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): March 9, 2020 BLUE CAPITAL REINSURANCE HOLDINGS LTD. (Exact Name of Registrant as Specified in Its Charter) Bermuda 001-36169 98-1120002 (State or Other Jurisdiction of (Commission (I.R.S. Employer Incorporation or Organization) File Number) 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)) Securities registered pursuant to Section 12(b) of the Act: Trading Name of each exchange Title of each class symbol(s) on which registered Common Shares, par value $1.00 per share BCRH New York Stock Exchange Common Shares, par value $1.00 per share BCRH.BH Bermuda Stock Exchange 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 3.01 Notice of Delisting or Failure to Satisfy a Continued Listing Rule or Standard; Transfer of Listing. On March 9, 2020, Blue Capital Reinsurance Holdings Ltd. (“Blue Capital” or the “Company”) announced its intention to file a Form 25 (Notification of Removal from Listing and/or Registration under Section 12(b) of the Securities Exchange Act of 1934) with the U.S. Securities and Exchange Commission (the “SEC”) to voluntarily withdraw its common shares from listing on the New York Stock Exchange (“NYSE”). The Company expects to file the Form 25 on or about March 19, 2020 and expects the delisting to be effective approximately 10 days after the filing of the Form 25. As a result, the Company expects that the last trading day of its common stock on the NYSE will be on or about March 30, 2020. The Company will also withdraw its listing with the Bermuda Stock Exchange (“BSX”) prior to July 31, 2020. The voluntary delisting is part of Blue Capital’s previously announced decision to cease active operations and pursue an orderly run-off of its liabilities and in force portfolio and return capital to shareholders. The delisting from NYSE and the BSX will not impact the Company’s ability to make future distributions. After the effectiveness of the Form 25 filing, Blue Capital expects to file a Form 15 with the SEC, requesting the suspension of Blue Capital’s reporting obligations under Sections 13(a) and 15(d) of the Securities Exchange Act of 1934. Following delisting and deregistration, the Company believes that its common shares will continue to be quoted on the OTC Pink Open Market (“OTC Pink”), a centralized electronic quotation service operated by the OTC Markets for over-the-counter securities. However, the Company can give no assurance that trading in its common shares will continue in the future on the OTC Pink, on any securities exchange, or in any other quotation medium. The Company’s press release dated March 9, 2020 furnished as Exhibit 99.1 to this Current Report on Form 8-K is incorporated by reference herein. Item 9.01 Financial Statements and Exhibits. (d) Exhibits The following exhibit is furnished as part of this report: Exhibit No. Description 99.1 Press Release dated March 9, 2020. 2 SIGNATURES 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) March 9, 2020 By: /s/ John V. Del Col Date Name: John V. Del Col Title: Secretary 3 Exhibit 99.1 Blue Capital Announces Intent to Voluntarily Delist from New York Stock Exchange and Bermuda Stock Exchange HAMILTON, Bermuda — March 9, 2020 — Blue Capital Reinsurance Holdings Ltd. (NYSE:BCRH, BSX: BCRH.BH) (“Blue Capital” or the “Company”) announces its intention to file a Form 25 (Notification of Removal from Listing and/or Registration under Section 12(b) of the Securities Exchange Act of 1934) with the U.S. Securities and Exchange Commission (the “SEC”) to voluntarily withdraw its common shares from listing on the New York Stock Exchange (“NYSE”). The Company expects to file the Form 25 on or about March 19, 2020 and expects the delisting to be effective approximately 10 days after the filing of the Form 25. As a result, the Company expects that the last trading day of its common stock on the NYSE will be on or about March 30, 2020. The Company will also withdraw its listing with the Bermuda Stock Exchange (“BSX”) prior to July 31, 2020. The voluntary delisting is part of Blue Capital’s previously announced decision to cease active operations and pursue an orderly run-off of its liabilities and in force portfolio and return capital to shareholders. The delisting from NYSE and the BSX will not impact the Company’s ability to make future distributions. After the effectiveness of the Form 25 filing, Blue Capital expects to file a Form 15 with the SEC, requesting the suspension of Blue Capital’s reporting obligations under Sections 13(a) and 15(d) of the Securities Exchange Act of 1934. Following delisting and deregistration, the Company believes that its common shares will continue to be quoted on the OTC Pink Open Market (“OTC Pink”), a centralized electronic quotation service operated by the OTC Markets for over-the-counter securities. However, the Company can give no assurance that trading in its common shares will continue in the future on the OTC Pink, on any securities exchange, or in any other quotation medium. About Blue Capital Blue Capital Reinsurance Holdings Ltd., 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 in the Company’s public filings with the U.S. Securities and Exchange Commission or at www.bcapre.bm. Contacts Investor Relations Phone: +1 441 278 0988 E mail: [email protected] Safe Harbor for 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 special dividends and financial performance. Such statements may include forward-looking statements with respect to future special dividends, our run-off financial performance and the insurance and reinsurance sectors. 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 the Company’s run-off performance and the timing and amount of special dividends 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 described in our Annual Report on Form 10-K for the year ended December 31, 2019.