share plus common dividends/special distributions declared of $0.00 and $0.48 during the three and twelve month periods ended September 30, 2021, respectively.