Willis brokerage said its Capital Markets unit has acted asco-lead manager with Lehman Brothers financial services firm in a$100 million notes offering that will collateralize a reinsuranceagreement.

The London-based Willis said the notes were issued by Ajax ReLimited as part of a $1 billion shelf program to providereinsurance protection to Aspen Insurance Limited for Californiaearthquake events. Lehman Brothers acted as sole initial purchaserand bookrunner for the deal.

Proceeds of the notes collateralize a reinsurance agreementbetween Ajax Re Limited and Aspen, Willis said. Loss payments underthe reinsurance agreement are triggered by estimated insuredproperty losses as reported by Property Claims Services.

The notes, which were rated "BB" by Standard & Poor's and"b+" by AM Best, have a coupon of Libor +625 basis points. Thenotes mature on May 9, 2009.

The program, Willis said, allows Ajax Re to issue further seriesof notes to provide Aspen with up to $1 billion of protection, inrespect of any perils, at any given time.

Mark Hvidsten, Willis Capital Markets chief executive officer,said the transaction "provides Aspen with catastrophe reinsuranceat attractive terms."

Willis Capital Markets specializes in the structuring andplacement of financial instruments that access risk capital fromoutside the traditional insurance and reinsurance markets.