A.M. Best Assigns Ratings to Bay Haven's Variable Rate Notes.

OLDWICK, N.J. -- A.M. Best Co. has assigned debt ratings of "aa" to $133,500,000 of Class A principal at risk variable notes due 2009 and "bbb" to $66,750,000 of Class B principal at risk variable notes due 2009, (notes) of Bay Haven Limited (issuer), a special purpose vehicle (SPV).

The issuer is a newly created Cayman Islands exempted company with limited liability. The primary business purpose for the creation of the SPV was for the raising of funds by the issuing of the notes for the purpose of purchasing assets; entering into related derivative and other contracts; and the performance of activities related to the servicing of the various agreements.

Net proceeds from the issuance of the notes will be deposited into a trust account and will be available as collateral to make any payments required by the issuer under a multi-year catastrophe swap agreement (cat swap) entered between the issuer and Catlin Insurance Company Ltd. (Catlin). The agreement provides Catlin with fully collateralized protection against exposure to a series of severe worldwide natural catastrophes. Under the terms of the cat swap, Catlin will receive protection of up to $200,250,000 if at least four and up to nine natural catastrophic events (perils) are triggered during the three-year risk period. The risk event or peril categories include the following: a U.S. hurricane, a U.K. and European windstorm, a Japanese typhoon and/or earthquake, a California earthquake and a New Madrid (U.S.) earthquake. The triggers, as outlined in the contract, consist of two types. For U.S.-based perils, events are considered to have been triggered if industry losses, as reported by Property Claims Services, a company that compiles and reports estimates of insured property losses resulting from catastrophes, exceed a specified defined threshold amount. The index value for non-U.S. based perils is determined by reference to a parametric model constructed by Risk Management Solutions (RMS). Upon the occurrence of the fourth to ninth triggered risk event that occurs during the three-year risk period, a payment of $33,375,000 applicable to each covered risk (triggered) event will be paid to Catlin. The Class B notes will be exposed to triggered event numbers four and five, while Class A notes will be exposed to trigger events six through nine.

The assigned ratings represent an opinion as to the issuer's ability to meet its financial obligations to the note holders when due. The ratings of the notes take into consideration and reflect the modeled probability of attachment (i.e. the first dollar of loss) on each note tranche as determined by RMS using its propriety RiskLink Interim Model. The risk analysis performed by RMS on all the applicable peril models was conducted using Version 6.0. A.M. Best also performed its own stochastic analysis including stress scenarios, by using the attachment probabilities for each peril as determined by RMS and applying its own collateral debt obligation (CDO) methodology to determine the number of events over the risk of the transaction.

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.