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Primus Guaranty Comments on CDS on Asset-Backed Securities
April 27, 2009
Primus Guaranty, Ltd. (NYSE:PRS) today announced that two asset-backed securities, referenced by credit default swaps (“CDS”) written by Primus Financial Products, LLC (“Primus Financial”), were downgraded below Caa2 by Moody’s Investors Service (“Moody’s”). The notional principal on these CDS with counterparties is $15 million. Under the terms of the ISDA master agreement governing CDS on asset-backed securities, a downgrade of the underlying security to CCC (Standard & Poor’s) or Caa2 (Moody’s), or below, is considered a credit event.