Orange Capital Re DAC (Series 2026-1)

NN Group, or Nationale-Nederlanden, has returned to sponsor its fourth Orange Capital Re catastrophe bond issuance.

With this Orange Capital Re DAC 2026-1 cat bond transaction, the insurer targets more capital markets backed multi-year European catastrophe reinsurance protection, while this issuance will also serve to renew the reinsurance coverage of its Orange Capital Re DAC (Series 2023-1) that matures at the end of this year.

NN Group is a life and property-casualty insurance underwriter based in the Netherlands, underwriting its risks largely in that country and some others close to it.

NN Group is for the fourth time using Ireland as the domicile to issue its latest catastrophe bond, making use of the Orange Capital Re Designated Activity Company (DAC) for this Series 2026-1 cat bond issuance.

Orange Capital Re DAC is targeting issuance of a single tranche of €75 million or more Series 2026-1 Class A catastrophe bond notes.

The notes will be sold to investors and the collateral will be used to underpin a catastrophe reinsurance arrangement covering windstorm and severe thunderstorm risks in Belgium and the Netherlands, we understand.

As with the other Orange Capital Re cat bonds, the biggest exposure is to loss events impacting the Netherlands with this deal, given that is NN Group’s main underwriting market.

The reinsurance protection will be structured on an indemnity trigger and per-occurrence basis, running across a four year term, from January 2027 to the end of 2030. This is now the second four-year cat bond from NN Group, as prior to the 2024 deal the first two had three year terms.

The ceding entity to this Orange Capital Re 2026-1 cat bond is NN Re, the Nationale-Nederlanden internal reinsurance vehicle that helps NN Group manage its risks, hedge its portfolio and also access private reinsurance markets, which has also been the cedent in the group’s previous cat bonds.

The reinsurance agreement will be between the issuer Orange Capital RE DAC and NN Re, while NN Re then reinsures NN Group entities.

We understand that the €75 million of Orange Capital Re Series 2026-1 Class A cat bond notes will have an initial attachment point at €300 million of losses, providing their coverage up to exhaustion at €400 million, suggesting some room to upsize the issuance should the sponsor choose to do so.

The Series 2026-1 Class A notes issued by Orange Capital Re DAC will have an initial attachment probability of 5.07%, an initial expected loss of 4.24%, and are being offered to cat bond investors with spread price guidance in a range from 5.5% to 6%, sources told us.