CATCo Reinsurance Opportunities Fund Ltd Ordinary Shares Interim Report for the Six Months Ended 30 June 2024

27 September 2024

CATCo Reinsurance Opportunities Fund Ltd. (the "Company")

Interim Financial Report

For the Six Months Ended 30 June 2024

To: Specialist Fund Segment, London Stock Exchange and Bermuda Stock Exchange

CHAIRMAN'S STATEMENT

As the underlying investment portfolios of CATCo Reinsurance Opportunities Fund Ltd. (the "Company") continue to be run-off (the "Run-Off"), the remaining investments held by the Company in the Master Fund represent cash and assets exposed to risk relating to reinsurance contracts entered into from 2018 to 2019.

Markel CATCo Investment Management Ltd. (the "Investment Manager") continues to be focused on proactively managing the trapped capital. The Company intends to make a ninth Partial Compulsory Redemption during Q4 of 2024. Shareholders will be provided with further information on the redemption in due course.

NET ASSET VALUE ("NAV")

The Company opened the year with a total NAV of $14.5m which consisted of $2.4m Ordinary Share NAV and $12.1m of C Share NAV and increased to $21.2m by 30 June 2024, of which $3.5m relates to the Ordinary Share NAV and $17.7m to the C Share NAV.

The increase in NAV is due to further upside recorded relating to positive loss development recognized upon commutation of the contracts in the 2018 and 2019 reinsurance portfolios plus interest income. This resulted in a closing NAV per share of $30.6963 and $226.1956 for Ordinary Shares and C Shares respectively.

2024 Ordinary Shares NAV ($m)

RETURN OF CAPITAL TO SHAREHOLDERS

From the commencement of the Run-Off (26 March 2019) to 30 June 2024, the Company has successfully returned $413.9m of capital to Shareholders by means of dividends, tender offer, share buybacks, compulsory share redemptions and completion of the Buy-Out Transaction.

CATCo Reinsurance Opportunities Fund Ltd. For and on behalf of the Board

27 September 2024

DIRECTORS' REPORT

EFFICIENT CAPITAL MANAGEMENT DURING RUN-OFF OF PORTFOLIO AND DISTRIBUTIONS

During the period from inception of the Company to 26 March 2019, the investment objective of the Company and the Master Fund SAC was to give their Shareholders the opportunity to participate in the returns from investments linked to catastrophe reinsurance risks, principally by investing in fully collateralised Reinsurance Agreements accessed by investments in Preference Shares of the Reinsurer.

With effect from 26 March 2019 (the "Run-Off Inception Date"), when the Company's Shareholders approved an amendment to the Company's investment policy so as to allow an orderly Run-Off of the Company's portfolios with the effect that the Company's investment policy is now limited to realising the Company's assets and distributing any net proceeds to the relevant Shareholders, the Company has taken a number of actions in order to progress the Run-Off and retucapital to Shareholders as efficiently as possible. These actions are described in more detail in the Company's successive Annual Reports for the years ended 31 December 2020 onwards, most recently in the Annual Report for the year ended 31 December 2023 (the "2023 Annual Report"), which is available on the Company's website. The Chairman's Statement on page 4 summarises these actions and all returns of capital to Shareholders for the period from the Run-Off Inception Date to 30 June 2024. The Chairman's Statement also summarises the Investment Manager's current activities in progressing further recoveries for eventual distribution to Shareholders.

In view of the amendment to the Company's investment policy referred to above, the Directors have concluded that the Company will not raise further capital in any circumstances, and so the Company is being wound down by means of a managed process leading to liquidation in due course. Accordingly, the only further business that will be undertaken is that necessary to complete the Run-Off of each of the Company's portfolios.

The Directors remain of the view that it is currently in the best interests of the Company for the Investment Manager to continue to manage the Run-Off, rather than to commence a formal members' voluntary liquidation. The Directors will keep this approach under review and currently anticipate that they will not look to put the Company into members' voluntary liquidation until the Run-Off is substantially completed. At such time, a further circular will be delivered to Shareholders to convene a further meeting at which the Shareholders will be asked to approve the liquidation.

