Marsh has set up a Bermuda-based reinsurer, Marsh Risk Innovations (MaRI), to provide additional capacity to the property catastrophe insurance market.
The company is thought to be the first broker to set up what is commonly known as a sidecar, offering reinsurance cover through insurer Ace.
But some observers said the vehicle was a blow to Lloyd's as it would act in direct competition to the market.
One senior Lloyd's source said: "It is mildly bad news for Lloyd's as it is capacity in Bermuda that is competing for American clients, which could otherwise decide to come to Lloyd's."
The private facility will give large corporate clients access to $400m of additional capacity in the next three months, which could rise to $1bn.
Lloyd's insurers Hiscox and Brit have both set up sidecars in recent months.