Four Lehman cat bonds also placed on credit watch negative by S&P
Reinsurers have begun to announce their exposure to the collapse of Lehman Brothers, with Munich Re revealing total exposure of EUROS 350m.
A spokeswoman for Munich Re said: “We can confirm Munich Re has exposure of EUROS 350m altogether.”
She added that this includes derivatives used for hedging risk, but could not comment further on the nature and structure of exposures to the failed investment bank.
In contrast, Hannover Re had a relatively small exposure of EUROS 23m, composed of EUROS 20m in senior bonds and EUROS 3m in equities.
Rating agency analysts say many more reinsurers can be expected to declare their investment links to Lehman Brothers which filed for Chapter 11 bankruptcy on Sunday.
Meanwhile, Standard and Poor’s has placed four cat bonds on credit watch negative because Lehman was the swaps counterparty for them.
The four are known to include Willow Re, Newton Re and Ajax Re.
Moody’s has placed a number European structured finance transactions with Lehman hedges on review for downgrade. The rating agency said 10 European Commercial Mortgage-Backed Securities (CMBS) transactions are affected.