Blue Capital Reinsurance Holdings Reports Third Quarter 2015 Financial Results

HAMILTON, Bermuda -  November 2, 2015 - Blue Capital Reinsurance Holdings Ltd. BCRH ("Blue Capital"), a Bermuda holding company that, through its operating subsidiaries, offers collateralized reinsurance in the property catastrophe market and invests in various insurance-linked securities, today reported its financial results for the third quarter of 2015.

The Company's net income and operating income was $4.4 million ($0.50 per share) for the third quarter of 2015 and $15.3 million ($1.74 per share) for the nine months ended September 30, 2015. The Company's fully converted book value per common share was $20.80 at September 30, 2015, reflecting a 2.5% increase for the quarter and an 8.4% increase year-to-date, each inclusive of dividends declared in such periods.

Reinsurance premiums written for the current quarter and year-to-date periods were $5.9 million and $33.6 million, declining by $0.6 million and $5.4 million compared to the same periods in 2014 primarily as a result of premium reductions in the global catastrophe market.

The combined ratio for the current quarter was 50.8% compared to 73.1% in the third quarter of 2014.  The improvement in the current quarter's combined ratio was driven by a lower loss and loss adjustment expense ratio partially offset by higher acquisition cost and general and administrative expense ratios. Loss and loss adjustment expenses for the current quarter were $1.2 million and were predominantly driven by net losses that occurred earlier in the year.  Acquisition costs of $2.0 million in the current quarter increased modestly driven by higher profit commissions.  General and administration expenses were $1.3 million, or $0.1 million higher than a year ago largely due to higher performance fees on improved profitability.

During the third quarter of 2015, the Company declared a regular dividend of $0.30 per common share, which was paid on October 15, 2015 to all shareholders of record on September 30, 2015.

Adam Szakmary, President and CEO, commented: "Over the course of the year and the current quarter we continued to generate very attractive results, which remain largely uncorrelated to larger financial market volatility. Blue Capital's strategy remains focused on providing investors diversified access to the preferred traditional property catastrophe market, without adding underlying asset macro correlation.

Our ability to generate shareholder value was enhanced during the third quarter as Endurance Specialty Holdings Ltd. ("Endurance") acquired partial ownership in Blue Capital as part of its acquisition of Montpelier Re Holdings Ltd. ("Montpelier").  Partnering with an underwriting organization that has greater scale, an enhanced market position and a larger more diversified global catastrophe book of business improves Blue Capital's ability to compete in an increasingly competitive environment."

About Blue Capital

Blue Capital Reinsurance Holdings Ltd., through its operating subsidiaries, offers 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 Blue Capital by Blue Capital Management Ltd., a  subsidiary of Endurance Specialty Holdings Ltd. ENH, a recognized global specialty provider of property and casualty insurance and reinsurance and a leading property catastrophe and short tail reinsurer since 2001. Endurance acquired Blue Capital Management Ltd. as part of its acquisition of Montpelier in July 2015. Additional information can be found in Blue Capital's public filings with the U.S. Securities and Exchange Commission or at www.bcapre.bm.

Contacts
Investor Relations
Phone: +1 441 278 0988
Email: investorrelations@endurance.bm
Safe Harbor for Forward-Looking Statements

Some of the statements in this press release may include, and Blue Capital 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 for purposes of the U.S. federal securities laws or otherwise. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the Private Securities Litigation Reform Act of 1995.
 
All forward-looking statements address matters that involve risks and uncertainties. Accordingly, there are or may be important factors that could cause actual results to differ materially from those indicated in the forward-looking statements. These factors include, but are not limited to, the effects of competitors' pricing policies, greater frequency or severity of claims and loss activity, changes in market conditions, decreased demand for property and casualty reinsurance, changes in the availability, cost or quality of reinsurance or retrocessional coverage, our inability to renew business previously underwritten or acquired, uncertainties in our reserving process, changes to our tax status, reduced acceptance of our existing or new products and services, a loss of business from and 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 and our access to such markets, government intervention in the insurance and reinsurance industry, illiquidity in the credit markets, changes in general economic conditions and other factors described in our Annual Report on Form 10-K for the year ended December 31, 2014.
 
