Primus Comments on Ambac Financial Exposure

Primus Guaranty, Ltd. 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 today by International Swaps and Derivatives Association, Inc. Americas Determinations Committee involving Ambac Financial Group, Inc. (“Ambac Financial”). Primus Financial had bought CDS protection that referenced Ambac Financial with a notional of $4 million in its single-name portfolio. Primus Financial also had sold CDS protection on Ambac Financial in several of its bespoke tranche portfolios. Primus Financial may be required to make a payment on one of the tranches as a result of deterioration of existing subordination levels. Based on current market-quoted recovery levels for Ambac Financial, Primus Financial's net cash payments related to the Ambac Financial credit event are estimated to be approximately $2 million.