Abstract: On Sept. 30, 2008, Standard&Poor's Ratings Services lowered its rating on Carillon Ltd.'s class A-1 principal-at-risk variable-rate series I 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 Since then, we have withdrawn our ratings on Lehman Brothers Holdings, and Carillon has terminated the swap.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 is the

Brief Excerpt: RESEARCH Ratings Definitions Research Update: Carillon Ltd.'s Class A-1 Series 1 Notes Lowered To '##'; Rating Remains On Watch Negative Publication date: 30-Sep-2008 Primary Credit Analyst: Cameron Heath, London (44) 20-7176-7053;...

Report Type: Research Update
Issuer: Carillon Ltd.
Sector: Asset-Backed Securities, Structured Finance
Country: Cayman Islands
Region: Latin America
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 S&P Credit Research
S&P Credit Research provides analysis on issuers and debt obligations of corporations, states and municipalities, financial institutions, insurance companies and sovereign governments. S&P also offers insight into the credit risk of structured finance deals, providing an independent view of credit risk associated with a growing array of debt-securitized instruments.