Scottish Re is evaluating the risks posed by $3.1 billion in bond holdings backed by sub-prime and Alt A mortgages.

But new chief executive officer George Zippel has pointed out that very little of the company's exposure to that market is outside the 'A' grade rating class.

The Bermuda-based reinsurer's share price fell 86 cents, equivalent to 23 percent, to $2.83 on the New York Stock Exchange last Friday, having been worth $26.05 three years ago.

Shares plunged last year after CEO Scott Willkomm left following a surprise second quarter loss that led to junk credit ratings. Last week's share price was the lowest close since the company's initial public offering in 1998.

Investors are currently shunning bonds backed by home loans as borrowers with poor credit find it increasingly harder to pay the mortgages in those securities, pushing the default rates to the highest in a decade.

Scottish Re revealed in its second quarter filing with the US Securities and Exchange Commision last week it has $2.1bn-worth of securities backed by mortgages made to sub-prime borrowers with poor or incomplete credit histories, with another $1bn supported by Alt A loans, an in-between grade assigned to those who do not meet the standards for prime loans.

Mr. Zippel said that while the $3.1bn invested in subprime and Alt A mortgages was a large amount, the majority of that is tied up in the A and higher rating class, with a lesser exposure to BB and lower class.

He also pointed out that Scottish Re had no direct influence over their dwindling share price.

"Given what is happening in the bond market today, the future is defined in no more than 24 hours before and I am no less confident today than I was last Friday," he said.

"The most important thing for us is to increase the shareholder value and make sure that the shareholders appreciate our efforts."

The mortgage bonds made up 28 percent of the Scottish Re's $11bn in investments as of the end of June, chief accounting officer Duncan Hayward, told analysts at their second quarter conference call last Wednesday.

"We are continuing to conduct rigorous analysis with our third party investment managers to better understand our current and potential exposure," said former CEO Paul Goldean, Mr. Willkomm's successor, who has since made way for Mr. Zippel.

"Ultimately, we believe we have sufficient capital resources and liquidity to withstand any losses and market value decreases."

In May, Scottish Re sold a majority stake to a buyout group including Cerberus Capital Management LP and MassMutual Capital Partners.