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 Blue Capital's most recent report on Form 10-K and other documents of Blue Capital on file with the Securities and Exchange Commission. 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 Blue Capital will be realized or, even if substantially realized, that they will have the expected consequences to, or effects on, Blue Capital or its business or operations. Except as required by law, Blue Capital 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.
CONSOLIDATED BALANCE SHEETS
(In millions of U.S. dollars, except share amounts)

		September 30, 2015				December 31, 2014
Assets		(Unaudited)
Cash and cash equivalents		$	0.5			$	1.1
Cash and cash equivalents pledged as collateral		5.3				10.4
Reinsurance premiums receivable		12.6				5.9
Deferred reinsurance acquisition costs		0.6				0.1
Funds held by reinsured companies as collateral		194.8				183.6
Other assets		0.2				0.2
Total Assets		$	214.0			$	201.3
Liabilities
Loss and loss adjustment expense reserves		$	5.2			$	7.9
Unearned reinsurance premiums		5.7				1.1
Debt		9.0				8.0
Reinsurance balances payable		5.7				2.8
Accounts payable and accrued expenses		5.9				1.0
Other liabilities		0.3				-
Total Liabilities		31.8				20.8
Shareholders' Equity
Common Shares and additional paid-in capital		8.8				8.8
Additional paid-in capital		165.3				165.2
Retained earnings		8.1				6.5
Total Shareholders' Equity		182.2				180.5
Total Liabilities and Shareholders' Equity		$	214.0			$	201.3
Common shares outstanding (000s)		8,752				8,750
Common and common equivalent shares outstanding (000s)		8,759				8,757

BLUE CAPITAL REINSURANCE HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF NET INCOME AND COMPREHENSIVE INCOME
(In millions of U.S. dollars, except per share data)
Unaudited

		Three Months Ended September 30,								Nine Months Ended September 30,
		2015				2014				2015				2014
Revenues
Reinsurance premiums written		$	5.9			$	6.5			$	33.6			$	39.0
Change in net unearned reinsurance premiums		3.6				4.9				(4.6		)		(6.3		)
Net reinsurance premiums earned		9.5				11.4				29.0				32.7
Net (loss) income from derivative instruments		(0.3		)		0.2				(0.3		)		0.4
Total revenues		9.2				11.6				28.7				33.1
Expenses
Underwriting expenses:
Loss and loss adjustment expenses - current year		1.2				5.3				2.6				13.5
Loss and loss adjustment expenses - prior year		0.2				-				(0.3		)		-
Acquisition costs		2.0				1.9				6.5				5.6
General and administrative expenses		1.3				1.2				4.5				3.5
Non-underwriting expenses:
Interest expense		0.1				-				0.1				-
Total expenses		4.8				8.4				13.4				22.6
Net income and comprehensive income		$	4.4			$	3.2			$	15.3			$	10.5
Per share data:
Basic and diluted earnings per Common Share		$	0.50			$	0.37			$	1.74			$	1.20
Dividends declared per Common Share and RSU(1)		0.30				0.30				1.56				0.90
Insurance ratios:
Loss and loss adjustment expense ratio		15.3		%		46.6		%		8.1		%		41.2		%
Acquisition cost ratio		21.3		%		16.0		%		22.5		%		17.0		%
General and administrative expense ratio		14.2		%		10.5		%		15.5		%		10.6		%
Combined ratio		50.8		%		73.1		%		46.1		%		68.8		%

RSU = restricted share unit
(1)         The nine month period ended September 30, 2015 includes a special dividend with respect to 2014 of $0.66 per common share and RSU, which was declared and paid during the first quarter of 2015.
BLUE CAPITAL REINSURANCE HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY
(In millions of U.S. dollars)
Unaudited

		Total shareholders' equity				Common Shares, at par value				Additional paid-in capital				Retained earnings
Balance at January 1, 2015		$	180.5			$	8.8			$	165.2			$	6.5
Net income		15.3				-				-				15.3
Expense recognized for RSUs		0.1				-				0.1				-
Dividends declared on Common Shares and RSUs		(13.7		)		-				-				(13.7		)
Balance at September 30, 2015		$	182.2			$	8.8			$	165.3			$	8.1

		Total shareholders' equity				Common Shares, at par value				Additional paid-in capital				Retained earnings
Balance at January 1, 2014		$	173.3			$	8.8			$	165.2			$	(0.7	)
Net income		10.5				-				-				10.5
Dividends declared on Common Shares and RSUs		(7.9		)		-				-				(7.9		)
Balance at September 30, 2014		$	175.9			$	8.8			$	165.2			$	1.9

