Munich Re’s Carillon is latest Lehman default
A tranche of Munich Re's $150mn Carillon Ltd US wind cat bond has become the latest of a quartet of Lehman Brothers-affected insurance-linked securitisations (ILS) to default.
Carillon Ltd's $84.5mn series 1 class A-1 notes have been downgraded to a D (default) rating by ratings agency Standard & Poor's because of a failure to repay its principle.
Lehman Bros Special Financing - whose parent collapsed in October 2008 - was the total return swap counterparty for the transaction, thus acting...
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