Primus Guaranty (PRSG) 8-K Primus Guaranty, LTD. Reports Second Quarter 2010 Financial Results

Exhibit 99.1

FOR IMMEDIATE RELEASE

PRIMUS GUARANTY, LTD. REPORTS
SECOND QUARTER 2010 FINANCIAL RESULTS

Hamilton, Bermuda — August 12, 2010— Primus Guaranty, Ltd. (“Primus Guaranty” or “the Company”) (NYSE:PRS) today announced its financial results for the second quarter ended June 30, 2010.

• GAAP net loss available to common shares for the second quarter 2010 was $188.4 million, or $4.84 per diluted share, compared with GAAP net income available to common shares of $596.9 million, or $14.46 per diluted share, for the second quarter 2009. GAAP net loss available to common shares for the second quarter 2010 was primarily attributable to a net unrealized mark-to-market loss of $194.8 million on Primus Financial Products, LLC (“Primus Financial”)’s consolidated credit swap portfolio.

• Economic Results for the second quarter 2010 were $6.8 million, or $0.18 per diluted share, and include $15.3 million of premium income, $5.5 million of asset management fees, $10.1 million of net realized losses from credit mitigation activities within Primus Financial’s portfolio of credit swaps and $2.7 million of gains from retirement of long-term debt. Economic Results for the second quarter 2009 were $47.5 million, or $1.15 per diluted share, and include $22.2 million of premium income, $0.4 million of asset management fees and $33.2 million of gains from retirement of long-term debt.

• Economic Results book value per common share was $7.55 at June 30, 2010, compared with Economic Results book value per common share of $7.30 at March 31, 2010 and $8.48 at December 31, 2009.

• Primus Asset Management (“PAM”) managed Primus Financial, other structured credit vehicles and funds totaling $17.4 billion at June 30, 2010, including $3.3 billion of third-party assets. At June 30, 2010, the notional principal of Primus Financial’s consolidated credit swap portfolio totaled $14.1 billion. At June 30, 2009, PAM managed Primus Financial and other structured credit vehicles totaling $22.8 billion, including $1.5 billion of third-party assets. At June 30, 2009, the notional principal of Primus Financial’s consolidated credit swap portfolio totaled $21.3 billion.

Buyback Authorization

• Today, the Company announces that its Board of Directors has authorized an additional expenditure of up to $5 million of available cash for the purchase of the Company’s common shares and/or 7% Senior Notes. Purchases will be made at management’s discretion. The total authorized capacity for buybacks of the Company’s common shares and/or 7% Senior Notes is $45 million, of which approximately $12.7 million is currently available under the buyback program, including the additional $5 million authorization.

6

Strategy Update

• During the second quarter 2010, the Company retained Berkshire Capital Securities LLC, a leading investment bank in the asset management field, to advise on strategic alternatives for the Company’s asset management business. The Company expects this process to be completed by the end of 2010.

Consolidation of CLOs under Management

• Effective January 1, 2010, the Company adopted ASC Topic 810,Consolidation,which required it to consolidate the assets, liabilities, revenues and expenses of the collateralized loan obligations (“CLOs”) under its management. Although these CLOs are consolidated, the assets of the CLOs are not available to the Company for general operations or in satisfaction of the Company’s debt obligations. The Company does not have any rights to or ownership of these assets. Similarly, the Company does not have any obligation to settle the liabilities of the CLOs. The Company has no contractual obligation to fund or provide other financial support to any CLO. As a result of the adoption of ASC Topic 810,Consolidation, the Company established an “appropriated retained earnings from CLO consolidation” account in the equity section of the condensed consolidated statement of financial condition as required under the standard.

CypressTree Awards

• The Company granted equity awards to employees of CypressTree Investment Management, LLP who joined Primus in connection with its previously announced acquisition of CypressTree on July 9, 2009. The awards, which consist of a total 378,000 restricted share units of common shares of Primus Guaranty, were made to ten non-executive employees concurrently with the closing of the CypressTree acquisition. One-third of the awards vested on July 9, 2010 and the remaining awards will vest on each of the second and third anniversaries of the transaction closing date.

Earnings

A copy of this press release and the financial supplement, including additional credit swap portfolio and historical data, will be available in the Investor Relations section of the Company’s Web site at www.primusguaranty.com. Also available on the Web site is a letter to the shareholders from the Company’s Chief Executive Officer, which discusses the Company’s performance, key strategic developments and other issues.

