NN Group’s Orange Capital Re cat bond set to price towards upper-end

NN Group, or Nationale-Nederlanden, has seen the price guidance for its new Orange Capital Re DAC (Series 2023-1) catastrophe bond issuance narrow towards the upper-end of initial guidance.

At the same time, we’re told the targeted size for the Orange Capital Re cat bond issuance remains at the initial €75 million.

NN Group returned to the cat bond market at the end of October, seeking €75 million or more in collateralised reinsurance from the capital markets to cover losses from European natural perils.

It is the second cat bond from the insurer, as NN Group had first entered the catastrophe bond market in 2021, securing €75 million in collateralised European windstorm and severe thunderstorm catastrophe reinsurance with a debut Orange Capital Re DAC 2021-1 issuance.

This second Orange Capital Re 2023-1 cat bond sees NN Group seeking to secure €75 million or more in catastrophe reinsurance to cover windstorm and severe thunderstorm risks in Belgium and the Netherlands only, on an indemnity and per-occurrence basis across a three year term, from the start of 2024 to the end of 2026.

The still €75 million tranche of Series 2023-1 Class A notes come with an initial expected loss of 3.42%, and were initially offered to cat bond investors with spread price guidance in a range from 6.75% to 7.5%.

We’re now told that the spread guidance has been narrowed and lifted towards the upper-end of that target range, with the notes offered at 7.25% to 7.5%.

Which is another indication for how European catastrophe reinsurance renewals may go at the end of the year, as a number of cat bonds and ILS transactions have now priced above the initial mid-point of guidance to cover European property catastrophe risks in recent weeks, we understand.