Bermuda-based Scottish Re has disclosed that it holds $2.1 billion in asset-backed securities backed by subprime mortgages and an additional $1 billion in Alt-A residential mortgage-backed securities.
If market value declines are severe enough, there could be a strain on the company's liquidity position, said Duncan Hayward, chief accounting officer with Scottish Re.
The company discussed its investment exposure to the subprime market during an earnings call last week. Management said that highly rated and higher-quality holders would help the company minimize any impact from subprime troubles.
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