A.M. Best Assigns Ratings to East Lane Re Ltd.'s Variable Rate Notes

Business Wire, April 30, 2007

OLDWICK, N.J. -- A.M. Best Co. has assigned debt ratings of "bb" to the $135 million Series A 2007-I variable rate notes and "bb-" to the $115 million Series B 2007-I variable rate notes, (collectively, the notes) both due May 2011, issued by East Lane Re Ltd. (the issuer), a newly created Cayman Islands exempted special purpose company licensed as a Class B insurer in the Cayman Islands. The notes are the first series to be issued under the issuer's variable rate note program (the program) and in the future, additional notes may be issued under this program. The outlook for both ratings is stable.

The business conducted by the issuer will be limited, consisting solely of the issuance of one or more series of the notes; the servicing of the various agreements entered into between the issuer and other parties, including the reinsurance agreements between the issuer and Chubb Group of Insurance Companies (the ceding insurer) [NYSE: CB]; the swap agreement between the issuer and Goldman Sachs International (the swap counterparty); and other related agreements and activities.

Under the reinsurance agreements, the issuer will provide the ceding insurer with up to $250 million of aggregate indemnity protection over a four year period beginning May 1, 2007, when losses covering residential property caused by individual northeast hurricanes meet or exceed a pre-established attachment point. In exchange for receiving the multi-year reinsurance coverage, the ceding insurer will make periodic premium payments to the issuer. The reinsurance attachment point, exhaustion point, layer and insurance percentage (collectively, the reset output) will be re-calculated on November 1 of 2007, 2008 and 2009, using updated portfolio data as of September 1 of 2007, 2008 and 2009.

Proceeds from the issuance of each series of notes will be deposited into separate reinsurance trust accounts and will be available to satisfy obligations of the issuer. This includes loss payments required to be made by the issuer to the ceding insurer under the reinsurance agreements, amounts owed to the swap counterparty and payments in respect of the notes issued under an indenture between the issuer and The Bank of New York, the indenture trustee. All funds in the reinsurance trust accounts will be invested in accordance with the investment guidelines specified in the reinsurance trust agreements. The notes are with limited recourse to certain assets of the issuer and without recourse to the ceding insurer and its affiliates.

The assigned ratings represent A.M. Best's opinion as to the issuer's ability to meet its financial obligations to security holders when due. The ratings take into consideration a multitude of factors including the annualized near-term modeled attachment probability (i.e. the first dollar of loss) of 1.13% for Series A notes and 1.52% for Series B notes as provided by AIR Worldwide Corporation, the modeling and reset agent involved in the transaction, and a review of the structure and the legal documentation surrounding the structure. In addition, the ratings take into consideration an assessment of the ceding insurer's ability to make periodic payments (reinsurance premium and swap spread) to the issuer and the swap counterparty's ability to meet its obligations under the swap agreement.

Founded in 1899, A.M. Best Company is a full-service credit rating organization dedicated to serving the financial services industries, including the banking and insurance sectors. For more information, visit www.ambest.com.