Primus Comments on Ambac, Monoline CDS Exposure
March 30, 2010
Hamilton, Bermuda - March 30, 2010 – 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 by International Swaps and Derivatives Association, Inc. Americas Determinations Committee involving Ambac Assurance Corporation that occurred on March 25, 2010.
Primus Financial has no single name CDS notional exposure that references Ambac Assurance Corporation. Primus Financial does have CDS exposure to Ambac Assurance Corporation in two of its bespoke tranche portfolios, which are not subject to first loss due to existing subordination levels. The Company does not anticipate that Primus Financial will have to make cash settlement payments on its bespoke tranche transaction as a result of the Ambac Assurance Corporation credit event.
Primus Financial has single name CDS and bespoke tranche exposure referencing Ambac Financial Group, Inc., the holding company. Ambac Financial Group, Inc. has not incurred a credit event. During the first quarter of 2010, Primus Financial reduced its single-name CDS exposure to Ambac Financial Group, Inc. by $70 million through credit mitigation transactions at a cost of $19.2 million. At March 31, 2010, the net notional amount of the single name exposure to Ambac Financial Group, Inc. is $11 million to current counterparties.
The outstanding net notional amount of single name CDS exposure that Primus Financial has with current counterparties, at March 30, 2010, on four financial guaranty (monoline) companies, including Ambac Financial Group, Inc., totals approximately $243 million. Of this amount, $50 million notional exposure is scheduled to mature in June 2010. At year-end 2009, the outstanding net notional amount of single name CDS exposure that Primus Financial had with current counterparties on four financial guaranty (monoline) companies totaled approximately $329 million.