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PRIMUS COMMENTS ON PMI CDS EXPOSURE
November 30, 2011
Hamilton, Bermuda – November 30, 2011 – Primus Guaranty, Ltd. (the “Company”) (NYSE:PRS) today commented on certain aspects of the credit default swap (“CDS”) portfolio of Primus Financial Products, LLC (“Primus Financial”) related to the credit event announced on November 28, 2011 by International Swaps and Derivatives Association, Inc. Americas Determinations Committee involving The PMI Group, Inc. (“PMI”).
Primus Financial had sold CDS protection on PMI in several of its bespoke tranche portfolios, which are not subject to first loss due to existing subordination levels. Primus Financial will not have to make cash settlement payments on its bespoke tranche transactions as a direct result of the PMI credit event.