Insurance Linked Notes Overviews
Insurance Linked Notes (ILNs) are a range of notes issued by a Bermuda based Special Purpose Vehicle; ILN SAC Ltd.
Similar to many other Catastrophe Bonds, they are based on Insured Industry Loss triggers.
All ILNs are listed on the Bermuda Stock Exchange.
There are numerous combinations of ILNs based on Covered Area, Type of Peril(s), Trigger Level, basis of Trigger, and duration. Each deal can be designed and structured via discussion with our brokers, resulting in an ILN transaction that is self-descriptive, i.e. ILN-FL-W-20B-OCC-15-DEC-23, where ILN = name of SPV, FL = Florida, W = Windstorm, 20B =USD20billion Industry Loss Trigger Level, OCC = per Occurrence and 15-DEC-23 = Expected Maturity Date.
ILNs are executed at point of trade by Tullett Prebon voice brokers, and each ILN transaction comprises a Protection Buy note (PB) and a Protection Sell note (PS) with one overall aggregate limit. Trade Settlement is also overseen by Tullett Prebon, usually on a T+5 DVP basis (Euroclear) with Prospectus Supplements and ISIN numbers issued during the settlement period.
Both PB and PS notes are tradable in the secondary market, and mark-to-market pricing is provided (the combined value of PB and PS Notes will always be equivalent to the overall aggregate limit).
The PB notes can, if required, be transformed from note form to Reinsurance form (PB TRANS Series). This transformation is effected outside the ILN structure via Artex SAC Ltd, a separate Bermuda based vehicle
For more detailed information, please download the ILN Presentation
