8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d)

of the Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): February 5, 2018

BLUE CAPITAL REINSURANCE HOLDINGS LTD.

(Exact Name of Registrant as Specified in Its Charter)

Bermuda	001-36169	98-1120002
(State or Other Jurisdiction of Incorporation or Organization)	(Commission File Number)	(I.R.S. Employer Identification No.)

Waterloo House

100 Pitts Bay Road

Pembroke HM 08

Bermuda

(Address of Principal Executive Offices)

Registrant’s telephone number, including area code: (441) 278-0400

Check the appropriate box below if the form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company  ☒

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ☒

Item 7.01 Regulation FD Disclosure.

On February 5, 2018, Blue Capital Reinsurance Holdings Ltd. publicly issued and posted on its website, www.bcapre.bm, a portfolio update press release, which is enclosed as Exhibit 99.1 herein.

In accordance with general instruction B.2 of Form 8-K, the information in this Item 7.01 of this Current Report on Form 8-K, including exhibits, furnished pursuant to Item 7.01 shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Accordingly, the information in Item 7.01 of this Current Report on Form 8-K will not be incorporated by reference into any registration statement filed by the Company under the Securities Act of 1933, as amended, unless specifically identified therein as being incorporated therein by reference. The furnishing of the information in this Current Report on Form 8-K is not intended to, and does not, constitute a determination or admission by the Company that the information in this Current Report on Form 8-K is material or complete, or that investors should consider this information before making an investment decision with respect to any security of the Company or any of its affiliates.

Item 9.01 Financial Statements and Exhibits.

(d) Exhibits

The following exhibit is furnished as part of this report:

Exhibit No.	Description of Exhibit
99.1	Portfolio Update Press Release of the Registrant dated February 5, 2018.

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

	BLUE CAPITAL REINSURANCE HOLDINGS LTD.
	(Registrant)
February 5, 2018	By:	/s/ John V. Del Col
Date	Name:	John V. Del Col
	Title:	Secretary

EX-99.1

Exhibit 99.1

Blue Capital Reinsurance Holdings Ltd. Announces Successful January 1 Renewals

HAMILTON, Bermuda, February 5, 2018 (GLOBE NEWSWIRE) — Blue Capital Reinsurance Holdings Ltd. (NYSE:BCRH) (the “Company” or “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 provided a portfolio update.

Mike McGuire, Chairman and CEO of Blue Capital, commented:

“Following the significant industry losses experienced in 2017, we are pleased to report improved market conditions during the January renewal period. On average, loss affected business benefited from renewing rate increases of 15%-20% while non-loss affected agreements benefited from rate increases of 3-5% (in each case compared to 2017 and net of expenses). The Company anticipates generating an 8.0% increase of fully converted book value per common share on a mean loss basis and 13.0% on a median loss basis, inclusive of dividends paid in 2018.”

As of January 2018, Blue Capital bound indemnity reinsurance contracts with expected total annual premiums of $27.8 million. The business underwritten by the Company is expected to produce a net rate on line for the portfolio of 23.7%, which is an increase of 190 basis points when compared to the same period in 2017. The increase is due to an average risk adjusted price increase of 12% during the January renewals.

The Company’s in-force portfolio deployed as of January 1, 2018 consisted of approximately 46.5% in support of first event reinsurance coverages, 45.7% in support of catastrophe quota share coverages and the balance in support of second and subsequent event coverages.

A breakdown of the current portfolio is set out below:

Portfolio Summary

The following unaudited tables provide a breakdown of Blue Capital’s January 1 portfolio by contract type, zone and peril following 2018 renewals. Exposure is defined as deployed collateral plus net premium minus ultimate losses.