MANAGEMENT OF RISK

The Board of Directors regularly reviews the major strategic and emerging risks that the Board and the Investment Manager have identified, and against these, the Board sets out the delegated controls designed to manage those risks.

The principal risks facing the Company relate to share price and liquidity and the efficient management of the Run-Off process. The Run-Off process is managed by the process of formal oversight at each Board meeting, and by interim progress update reports provided by the Investment Manager to the Board. Operational disruption, accounting and legal risks are covered annually, and regulatory compliance is reviewed at each Board meeting.

The Board is assured that there are sufficient systems and controls in place to ensure the continuity and adequacy of the services provided by the Investment Manager and that the Run-Off process, including returns of capital to Shareholders (after repayment of the Buy-Out Amount, as described in the 2023 Annual Report) and the management of costs and expenses, will continue to be managed efficiently. Additionally, emerging risks in the reinsurance market are not relevant to the underlying portfolio that is in Run-Off.

In the view of the Board, there have not been any changes to the fundamental nature of these risks since the previous Report, and these principal risks and uncertainties are equally applicable to the remaining six months of the financial year as they were to the six months under review.

SHARE CAPITAL

The Company's issued share capital at 1 January 2024 amounted to 114,104 Ordinary Shares and 78,324 C Shares. As at the date of this Report, the Company's issued share capital is unchanged.

RELATED PARTY DISCLOSURE AND TRANSACTIONS WITH THE INVESTMENT MANAGER

The Investment Manager, which was appointed as the Company's Investment Manager on 8 December 2015, is also the investment manager of the Master Fund SAC and the insurance manager of the Reinsurer. The Company entered into a new investment management agreement with the Investment Manager on 28 March 2022 (the "Investment Management Agreement") in connection with the Buy-Out Transaction which completed on 11 April 2022 (as further detailed in the 2022 Annual Report). The terms of the Investment Management Agreement substantially reflect the terms of the investment management agreement between the Company and the Investment Manager entered into on 8 December 2015. The Investment Manager is entitled to a management fee. Beginning in July 2022, following the move to quarterly reporting announced on 14 July 2022, the management fee is calculated and payable quarterly in arrears equal to 1/4 of 1.5 per cent of the net asset value of the Company which was not attributable to the Company's investment in the Master Fund Shares as at the last calendar day of each calendar quarter.

On 28 January 2021, the Company announced the continuation of its decision in 2020 to consent to a partial waiver of 50.00% (one-half) of the management fee paid by the Master Fund SAC to the Investment Manager in respect of such of its Master Fund Shares that are exposed to side pocket investments (the "SP Management Fees") for the period 1 January 2021 to 31 December 2021, resulting in an effective management fee of 0.75% per annum for that period. That partial waiver has continued since then and will continue in force for the foreseeable future. Performance fees are also payable to the Investment Manager by the Master Fund SAC, subject to certain performance targets being met.

As at the date of this report, Markel Corporation ("Markel"), which holds the entire share capital of the Investment Manager, holds, through its asset management subsidiary, 3.91 per cent of the total voting rights of the Ordinary Shares and C Shares issued by the Company.

In addition, one of the Directors of the Company is also a Shareholder of the Company.

GOING CONCERN STATUS

The Company's business activities, together with the factors likely to affect its future development, performance and position, are set out in the Chairman's Statement.

After due and careful consideration of the Company's circumstances and objectives as described elsewhere in this document, the Directors have concluded that the Company has adequate financial resources to continue its operational existence for the foreseeable future, and at least six months from the date of this half-yearly report or until such time as the Board considers it appropriate, having taken advice, to place the Company into voluntary liquidation. Accordingly, the Board continues to adopt the going concebasis in preparing these accounts.

DIRECTORS' RESPONSIBILITY STATEMENT

The Directors are responsible for preparing the Half-Yearly Financial Report in accordance with applicable law and regulations. The Directors confirm that, to the best of their knowledge:

1. The condensed set of Financial Statements contained within the unaudited Half-Yearly Financial Report has been prepared in accordance with U.S. Generally Accepted Accounting

Principles ("U.S. GAAP"). These Financial Statements present fairly, in all material respects, the assets, liabilities, financial position and profit or loss of the Company.

