Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Catastrophe bonds, insurance linked securities, reinsurance capital & investment, risk transfer intelligence.
Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Carillon Ltd.

The Artemis Catastrophe Bond and Insurance-linked Securities Deal Directory aims to provide a one-stop resource for information on every cat bond and ILS transaction we hold information on. The content of this Deal Directory is provided as is and there will be some omissions. Help us to keep these cat bond and ILS transaction summaries up to date by contacting us if you see an error or omission that you can correct.

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Carillon Ltd. – At a glance:

  • Issuer: Carillon Ltd.
  • Cedent / sponsor: Munich Re
  • Placement / structuring agent/s: Morgan Stanley acted as placement agent
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane
  • Size: $84.5m
  • Trigger type: Industry loss index
  • Ratings: S&P: Class A-1 - 'B+', Class A-2 - 'B+', Class B - 'B'
  • Date of issue: Jun 2006
  • Artemis.bm news coverage: Articles discussing Carillon Ltd. from Artemis.bm

Carillon Ltd. – Full details:

Munich Re’s first Carillon Ltd. catastrophe bond transaction providing them with cover against severe U.S. hurricanes.

Carillon Ltd. is a Cayman Islands domiciled SPV and the facility is set up as a shelf programme to allow for future issuances.

The collapse of the Lehman Brothers in 2008 left the Class A-1 tranche of Carillon Ltd. notes without a viable total return swap counterparty. Carillon Ltd. had its ratings lowered by Standard & Poor’s after it failed to make payment on its principal in full on the due date. The value of the collateral assets under the total return swap were not enough to make full payment.

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