Preheat your oven to 400°F (200°C).
Place the corn on a baking sheet and roast for 20 minutes, turning occasionally, until the corn is golden brown.
Remove the corn from the oven and let it cool. Cut the kernels off the cobs and set aside.
In a large pot, heat the olive oil over medium heat. Add the onion and garlic, and cook until softened, about 5 minutes.
Add the roasted corn kernels, vegetable broth, heavy cream, salt, and black pepper to the pot. Bring to a boil, then reduce the heat and simmer for 15 minutes.
Using a blender, puree the soup until smooth. Return the soup to the pot and heat through.
Stir in the chopped cilantro just before serving. Enjoy!