2. The Chairman's Statement, the Directors' Report, the Financial Highlights and the notes to the

Condensed Interim Financial Statements provide a fair review of the information required by rule 4.2.7R of the Disclosure Guidance and Transparency Rules (being an indication of important events that have occurred during the first six months of the financial year and their impact on the condensed set of unaudited Financial Statements and a description of the principal risks and uncertainties for the remaining six months of the financial year) and rule 4.2.8R (being related party transactions that have taken place during the first six months of the current financial year and that have materially affected the financial position or performance of the Company during that period; and any changes in the related party transactions described in the last Annual Report that could do so).

The Half-Yearly Financial Report was approved by the Board on 27 September 2024, and the above responsibility statement was signed on its behalf by the Chairman.

James Keyes Chairman,

CATCo Reinsurance Opportunities Fund Ltd. For and on behalf of the Board

27 September 2024

CONDENSED STATEMENTS OF ASSETS AND LIABILITIES

CONDENSED STATEMENTS OF OPERATIONS

Net investment income allocated from

Master Fund (Note 4)

Company had entered into support undertakings or otherwise indicated their support for the Buy-Out Transaction.

On 26 October 2021, it was announced that Markel Corporation had agreed to increase the funding it would provide to facilitate certain improvements to the terms of the Buy-Out Transaction. The improvements resulted in the buy-out of all segregated accounts of the Funds, plus an additional cash distribution to investors by way of an increased consent fee and other cash consideration provided by Markel Corporation and its affiliates. On 28 October 2021, the Funds launched the Schemes to implement the Buy-Out Transaction.

Under the improved terms of the Buy-Out Transaction, investors in the Funds retained the right to receive any possible upside at the end of the applicable Run-Off period if currently held reserves exceed the amounts ultimately necessary to pay claims and after the repayment of the "Buy-Out Amount" provided by affiliates of Markel Corporation to fund the retuto NAV of investors.

On 3 February 2022, the Investment Manager, the Master Fund SAC and Markel Corporation entered into a settlement agreement with certain investors that had opposed the Schemes (the "Litigation Claimants"), which resolved their opposition to the Schemes and certain litigation brought against a former officer of the Investment Manager in the U.S. (the "Settlement"). Pursuant to the Settlement, the Litigation Claimants withdrew their opposition to the Schemes and, following the Closing Date of the Buy-Out Transaction, the Litigation Claimants received (i) the NAV of their Master Fund SAC shares in full and final satisfaction of their interests in the Master Fund SAC and (ii) an aggregate additional payment of $20 million funded by Markel Corporation and D&O insurance coverage in consideration for granting the releases of their claims and dismissing with prejudice the U.S. litigation.

On 7 March 2022 at scheme meetings convened by Bermuda court order, the Funds' respective investors voted overwhelmingly to approve the Schemes to implement the Buy-Out Transaction. On 11 March 2022, the Supreme Court of Bermuda entered orders approving the Schemes. On 16 March 2022, the United States Bankruptcy Court for the SoutheDistrict of New York entered orders approving the enforcement in the United States of the Bermuda court sanctioning orders pursuant to Chapter 15 of the United States Bankruptcy Code. The Closing Date of the Buy-Out Transaction occurred on 28 March 2022 in accordance with the terms of the Schemes.

Under the Buy-Out Transaction, the Funds' investors received an accelerated retuof 100% of the NAV of the Funds as at 31 January 2022, with investors retaining the right to any upside at the end of the applicable Run-Off period if currently held reserves exceed the amounts advanced by affiliates of Markel Corporation to fund the retuof capital after the ultimate claims related to reinsurance loss events have been settled. Investors in the Master Fund SAC, including the Company, also received their pro rata share of an additional cash contribution of approximately $54 million from a Markel Corporation affiliate to off-set transaction costs and future running costs of the Master Fund SAC and to provide additional cash consideration to investors.

In relation to the Company, the Buy-Out Transaction was implemented by way of a redemption of 99% of the holdings of each investor in the Master Fund, the proceeds of which, along with all additional consideration, were paid to investors on 11 April 2022 amounting to $51.7m and $53.9m for Ordinary Shares and C Shares respectively.

