Aon’s White Rock issues $40m Asagao VII private cat bond

Aon operated Bermuda-based segregated account company White Rock Insurance (SAC) Ltd. has issued another private catastrophe bond in the Japanese Asagao parametric earthquake series, with a $40 million Asagao VII transaction completed recently.

This is now the seventh transaction in the Asagao series of private catastrophe bond deals, all of which we understand to have been covering Japanese earthquake risks on a parametric trigger basis.

White Rock Insurance (SAC) is insurance and reinsurance broker Aon’s Bermuda domiciled Class 3 and Class C insurer and segregated accounts company, and has been the structure used for the Asagao transactions in every case, as Aon helps its client access efficient reinsurance capacity from the capital markets.

White Rock assists by acting as a risk transformation and securitisation platform for privately placed catastrophe bonds and other collateralised reinsurance arrangements, while also housing certain captive and segregated account offerings for insurance and reinsurance purposes as well.

When these Asagao Japanese earthquake private catastrophe bond deals first came to light back in 2019, we quickly learned from sources that they tend to always be parametric quake focused, so in each case we have assumed the same.

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

March 2020 saw the second Asagao II private cat bond transaction come to market, featuring approximately $18.3 million (JPY 2 billion) of securitisated catastrophe risks.

In March 2021, the third Asagao cat bond deal emerged, with a roughly $18.3 million Asagao III private deal 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.

In March 2022, an Asagao V private cat bond emerged, appearing like a renewal of the third, so a second renewal of that layer of risk, and was also JPY 2 billion in size.

Then, most recently, an Asagao VI deal was issued in Spring 2023 at a much smaller size of only JPY 600 million, which was approximately US $4.6 million at today’s rate.

Now, this Asagao VII private catastrophe bond has been issued, at a size of JPY 6 billion, so a larger deal again, which is roughly US $40 million at the current exchange rate.

As mentioned, Japanese earthquake risks are expected to be the peril that features again, presumably being transferred to capital market investors on a parametric trigger basis, which has been the case with all of the Asagao cat bond deals.

Aon Insurance Managers is the insurance manager to the SAC vehicle so will have again assisted its client in getting this new Asagao VII private ILS deal to market, facilitating issuance of the roughly $40 million of Asagao VII 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.

It’s expected that Aon’s Reinsurance Solutions broking team and likely also its ILS specialist unit Aon Securities ,will have been involved in this transaction as well.

White Rock Insurance (SAC) Ltd. has issued the ¥ 6 billion (JPY) of Principal At-Risk notes (which is roughly US $40m at the exchange rate), acting on behalf of its segregated account named T133 Asagao VII (which we’ve shortened to just Asagao VII for its entry in our catastrophe bond Deal Directory).

We expect the notes will have been issued using 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.

These new $40 million of Asagao VII notes are scheduled for maturity at July 25th 2025, we understand.

It’s encouraging to see the Asagao program continuing and now up to its seventh issuance, as the sponsor continues to find the capital markets and catastrophe bonds an efficient way to source reinsurance capital for its needs.

With this new transaction coming to light, the Artemis tracked total for private cat bond issuance in 2023 has now reached $450 million.

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