BOOK VALUE AND FULLY CONVERTED BOOK VALUE PER COMMON SHARE⁽¹⁾
Unaudited

		Sept. 30, 2015				June 30, 2015				Dec. 31, 2014				Sept. 30, 2014
Book value per share numerator (in millions of U.S. dollars):
[A] Shareholders' Equity (in millions of U.S. dollars)		$	182.2			$	180.5			$	180.5			$	175.9
Book value per share denominators (in thousands of shares):
[B] Common Shares outstanding		8,752				8,752				8,750				8,750
Restricted Share Units outstanding		7				12				7				7
[C] Fully converted book value per common share denominator		8,759				8,764				8,757				8,757
Book value per common share [A]/[B]		$	20.82			$	20.62			$	20.63			$	20.11
Fully converted book value per common share [A]/[C]		$	20.80			$	20.59			$	20.62			$	20.09
Change in fully converted book value per common share:(2)
From June 30, 2015		2.5		%
From December 31, 2014		8.4		%
From September 30, 2014		11.6		%

(1)         These measures constitute "non-GAAP financial measures" as defined in Regulation G and as further described herein.
(2)         Computed as the change in fully converted book value per common share after taking into account common dividends declared of $0.30, $1.56 and $1.56 during the three, nine and twelve month periods ended September 30, 2015, respectively.
BLUE CAPITAL REINSURANCE HOLDINGS LTD.
Natural Catastrophe Risk Management

The following discussion should be read in conjunction with the "Risk Factors" included in Item 1A of the Company's 2014 Form 10-K, as filed with the Securities and Exchange Commission, in particular the risk factor entitled "Our stated catastrophe and enterprise-wide risk management exposures are based on estimates and judgments which are subject to significant uncertainties."

Exposure Management
 The Company's Investment and Insurance Manager (the "Manager") monitors our net exposure to any one catastrophe loss event in any single zone within certain broadly defined major catastrophe zones. Our June 1, 2015 projected net exposures by zone were in compliance with our underwriting guidelines. Namely, our projected net exposure to any one zone was below 50% of our shareholders' equity at September 30, 2015. These broadly defined major catastrophe zones are defined as follows:

North America:		Europe:		Rest of World:
U.S. - Northeast		Western Central Europe(1)		Australia
U.S. - Mid-Atlantic		Eastern Europe		New Zealand
U.S. - Florida		Southern Europe		Japan
U.S. - Gulf		Northern Europe, Benelux		South America
U.S. - New Madrid		and Scandinavia		Middle East
U.S. - Midwest		U.K. and Ireland
U.S. - California
U.S. - Hawaii
Canada - Eastern
Canada - Western

(1)  Consisting of France, Germany, Switzerland and Austria.

Single Event Losses
 For certain defined natural catastrophe region and peril combinations, the Manager assesses the probability and likely magnitude of losses using a combination of industry third-party models, proprietary models and underwriting judgment. The Manager attempts to model the projected net impact from a single event, taking into account contributions from property catastrophe reinsurance (including retrocessional business), property pro-rata reinsurance and event-linked derivative securities, offset by the net benefit of any reinsurance or derivative protections we purchase and the benefit of premiums.

The table that follows details the projected net impact from single event losses as of June 1, 2015 for selected zones at specified return periods using AIR Worldwide Corporation's Touchstone 2.0 and CATRADER 16.0, both of which are industry-recognized third-party vendor models. It is important to note that each catastrophe model contains its own assumptions as to the frequency and severity of loss events, and results may vary significantly from model to model.

Since the Manager utilizes a combination of third-party models, proprietary models and underwriting judgment to project the net impact from single event losses, our internal projections may be higher or lower than those presented in the table below:

Net Impact From Single Event Losses at Specified Return Periods

		Net Impact (Millions)				Return Period(1)		Percentage of September 30, 2015 Shareholders' Equity
U.S. - Florida hurricane		$	62			1 in 100 year		34	%
Japan earthquake		32				1 in 250 year		18	%
California earthquake		27				1 in 250 year		15	%
All other zones								less than 15%

(1)         A "100-year" return period can also be referred to as the 1.0% occurrence exceedance probability ("OEP"), meaning there is a 1.0% chance in any given year that this level will be exceeded.  A "250-year" return period can also be referred to as the 0.4% OEP, meaning there is a 0.4% chance in any given year that this level will be exceeded.

Our June 1, 2015 single event loss exposures were within our underwriting guidelines. Namely, the projected net impact from any one catastrophe loss event (excluding earthquake) at the 1 in 100 year return period for any one zone did not exceed 35% of our shareholders' equity at September 30, 2015, and the projected net impact from any one earthquake loss event at the 1 in 250 year return period for any zone did not exceed 35% of our shareholders' equity at September 30, 2015.

Our single event loss estimates represent snapshots as of June 1, 2015. The composition of our in-force portfolio may change materially at any time due to the acceptance of new policies, losses incurred, the expiration of existing policies and changes in our ceded reinsurance and derivative protections. There were no material changes made to the composition of our in-force portfolio from June 1, 2015 to September 30, 2015.

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