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The SCOR management team as part of its Enterprise Risk Management (ERM) process has been conducting a thorough analysis of its exposure to the US financial guarantee market and the so called “monoliners”. The analysis assessed SCOR’s liabilities such as classical insurance risks from credit business and any type of Directors’ and Officers’ liabilities (D&O) as it could pertain to this business sector. The review also included a study of SCOR’s investment portfolio.
The in-depth review resulted in the following conclusions:
The in-depth review resulted in the following conclusions:
- SCOR has no underwriting exposure to the US monoliners in Credit & Surety, Credit Default Swaps (CDS), Collateralized Loan Obligations (CLO), Collateralized Debt Obligations (CDO) or any type of securitization or loan covers such as credit enhancements and financial guarantees;
- SCOR did not provide any guarantees or capacity, directly or indirectly, to any US monoliners as SCOR is neither an admitted nor a certified reinsurer in the US for such product lines;
- SCOR did not invest in bonds issued by financial guarantors and credit enhancers, nor has the company invested in shares of US monoliners;
- On a total investment portfolio of EUR 19 billion, SCOR has EUR 83 million of securities whose rating is enhanced by monoliners, more than half of it relating to municipal bonds. SCOR believes that even in the event of a complete default of the financial guarantors, these securities will maintain their investment grade level. In any case, any potential mark-to-market impact will be immaterial to the financial strength of the company;
- Furthermore SCOR has no direct D&O exposure to financial institutions in the US, including any financial guarantors.
The in-depth study comes to the conclusion that the US monoliner crisis will have no effect on the financial strength of SCOR.
