Swiss Re reported an $878 million loss from its exposure to credit default swaps related to the subprime market crisis.

The Zurich, Switzerland-based reinsurer said in its October performance report it had a $1.07 billion mark-to-market loss before taxes–stemming from its exposure to two credit default swaps written by its Credit Solutions unit.

The company said the swaps provide protection for a client against a fall in the value of a portfolio of assets.

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