  The existence of moments of first downward passage times of a spectrally
negative L\'evy process is governed by the general dynamics of the L\'evy
process, i.e. whether the L\'evy process is drifting to $+\infty$, $-\infty$ or
oscillates. Whenever the L\'evy process drifts to $+\infty$, we prove that the
$\kappa$-th moment of the first passage time (conditioned to be finite) exists
if and only if the $(\kappa+1)$-th moment of the L\'evy jump measure exists.
This generalises a result shown earlier by Delbaen for Cram\'er-Lundberg risk
processes \cite{Delbaen1990}. Whenever the L\'evy process drifts to $-\infty$,
we prove that all moments of the first passage time exist, while for an
oscillating L\'evy process we derive conditions for non-existence of the
moments and in particular we show that no integer moments exist.