Economic Results

In managing its business and assessing its growth and profitability from a strategic and financial planning perspective, the Company believes it is appropriate to consider both its U.S. GAAP net income (loss) available to common shares as well as certain non-GAAP financial measures called “Economic Results”. We define Economic Results as GAAP net income (loss) available to common shares (which reflects the deduction of net income (loss) attributable to non-parent interests) adjusted as follows:

• Unrealized gains (losses) on credit swaps sold by Primus Financial are excluded from GAAP net income (loss) available to common shares;

7

• Realized gains from early termination of credit swaps sold by Primus Financial are excluded from GAAP net income (loss) available to common shares;

• Realized gains from early termination of credit swaps sold by Primus Financial are amortized over the period that would have been the remaining life of the credit swap. The amortized gain is included in Economic Results;

• A provision for CDS on ABS credit events is included in Economic Results; and

• A reduction in provision for CDS on ABS credit events upon termination of credit swaps is included in Economic Results.

Economic Results includes realized and unrealized gains and losses on credit swap transactions undertaken by the Primus Absolute Return Credit Fund. The Company believes that quarterly fluctuations in the fair market value of Primus Financial’s credit swap portfolio have little or no effect on the Company’s business operations and that Economic Results provides a useful, alternative view of the Company’s economic performance.

About Primus Guaranty

Primus Guaranty, Ltd. is a Bermuda company with operations in New York, Boston and London. Through its subsidiaries, the company is a leading manager of corporate credit assets and provider of credit protection. Primus manages assets in structured credit funds and operating companies, across a range of asset classes — including investment grade, high yield and leveraged loans — using both cash and synthetic instruments.

Safe Harbor Statement

Some of the statements included in this press release and other statements Primus Guaranty may make, particularly those anticipating future financial performance, business prospects, growth and operating strategies, market performance, valuations and similar matters, are forward-looking statements that involve a number of assumptions, risks and uncertainties, which change over time. For those statements, Primus Guaranty claims the protection of the safe harbor for forward-looking statements contained in the U.S. Private Securities Litigation Reform Act of 1995. Any such statements speak only as of the date they are made, and Primus Guaranty assumes no duty to, and does not undertake to, update any forward-looking statements. Actual results could differ materially from those anticipated in forward-looking statements, and future results could differ materially from historical performance. For a discussion of the factors that could affect the Company’s actual results please refer to the risk factors identified from time to time in the Company’s SEC reports, including, but not limited to, Primus Guaranty’s Annual Report on Form 10-K, as filed with the U.S. Securities and Exchange Commission.

8

Primus Guaranty, Ltd.
Condensed Consolidated Statements of Financial Condition (Unaudited)
(in thousands except share amounts)

	June 30,			December 31,
	2010			2009
Assets
Cash and cash equivalents	$	139,863		$	299,514
Investments (includes $368,314 and $274,275 at fair value)		368,484			274,444
Restricted cash and investments		129,734			127,116
CLO cash and cash equivalents		117,357			—
CLO loans and securities, at fair value		2,422,961			—
CLO other assets		56,095			—
Accrued interest and premiums		6,815			6,163
Unrealized gain on credit swaps, at fair value		126			2,207
Goodwill and other intangible assets, net		7,712			8,017
Other assets		13,488			15,286
Total assets	$	3,262,635		$	732,747
Liabilities and Equity (deficit)
Liabilities
Accounts payable and accrued expenses	$	4,596		$	7,855
Unrealized loss on credit swaps, at fair value		757,537			691,905
Payable for credit events		4,632			28,596
CLO notes, at fair value		2,266,583			—
CLO other liabilities		87,968			—
Long-term debt		226,305			244,051
Other liabilities		34,467			9,787
Total liabilities		3,382,088			982,194
Equity (deficit)
Common shares, $0.08 par value, 62,500,000 shares authorized, 38,580,653 and 38,267,546 shares issued and outstanding at June 30, 2010 and December 31, 2009		3,086			3,061
Additional paid-in capital		280,851			280,685
Accumulated other comprehensive income		3,818			2,148
Retained earnings (deficit)		(729,428	)		(628,443	)
Appropriated retained earnings from CLO consolidation		229,118			—
Total shareholders’ equity (deficit) of Primus Guaranty, Ltd		(212,555	)		(342,549	)
Preferred securities of subsidiary		93,102			93,102
Total equity (deficit)		(119,453	)		(249,447	)
Total liabilities and equity (deficit)	$	3,262,635		$	732,747

