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Asagao parametric Japan quake cat bond renewal issued by Aon’s White Rock


A third Asagao private catastrophe bond transaction, a roughly $18.3 million Asagao III – White Rock Insurance (SAC) Ltd., has been 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-rockThe issuance appears to be a renewal of last year’s Asagao II Japanese private catastrophe bond, which was the second in the Asagao series of private cat bond deals, all issued by the White Rock SAC structure operated by Aon Insurance Managers.

Managed and facilitated by Aon Insurance Managers, the specialist insurance manager unit of Aon, the White Rock Insurance (SAC) Ltd. 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.

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

It was followed by the second deal a year ago, an Asagao II private cat bond transaction that featured an approximately $18.3 million (JPY 2 billion) securitisation of catastrophe risks.

This new Asagao III private cat bond is the same size, at JPY 2 billion and that converts to roughly the same $18.3 million today, so we presume it to be a renewal of the same coverage layer for the same Japanese sponsor.

As a result, we assume that this Asagao III private cat bond is a securitisation of Japanese earthquake risks on a parametric basis, likely for the same unknown Japanese sponsor, although we cannot confirm at this time.

Aon Insurance Managers will again have played the key role as manager for this Asagao III private cat bond issuance, facilitating it using its issuance vehicle to place a new private insurance-linked securities (ILS) deal (or private catastrophe bond) for an unknown Japanese catastrophe risk exposed cedent, likely working with Aon’s Reinsurance Solutions and perhaps ILS specialist unit Aon Securities as well.

White Rock Insurance (SAC) Ltd. issued ¥ 2 billion (JPY) of Principal At-Risk notes (which is roughly US $18.3m), acting on behalf of its segregated account named T84-Asagao III (which we’ve shortened to just Asagao III 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 and their sale to investors.

The $18.3 million of Asagao III Principal At-Risk Notes are scheduled for maturity on April 28th 2022.

The Asagao II notes issued a year ago mature on May 5th 2021, while the larger and first Asagao private cat bond matures on July 23rd this year as well.

The newly issued Asagao III notes have been placed with qualified institutional investors, likely to have been an insurance-linked securities (ILS) fund or a number of ILS funds if the transaction was syndicated.

As with the previous Asagao private cat bonds, we assume the issued notes provide reinsurance or retrocessional coverage for Japanese earthquake losses for an unnamed cedent, with the coverage expected to be on a parametric trigger basis.

As a privately structured, issued and placed catastrophe bond, details are scarce with this Asagao III issuance.

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

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