Duff & Phelps Credit Rating Co. has assigned ratings tosecurities issued by Kelvin Ltd. (Kelvin) that represent thefirst-ever securitization through the capital markets of aportfolio of weather-related risks aggregated by Koch EnergyTrading.

Kelvin is a special-purpose Cayman Islands company whoseoperations are limited to issuing notes and entering into a weatherportfolio swap with the energy trading subsidiary of KochIndustries Inc. Koch’s objectives in sponsoring this transactioninclude managing weather risk embedded in its energy andagriculture businesses.

The transaction effectively securitizes a portfolio of weatherderivative contracts and places the associated risks with investorsin the capital markets.

Proceeds from the notes have been used to fully collateralizethe weather portfolio swap, the performance of which depends on theactual temperature experience in specific U.S. locations overspecific periods of time. The weather derivative contracts coveredby the weather portfolio swap include call options, put options andswaps and are based on heating degree days, cooling degree days andaverage temperature degree days.

Risk Management Solutions Inc. provided the risk assessment forthe notes using the RMS Weather Model. RMS is a leading worldwideprovider of models and consulting services for the analysis ofnatural hazard risks, such as earthquakes, hurricanes and otherweather-related risks.

The ratings are as follows: $21.6 million of first-event seniornotes at ‘B-‘ (Single-B-Minus) and $23.0 million of second-eventsenior notes at ‘BBB-‘ (Triple-B-Minus). The ratings address thetimely payment of interest and the ultimate payment of principal.The notes are scheduled to mature on February 14, 2003, at the endof the three-year risk period. The notes were structured andunderwritten by Goldman, Sachs & Co.

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