Investors remain entitled, through their retained interest in the Company, to receive the remaining assets of the Company (as and when such assets become available for distribution and the Board determines it is appropriate to make such distributions), including any surplus from the existing cash reserves held by the Company and any upside following the repayment of the Buy-Out Amount.

In June 2022, the Reinsurer repaid an amount of $24m to the affiliates of Markel Corporation who financed the Buy-Out Amount for the Master Fund.

The Investment Manager is subject to the ultimate supervision of the Board, and is responsible for all of the Company's investment decisions. On 1 January 2020, the Investment Manager entered into a Run-Off Services Agreement with Lodgepine Capital Management Limited ("LCML"), under which LCML will provide services relating to the management of the Run-Off business of the Investment

Manager. On 15 November 2021, Markel announced its intention to wind down LCML, its retrocessional Insurance Linked Securities (ILS) fund manager based in Bermuda.

The Reinsurer is a Bermuda licensed Class 3 reinsurance company, registered as a segregated account company under the SAC Act, through which the Master Fund accesses the majority of its reinsurance risk exposure. The Reinsurer forms a segregated account that corresponds solely to the Master Fund's investment in the Reinsurer with respect to each particular reinsurance agreement.

The Reinsurer focuses primarily on property catastrophe insurance and may be exposed to losses arising from hurricanes, earthquakes, typhoons, hailstorms, winter storms, floods, tsunamis, tornados, windstorms, extreme temperatures, aviation accidents, fires, wildfires, explosions, marine accidents, terrorism, satellite, energy and other perils.

The Company's shares are listed and traded on the Specialist Fund Segment of the Main Market of the London Stock Exchange ("SFS"). The Company's shares are also listed on the Bermuda Stock Exchange ("BSX").

Basis of Presentation

The interim condensed Financial Statements are expressed in United States dollars and have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information. Accordingly, certain information and footnote disclosures normally included in the financial statements prepared in accordance with U.S. GAAP have been condensed pursuant to such guidance. These interim condensed financial statements should be read in conjunction with the annual financial statements and related notes as of 31 December 2023 which are readily available on the Regulatory News Service ("RNS") of the London Stock Exchange. The Company is an investment company and follows the accounting and reporting guidance contained within Topic 946, "Financial Services Investment Companies", of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC").

Under the terms of the Schemes of Arrangement Buy-Out agreement, estimated ordinary course fees, including estimated fees for the remaining Run-Off period of the Company, were accelerated in 2022 and formed part of the investor Buy-Out settlement. As such, these fees have been recognised as Schemes of Arrangement Ordinary Course Fees (Note 12) in the financial statements.

Going ConceConsiderations

In accordance with ASC 205-40-50, Presentation of Financial Statements-Going Concern, the Investment Manager and the Board have reviewed the Company's ability to continue as a going conceand have confirmed their intent to continue to Run-Off the Company's portfolios as a going conceuntil such time that the portfolio has been run-off. The Investment Manager and the Board have concluded that the Company has sufficient financial resources to continue as a going concebased on the following key considerations: (i) the Company holds investments in the Master Fund which are supported by underlying fully collateralised reinsurance contracts in the Reinsurer, and (ii) the Investment Manager and the Board have reviewed the Company's cash forecast for 12 months from the date of this report and have determined that the Company has sufficient cash to adequately meet operational expenses. Based on the aforementioned reasons, the Company continues to adopt the going concebasis in preparing the financial statements for the six-month period ended 30 June 2024.

Cash and Cash Equivalents

Cash and cash equivalents include short-term, highly liquid investments, such as money market funds, that are readily convertible to known amounts of cash and have original maturities of three months or less.

Valuation of Investments in the Master Fund

The Company records its investments in the Master Fund at fair value based upon an estimate made by the Investment Manager, in good faith and in consultation or coordination with Waystone Administration Solutions (BDA) Limited (previously known as Centaur Fund Services (Bermuda) Limited) (the "Administrator"), as defined in Note 4, where practicable, using what the Investment Manager believes in its discretion are appropriate techniques consistent with market practices for the relevant type of investment. Fair value in this context depends on the facts and circumstances of the particular investment, including but not limited to prevailing market and other relevant conditions, and