Investment banks, mostly in Europe, face losses of €8.4bn ($11.5bn) on exposure to a group of specialist bond insurers that operate solely in the derivatives markets, according to analysts at JPMorgan.

Credit derivative product companies have written more than €125bn worth of a type of insurance against companies going bust and failing to repay their debt in the credit default swap markets. Primus Guarantee, the largest and only publicly listed of these companies, saw its credit rating cut to CCC from BB by Standard & Poor’s on Friday night because of diminishing cash flows and its reduced ability to continue operating.