A.M. Best Assigns Rating to Shackleton Re Limited's Senior Debt.

OLDWICK, N.J. -- A.M. Best Co. has assigned a debt rating of "b+" to the $125 million Principal-at-Risk Variable Rate Notes due February 7, 2008, issued by Shackleton Re Limited (the issuer), a newly created Cayman Islands exempted company licensed as a restricted Class B insurer. The rating outlook is stable. E[acute accent]The primary business purpose for the creation of the issuer is for the issuance of various types of debt and servicing and performance of various agreements entered into, including the reinsurance agreement and other related covenants. E[acute accent]Proceeds from the issuance of the notes will be deposited into a collateral trust account and will be available to pay amounts owed by the issuer. This includes amounts owed to the swap counterparty; loss payments required to be made by the issuer under a multi-year reinsurance agreement entered between the issuer and Endurance Specialty Insurance Ltd. (Endurance) (Bermuda) providing coverage for certain earthquakes within the specific covered area; and payments in respect of such notes under an indenture between the issuer and JPMorgan Chase Bank, N.A. The proceeds will be deposited into an eligible bank institution that has a long-term deposit rating that meets or exceeds the minimum pre-established rating threshold. The notes have limited recourse to certain assets of the issuer and are without recourse to the ceding insurer, Endurance. These loans further strengthen Endurance's solid reinsurance program, although there is basis risk associated with the transaction. The ratings of the ceding insurer remain unchanged. E[acute accent]The assigned rating represents an opinion as to the issuer's ability to meet its financial obligations to security holders when due. The rating considers the probability of loss payments made when an earthquake occurs within the applicable risk period and has caused insured personal and commercial property losses in the covered territories exceeding a stated threshold amount. The annualized attachment probability of 2.07% was calculated using RMS's Interim Catastrophe Model, which is based upon Risk Link(R) (RL) 5.0 with adjustments to approximate the results of the recently released RL 6.0 model version. E[acute accent]In addition, the rating takes into consideration the creditworthiness of Endurance, who under the reinsurance agreement, is responsible for making periodic payments (premium and expense reimbursements) to the issuer. E[acute accent]For Best's Debt Ratings, all other Best's Ratings, an overview of the rating process and rating methodologies, please visit www.ambest.com/ratings.

E[acute accent]A.M. Best Co., established in 1899, is the world's oldest and most authoritative insurance rating and information source. For more information, visit A.M. Best's Web site at www.ambest.com.