Non-Performing ILS Assets
Non-performing assets within an ILS portfolio are typically to be found in the portfolios containing so-called illiquid ILS or more correctly collateralised transformed reinsurance. Cat bonds always pay a coupon, albeit for off-risk periods (e.g. pre-risk-inception, post-risk-expiry or if the bond is held in extension) such coupon may be low.
When collateralised reinsurance goes into extension typically no additional premium is payable during the extension period.