S&P Comments on KAMP RE Extension Notice; No Rating Change

November 20, 2007

Standard & Poor’s Ratings Services acknowledged that it has received a copy of an extension notice from the administrator for KAMP RE 2005 Ltd. “As permitted under the transaction documents, Swiss Reinsurance America Corp. will extend the maturity of KAMP RE 2005 Ltd.’s $190 million floating-rate, principal-at-risk notes to Jan. 14, 2008,” said S&P. “Swiss Re may elect to extend the notes for up to 35 additional monthly periods.”

S&P restated its announcement made Nov. 5, 2007, to the effect that the ultimate net losses exceeded the transaction’s $1 billion trigger amount. “Given the filing of the extension notice, it is anticipated that there will a partial principal loss to noteholders,” said the bulletin. “KPMG Cayman Islands, the claims reviewer, has 20 calendar days from receipt of the notice to evaluate the claim. A final determination is expected by Nov. 20, 2007.

“If KPMG Cayman Islands provides a claims review letter with a verified amount of paid losses in excess of the trigger amount, KAMP RE 2005 Ltd. will make a reinsurance payment to Swiss Re by Dec. 14, 2007.”

S&P credit analyst Gary Martucci noted that “upon receipt of a copy of the claims review letter, we will revise the rating on KAMP RE’s 2005 Ltd.’s $190 million floating-rate, principal-at-risk notes to ‘D’ from ‘CC’. Until that time, the rating on the notes remains on CreditWatch with negative implications, where it was placed on Oct. 5, 2005.”

Source; S&P – www.standardandpoors.com

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