| Abstract: | On Sept. 30, 2008, Standard&Poor's Ratings Services lowered its rating on Ajax Re Ltd.'s class A principal-at-risk variable-rate series 1 notes to 'CC' from 'BB'. The rating remains on CreditWatch with negative implications. We placed the rating on CreditWatch negative on Sept. 15, 2008, because of the notes' exposure to Lehman Brothers Holdings Inc., which was the guarantor of Lehman Brothers Special Financing, the total return swap counterparty. Since then, we have withdrawn our ratings on Lehman Brothers Holdings, and Ajax Re has terminated the swap. The issuer is currently exploring its options. Under Standard&Poor's criteria for rating natural peril catastrophe bonds, we look at the weak link among the parties to the issuance. Typically, this
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