Aon’s White Rock issues $16.2m Asagao V private cat bond

Aon’s Bermuda domiciled Class 3 and Class C insurer and segregated accounts company White Rock Insurance (SAC) Ltd. has issued a fifth transaction in the Japanese Asagao private catastrophe bond series, with a $16.2 million Asagao V completed.

The first Asagao private catastrophe bond, or cat bond lite, came to market in September 2019, a roughly $70 million securitisation of Japanese earthquake risks on a parametric trigger basis.

That was followed in March 2020 by a second, an Asagao II private cat bond transaction that featured an approximately $18.3 million (JPY 2 billion) securitisation of catastrophe risks.

In March 2021, the third came to light, when a roughly $18.3 million Asagao III private cat bond was issued, that looked like a renewal of the second Asagao transaction issued a year earlier.

Then, an Asagao IV issuance around the mid-year point of 2021 looked like a renewal of the first, being also JPY 7.5 billion in size and as the first Asagao private catastrophe bond was slated to mature around that time.

Now, this Asagao V private cat bond looks like it could be a renewal of the third, so a second renewal of that layer of risk, being also JPY 2 billion in size.

Today, this converts to roughly US $16.2 million, but the level of coverage in Japanese Yen is identical and the timing is right for this to be a renewal of the second and third Asagao deals.

As with all of the Asagao private cat bonds, this fifth has been issued using the White Rock Insurance (SAC) Ltd. vehicle, which is managed and facilitated by Aon Insurance Managers, the specialist insurance management unit of broker Aon.

White Rock Insurance provides a risk transformation and securitisation platform for privately placed catastrophe bonds and collateralised reinsurance arrangements, as well as other captive and segregated account type services for re/insurers and cedents.

Given the trend seen across the Asagao private cat bonds to-date, we assume that this Asagao V transaction is again a securitisation of Japanese earthquake risks on a parametric basis, likely for the same unknown Japanese sponsor.

Aon Insurance Managers always acts as the insurance manager for these deals, enabling issuance of the roughly $16.2 million of Asagao V notes using its White Rock vehicle to place the private insurance-linked securities (ILS) (or private catastrophe bond notes) for an unknown Japanese catastrophe risk exposed cedent.

It’s likely that Aon’s Reinsurance Solutions and perhaps ILS specialist unit Aon Securities will also have been involved in the transaction.

White Rock Insurance (SAC) Ltd. has issued the ¥ 2 billion (JPY) of Principal At-Risk notes (which is roughly US $16.2m as of the issuance date), acting on behalf of its segregated account named T99 Asagao V (which we’ve shortened to just Asagao V for its entry in our catastrophe bond Deal Directory).

This transaction was issued through the White Rock Insurance (SAC) Ltd. ILS Note Program, which facilitates issuance of privately placed catastrophe bonds, or other ILS arrangements, as well as their offering and sale to institutional investors.

The $16.2 million of Asagao V Principal At-Risk Notes are scheduled for maturity on April 28th 2023.

The newly issued Asagao V private cat bond notes were all placed with qualified institutional investors, likely an insurance-linked securities (ILS) fund, or a number of ILS funds if the deal was syndicated.

As with all of the Asagao private cat bonds, we assume the issued notes provide reinsurance or retrocessional coverage against Japanese earthquake losses for an unnamed cedent, with a parametric trigger likely used, as it was in the previous deals in this series.

You can read all about this Asagao V private insurance-linked securities (ILS) arrangement and every other catastrophe bond transaction in the Artemis Deal Directory.