News · BFSI
NN Group has returned to the catastrophe bond market through its Orange Capital Re DAC structure, targeting €75 million or more in collateralised reinsurance cover against European windstorm and severe thunderstorm losses.
✦ AI SUMMARY 30-second read
- NN Group is sponsoring its fourth catastrophe bond, Orange Capital Re DAC Series 2026-1, targeting at least €75 million in notes.
- The four-year deal runs from January 2027 to end-2030, covering windstorm and severe thunderstorm risks in Belgium and the Netherlands.
- The Class A notes carry an initial expected loss of 4.24% and are being marketed to investors with spread guidance of 5.5% to 6%.
Why it matters: Repeat cat bond issuance by a major European insurer signals continued investor appetite for insurance-linked securities covering natural catastrophe risks.
This summary was generated by AI. Editors may review and update it.
Dutch insurance group NN Group, also known as Nationale-Nederlanden, has returned to the catastrophe bond market with a new offering under its established Orange Capital Re Designated Activity Company structure. The transaction, designated Orange Capital Re DAC Series 2026-1, targets the issuance of a single tranche of €75 million or more in Class A notes.
This is the fourth catastrophe bond the Netherlands-based life and property-casualty insurer has brought to market, with all previous deals also structured through the Orange Capital Re DAC domiciled in Ireland.
The new issuance is expected to act at least in part as a renewal of the Orange Capital Re DAC Series 2023-1 cat bond, whose coverage matures at the end of this year.
What was announced
Orange Capital Re DAC is offering a single tranche of €75 million or more in Series 2026-1 Class A catastrophe bond notes. Proceeds will be held as collateral to support a reinsurance arrangement covering European windstorm and severe thunderstorm risks in Belgium and the Netherlands.
The reinsurance protection is structured on an indemnity trigger and a per-occurrence basis, running for a four-year term from January 2027 to the end of 2030. The ceding entity is NN Re, the internal reinsurance vehicle of NN Group, which also served as cedent in the group's previous cat bond transactions.
The Class A notes carry an initial attachment point at €300 million of losses and an exhaustion point at €400 million, leaving room for the issuance to be upsized. The notes have an initial attachment probability of 5.07%, an initial expected loss of 4.24%, and are being offered to investors with spread price guidance in a range of 5.5% to 6%.
Background
NN Group first accessed the catastrophe bond market in 2021, raising €75 million in collateralised reinsurance for European windstorm and severe thunderstorm risks through its debut Orange Capital Re DAC 2021-1 issuance.
A second cat bond followed in 2023, again raising €75 million, this time sitting lower in the group's reinsurance tower. In 2024, the group returned with Orange Capital Re DAC Series 2024-1, renewing the 2021 deal with a further €75 million of collateralised reinsurance. That 2024 deal was also structured over a four-year term, whereas the first two issuances each carried three-year terms.
Across all four transactions, the Netherlands has represented the largest single exposure, consistent with NN Group's primary underwriting market being that country.
Pricing in context
The 2024-1 cat bond had an initial expected loss of 2.7% and priced to pay investors a spread of 6%, implying a notably higher multiple-at-market than the new Series 2026-1 deal offers at a 4.24% expected loss within the same spread range.
The European windstorm risk model has been updated since the 2024 transaction, making direct comparisons between the two deals complex. As with other recent catastrophe bond issuances, pricing on the new deal is considerably lower than a comparable transaction in 2024 would have been, reflecting a shift in reinsurance market conditions since that period.
What happens next
Should NN Group choose to exercise the room built into the structure, the issuance could exceed the €75 million target. Coverage under the new notes is scheduled to commence in January 2027, with the arrangement running through to the end of 2030.
Elets will update this story as further details on the transaction become available.