Contract Type	Exposure (US$ millions)		Exposure as a % of Current Portfolio			Positions Held
Property Catastrophe Total		101.4		100.0	%		68
Prop Cat – First Event XOL		93.4		92.1	%		61
Prop Cat – Subsequent Event XOL		8.0		7.9	%		7
Prop Cat – Aggregate XOL		0.0		0.0	%		0
Industry Loss Warranty Total		0.0		0.0	%		0
ILW - Subsequent Event XOL		0.0		0.0	%		0
ILW - First Event XOL		0.0		0.0	%		0
ILW - Aggregate XOL		0.0		0.0	%		0
Cat Bond Total		0		0.0	%		0
Retrocessional Hedging Total		0		0.0			0
Current Portfolio		101.4		100	%		68

XOL = excess of loss                      ILW = Industry Loss Warranty

Asset Class	Investment (US$ millions)		Investment as a % of Current Portfolio			Positions Held
Traditional		101.4		100.0	%		68
Quota Share Retrocessional		46.3		45.7	%		1	1
Indemnity Retrocession		33.2		32.7	%		19
Indemnity Reinsurance		21.1		21.6	%		48
Non-Traditional		0.0		0.0	%		0
Industry Loss Warranties		0.0		0.0	%		0
Other non-property catastrophe risk2		0.0		0.0	%		0
Cat Bonds		0.0		0.0	%		0
Retrocessional Hedging		0.0		0.0	%		0
Current Portfolio		101.4		100	%		68

¹  Underlying positions held within the quota share retrocessional agreements are in excess of 1,400.

² Contracts transacted in an International Swaps and Derivatives Association, Inc. contract format.

Company Outlook

The Company’s projected growth in fully converted book value per common share for 2018 remains closely in line with those published in November 2017 as follows:

Loss Scenario	Return
Mean		8.0	%
Median		13.0	%

The projected growth in fully converted book value per common share is based on the planned 2018 portfolio and the actual rate increases during the January 2018 renewal period. The projected growth in fully converted book value per common share also reflects the collateral expected to be available for redeployment during 2018 taking into account loss events in 2017 and associated buffer loss provisions. The projected growth in fully converted book value per common share is inclusive of any projected declared dividends, does not comprise a profit forecast and has been provided for illustrative and comparative purposes only. The projected growth in fully converted book value per common share is derived by reference to the collateral held, the contracts written to date and expected to be written at future renewal dates and takes into account the modeled mean and median catastrophe losses. As such, the projected growth in fully converted book value per common share set out above should not in any way be construed as forecasting the Company’s actual change in fully converted book value per common share should the Company’s actual losses differ from the modeled mean and median catastrophe losses or contract renewals differ from current expectations.

Portfolio Return Summary

Probability of:	January 2018			June 2017
Mean or Greater Return		66	%		72	%
Breakeven or Greater		86	%		83	%
Loss to Shareholders’ Equity Greater than 5%		8	%		12	%
Loss to Shareholders’ Equity Greater than 10%		5	%		9	%
Loss to Shareholders’ Equity Greater than 15%		4	%		6	%
Loss to Shareholders’ Equity Greater than 25%		2	%		3	%
Loss to Shareholders’ Equity Greater than 35%		1	%		2	%

Probable Maximum Loss

The exposures summarized below represent the first event exposure by major zone as a percentage of the Company’s shareholders’ equity. Per Blue Capital’s underwriting guidelines, the net first event Probable Maximum Loss in any one zone will not exceed 35% of the Company’s shareholders’ equity (at the time the investment is made).

Territory / Region / Peril	First Event VaR1 as a % of Shareholders’ Equity
US – Florida Hurricane		26.5	%
US – California Earthquake		18.6	%
Japan Earthquake		15.9	%
US – Gulf Hurricane		15.2	%
US – Northeast Hurricane		14.8	%
US – Mid-Atlantic Hurricane		11.0	%
UK & Ireland Windstorm		8.5	%
Japan Windstorm		7.7	%
All other territory / region / peril zones		< 5.0	%

¹ Value at Risk (“VaR”) represents the 99.0 percentile or the 1 in 100 year event for windstorm perils and the 99.6 percentile or the 1 in 250 year event for earthquake perils.

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 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 in Blue Capital’s public filings with the U.S. Securities and Exchange Commission or at www.bcapre.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, 2016.

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.