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$68m Asagao IV parametric cat bond issued by Aon’s White Rock


A fourth Asagao private catastrophe bond transaction has come to light, with the nearly $68 million Asagao IV transaction the latest to be issued by insurance and reinsurance broker Aon’s Bermuda domiciled Class 3 and Class C insurer and segregated accounts company White Rock Insurance (SAC) Ltd.

aon-white-rockIt appears this is a sponsor renewing some of their capital markets backed reinsurance or retrocession protection with this latest Asagao IV private cat bond deal, as it comes out of sync with other recent issues.

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

It was followed in March 2020 by the 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.

This latest Asagao IV looks like it may be 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 this time.

As with all of these private cat bonds, they are issued using the White Rock Insurance (SAC) Ltd. vehicle, which is managed and facilitated by Aon Insurance Managers, the specialist insurance manager unit of Aon.

This vehicle 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 in these Asagao private cat bonds, we assume that this Asagao IV transaction is again a securitisation of Japanese earthquake risks on a parametric basis, likely for the same unknown Japanese sponsor.

Aon Insurance Managers will have acted as the insurance manager for this Asagao IV private cat bond issuance, enabling issuance using its White Rock vehicle to place the roughly $68 million of 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 have been involved as well.

White Rock Insurance (SAC) Ltd. has issued the ¥ 7.5 billion (JPY) of Principal At-Risk notes (which is roughly US $68m as of the issuance date), acting on behalf of its segregated account named T87 Asagao IV (which we’ve shortened to just Asagao IV for its entry in our catastrophe bond Deal Directory).

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

The $68 million of Asagao IV Principal At-Risk Notes are scheduled for maturity on July 25th 2023.

The newly issued Asagao IV private cat bond notes have been placed with qualified institutional investors, which we expect were an insurance-linked securities (ILS) fund, or a number of ILS funds if the transaction 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 the coverage likely to be on a parametric trigger basis.

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

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