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NN Re picks RMS for risk analysis on Orange Capital Re bond

11th February 2022 - Author: Matt Sheehan

Risk modelling and solutions company RMS has been choosen by NN Re to conduct the risk analysis for its new catastrophe bond, issued through Orange Capital Re DAC.

nn-group-logoNN Re, which is the reinsurance and hedging company of NN Group, an international financial services company, issued Orange Capital Re DAC (Series 2021-1) as its first catastrophe bond back in December, transferring €75 million of Europe windstorm and Europe severe convective storm risk to the capital markets.

The risk analysis for the bond was performed using the RMS Europe Windstorm Models and marks the first issuance to utilize the RMS Europe Severe Convective Storm HD Models.

The RMS Europe Severe Convective Storm HD Models cover the full spectrum of sources of severe convective storm loss, from localized tornadoes and hailstorms to large derechos.

While sometimes viewed as an attritional peril, severe convective storms can cause extensive losses and incomplete observational reporting meaning that relying on historical experience to manage the risk is inadequate.

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The models by RMS employ technology to model the severe convective storm hazard risk in Europe, as well as an advanced engineering-based vulnerability, accounting for factors such as angle of hailstone impact or roof versus building-facade vulnerability.

“We are proud to have worked with NN on this innovative and highly successful transaction,” said Jin Shah, Director at RMS.

“The strong support from investors demonstrates the market’s confidence in NN’s cat management and underwriting, as well as RMS EU climate risk modelling capabilities.”

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