Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Carillon Ltd.

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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
  • news coverage: Articles discussing Carillon Ltd. from

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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