Asagao – White Rock Insurance (SAC) Ltd.

Aon Insurance Managers owned Bermuda domiciled Class 3 and Class C insurer and segregated accounts company White Rock Insurance (SAC) Ltd. has facilitated and issued a new private insurance-linked securities (ILS) deal (or private catastrophe bond) for an unknown Japanese catastrophe risk exposed ceding company.

White Rock Insurance (SAC) Ltd. has issued ¥ 7.5 billion (JPY) Principal At-Risk notes, acting on behalf of its segregated account named Asagao. The issuance was made under the vehicles established White Rock Insurance (SAC) Ltd. ILS Note Program.

We understand the transaction features a securitization of Japanese earthquake insurance risks, with the underlying reinsurance or retrocession transaction structured to utilise a parametric trigger.

The notes were admitted for listing as insurance related securities on the Bermuda Stock Exchange (BSX) on September 6th 2019, at which time they had a value of close to US $70 million.

The $70 million of Asagao Principal At-Risk Notes are due for maturity on July 23rd 2021, suggesting they could be a two-year transactions completed during this summer (it can take a few weeks for cat bonds to list in certain cases, especially when privately arranged and placed).

The notes were placed with qualified institutional investors, in this case we understand likely to have been an insurance-linked securities (ILS) fund or funds.

We understand the notes provide reinsurance or retrocessional coverage for Japanese earthquake losses.

The coverage is on a parametric trigger basis and we understand the focus of the coverage is likely on the Tokyo region, as you’d typically expect with Japanese earthquake exposed cat bond or ILS deals.

Being a privately structured, issued and placed catastrophe bond or insurance-linked securities (ILS) deal, details are typically scarce with this issuance.