Asagao V – White Rock Insurance (SAC) Ltd.

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Asagao V – White Rock Insurance (SAC) Ltd. – At a glance:

  • Issuer: White Rock Insurance (SAC) Ltd.
  • Cedent / sponsor: Unknown
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Japanese earthquake
  • Size: $16.2m
  • Trigger type: Parametric
  • Ratings: NR
  • Date of issue: Mar 2022

Asagao V – White Rock Insurance (SAC) Ltd. – Full details:

This is the fifth private catastrophe bond in the Asagao series of deals.

This Asagao V private cat bond appears to be a renewal of the third, possibly representing a second renewal of that layer of risk, being also JPY 2 billion in size.

This converts to roughly US $16.2 million at time of issuance, 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).

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.

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