White Rock issues $4.6m Asagao VI private parametric quake cat bond

White Rock Insurance (SAC) Ltd. has issued a sixth transaction in the Japanese Asagao private parametric earthquake catastrophe bond series, with a smaller that typical $4.6 million Asagao VI transaction coming to light.

White Rock Insurance (SAC) is insurance and reinsurance broker Aon’s Bermuda domiciled Class 3 and Class C insurer and segregated accounts company.

The vehicle is used as a risk transformation and securitisation platform for privately placed catastrophe bonds and other collateralised reinsurance arrangements, as well as for certain captive and segregated account offerings for insurance and reinsurance purposes.

The Asagao series of parametric Japanese earthquake private catastrophe bond deals first emerged back in 2019. We’ve learned they tend to always be parametric quake focused, so assume the same of this latest deal.

The first Asagao private catastrophe bond, or cat bond lite, was issued in September 2019, bringing roughly $70 million of securitised Japanese earthquake risks to investors on a parametric trigger basis.

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

Then in March 2021, a third Asagao deal came to light, with a roughly $18.3 million Asagao III private cat bond issued, that looked to be a renewal of the second Asagao transaction issued a year earlier.

Asagao IV was then issued around the mid-year point of 2021, looking like a possible 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.

Most recently, an Asagao V private cat bond emerged a year ago, looking like a renewal of the third, so a second renewal of that layer of risk, and was also JPY 2 billion in size.

Now, an Asagao VI deal has been issued, we’ve been told by sources, but at a much smaller size of only JPY 600 million, which is approximately US $4.6 million at today’s rate.

As with all of the Asagao deals so far, we’re told Japanese earthquake risks are the peril that features and it’s assumed this is again being transferred on a parametric basis, which was the case with the other Asagao cat bond deals.

Aon Insurance Managers will have acted as the insurance manager for this new Asagao private ILS deal, facilitating issuance of the roughly $4.6 million of Asagao VI notes using the White Rock structure to place the private insurance-linked securities (ILS) (or private catastrophe bond notes) with investors for an unknown Japanese catastrophe risk exposed cedent.

We assume that Aon’s Reinsurance Solutions and likely also its ILS specialist unit Aon Securities will have been involved in the transaction as well.

White Rock Insurance (SAC) Ltd. has issued the ¥ 600 million (JPY) of Principal At-Risk notes (which is roughly US $4.6m as of the issuance date), acting on behalf of its segregated account named T128 Asagao VI (which we’ve shortened to just Asagao VI for its entry in our catastrophe bond Deal Directory).

The notes have been issued through the White Rock Insurance (SAC) Ltd. ILS Note Program, which is a program for the issuance of privately placed catastrophe bonds, or other ILS arrangements, as well as their offering and sale to institutional investors.

The new Asagao VI notes are scheduled for maturity at April 28th 2024, we’re told.

It’s unclear precisely when these notes were issued, whether they fell into the first or second quarter at this stage. But being relatively small this time around, we’ve added the Asagao VI private cat bond as a first-quarter cat bond deal.

It is the smallest Asagao private cat bond to-date, which could imply the cedent behind the deals has found another source of risk capital more competitive in the current hard market environment, but wanted to keep the program going at the same time.

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