Longpoint Re II Ltd.

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Longpoint Re II Ltd. - At a glance:

• Issuer / SPV: Longpoint Re II Ltd.
• Cedent / Sponsor: Travelers
• Placement / structuring agent/s: GC Securities, Deutsche Bank Securities, and Swiss Re Capital Markets are joint underwriters. BNP Paribas and Goldman Sachs & Co. are co-managers
• Risk modelling / calculation agents etc: RMS
• Risks / Perils covered: U.S. hurricane
• Size: $500m
• Trigger type: Industry loss index
• Ratings: S&P: Class A - 'BB+', Class B - 'BB+'
• Date of issue: Dec 2009
• Artemis.bm news coverage: Articles discussing Longpoint Re II Ltd. from Artemis.bm

Longpoint Re II Ltd. - Full details

Longpoint Re II Ltd. is a Cayman Islands SPV set up to allow Travelers to transfer $500m of its hurricane risks to the capital market.

The Class A notes provide Travelers with 3 years of protection on a per-occurrence basis against certain U.S. hurricanes, the Class B notes provide similar protection but over a 4 year risk period. The transaction can be extended for up to 24 months (in increments of 3 months) to allow for loss development and reporting.

The trigger for the deal is based on the sum of PCS personal and commercial property losses within the defined risk zones and there will be an initial index trigger value of $2.25b. The trigger is modified due to state payout factors.

This transaction doesn’t target the normal hurricane risk zones of Florida and Gulf Coast; rather this deal provides Travelers with cover against hurricane losses in the east coast states of Connecticut, Maine, Massachusetts, New Hampshire, New Jersey, New York, Pennsylvania, Rhode Island, and Vermont. That should help attract investors looking to diversify their hurricane risks away from the southern states.

Collateral for the deal will be invested in Treasury money market funds which are stable and have a high rating.