NN Group sponsoring fourth Orange Capital Re cat bond, seeking €75m reinsurance

NN Group, or Nationale-Nederlanden, has returned to the catastrophe bond market with a target to secure €75 million or more in collateralised reinsurance to cover European perils through sponsorship of an Orange Capital Re DAC (Series 2026-1) offering, Artemis has learned.

This is the fourth catastrophe bond sponsorship from NN Group, with all of its cat bond deals being under the Orange Capital DAC structure.

NN Group first entered the catastrophe bond market in 2021, securing €75 million in collateralised European windstorm and severe thunderstorm catastrophe reinsurance with its debut Orange Capital Re DAC 2021-1 issuance

The company added a second cat bond in 2023, securing a further €75 million of reinsurance coverage with the Orange Capital Re DAC (Series 2023-1) issuance, that sat lower down in its reinsurance tower.

NN Group returned in 2024 and secured a renewal of the 2021 cat bond, with another €75 million of collateralised reinsurance from a Orange Capital Re DAC (Series 2024-1) deal.

Now, the insurance group has returned again and this time it looks like the new cat bond is destined to at least in part act as a renewal of the 2023-1 issuance, whose coverage 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.

It’s a similar transaction to all of the previous Orange Capital Re catastrophe bonds, in seeking a multi-year source of protection against losses from European windstorms and severe thunderstorms, sources explained.

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.

We can compare the price indications to the 2024-1 cat bond, but bearing in mind the reinsurance market was in a much harder pricing state at the time and there have also been risk model updates since, we understand.

The Orange Capital Re 2024-1 cat bond had an initial expected loss of 2.7% and priced to pay investors a spread of 6%, so a much higher multiple-at-market than this new deal offers.

As we said, it can be challenging to compare and we understand the European windstorm model has been updated since the 2024 deal. But, like every other recent catastrophe bonds, pricing is considerably lower than a comparable issuance in 2024 would have been.

It’s good to see NN Group returning again and looking to layer more catastrophe bond protection within its reinsurance tower.

You can read all about the Orange Capital Re DAC (Series 2026-1)  catastrophe bond and every cat bond deal ever issued in our Artemis Deal Directory.