9

Primus Guaranty, Ltd.
Condensed Consolidated Statements of Operations (Unaudited)
(in thousands except per share amounts)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2010			2009			2010			2009
Revenues
Net credit swap revenue (loss)	$	(189,708	)	$	571,883		$	(102,178	)	$	682,764
Net CLO loss		(124,842	)		—			(47,249	)		—
CLO interest income		19,510			—			42,932			—
Asset management and advisory fees		263			387			554			806
Interest income		3,541			1,125			6,241			3,498
Gain on retirement of long-term debt		2,676			33,189			7,433			38,948
Impairment loss on investments		—			(152	)		—			(761	)
Other income (loss)		(223	)		2,550			(154	)		2,474
Total revenues (losses)		(288,783	)		608,982			(92,421	)		727,729
Expenses
CLO interest expense		8,258			—			14,095			—
CLO other expenses		2,302			—			3,292			—
Compensation and employee benefits		5,766			4,566			11,191			9,281
Professional and legal fees		2,308			1,957			3,947			3,378
Interest expense		1,737			2,310			3,606			5,068
Other		4,590			2,146			8,126			4,105
Total expenses		24,961			10,979			44,257			21,832
Income (loss) before provision for income taxes		(313,744	)		598,003			(136,678	)		705,897
Provision (benefit) for income taxes		(140	)		5			3			147
Net income (loss)		(313,604	)		597,998			(136,681	)		705,750
Distributions on preferred securities of subsidiary		724			1,070			1,712			2,014
Less: Net loss attributable to non-parent interests in CLOs		(125,934	)		—			(36,521	)		—
Net income (loss) available to common shares	$	(188,394	)	$	596,928		$	(101,872	)	$	703,736
Income (loss) per common share:
Basic	$	(4.84	)	$	14.76		$	(2.63	)	$	17.31
Diluted	$	(4.84	)	$	14.46		$	(2.63	)	$	17.12
Average common shares outstanding:
Basic		38,903			40,430			38,795			40,646
Diluted		38,903			41,268			38,795			41,096

10

Primus Guaranty, Ltd.
Regulation G and Other Disclosure
Economic Results
June 30, 2010
(Unaudited)

In managing its business and assessing its growth and profitability from a strategic and financial planning perspective, the Company believes it is appropriate to consider both its U.S. GAAP net income (loss) available to common shares as well as certain non-GAAP financial measures called “Economic Results”. We define Economic Results as GAAP net income (loss) available to common shares (which reflects the deduction of net income (loss) attributable to non-parent interests) adjusted as follows:

Unrealized gains (losses) on credit swaps sold by Primus Financial are excluded from GAAP net income (loss) available to common shares;;

Realized gains from early termination of credit swaps sold by Primus Financial are excluded from GAAP net income (loss) available to common shares;;

Realized gains from early termination of credit swaps sold by Primus Financial are amortized over the period that would have been the remaining life of the credit swap. The amortized gain is included in Economic Results;

A provision for CDS on ABS credit events is included in Economic Results; and

A reduction in provision for CDS on ABS credit events upon termination of credit swaps is included in Economic Results.

Economic Results includes realized and unrealized gains and losses on credit swap transactions undertaken by the Primus Absolute Return Credit Fund. The Company believes that quarterly fluctuations in the fair market value of Primus Financial’s credit swap portfolio have little or no effect on the Company’s business operations and that Economic Results provides a useful, alternative view of the Company’s economic performance.

Economic Results per GAAP Diluted Share

(in 000’s except per share amounts)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2010			2009			2010			2009
GAAP Net income (loss) available to common shares	$	(188,394	)	$	596,928		$	(101,872	)	$	703,736
Adjustments:
Change in unrealized fair value of credit swaps sold (gain) loss by Primus Financial		194,963			(552,624	)		67,827			(675,514	)
Realized gains from early termination of credit swaps sold by Primus Financial		—			—			—			—
Amortization of realized gains from the early termination of credit swaps sold by Primus Financial		264			368			558			761
Provision for CDS on ABS credit events		—			(188	)		(2,374	)		(15,242	)
Reduction in provision for CDS on ABS credit events upon termination of credit swaps		—			3,000			1,819			27,628
Economic Results (loss)	$	6,833		$	47,484		$	(34,042	)	$	41,369
Economic Results earnings per GAAP diluted share	$	0.18		$	1.15		$	(0.88	)	$	1.01
Economic Results weighted average common shares — GAAP diluted		38,903			41,268			38,795			41,096

Economic Results Book Value per Share

	June 30,			December 31,
	2010			2009
GAAP Shareholders’ equity (deficit) of Primus Guaranty, Ltd.	$	(212,555	)	$	(342,549	)
Adjustments:
Accumulated other comprehensive (income) loss		(3,818	)		(2,148	)
Unrealized fair value of credit swaps sold (gain) loss by Primus Financial		757,525			689,698
Realized gains from early termination of credit swaps sold by Primus Financial		(33,574	)		(33,574	)
Provision for CDS on ABS credit events		(68,791	)		(66,417	)
Appropriated retained earnings from CLO consolidation		(229,118	)		—
Amortized realized gains from the early termination of credit swaps sold by Primus Financial		33,191			32,633
Reduction in provision for CDS on ABS credit events upon termination of credit swaps		48,575			46,756
Economic Results Shareholders’ Equity	$	291,435		$	324,399
Economic Results book value per share issued and outstanding	$	7.55		$	8.48
GAAP book value per share issued and outstanding	$	(5.51	)	$	(8.95	)
Common shares issued and outstanding		38,581			38,268

11

Primus Guaranty, Ltd.
GAAP Net Credit Swap Revenue
June 30, 2010
(Unaudited)

GAAP Net Credit Swap Revenue

(in 000’s)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2010			2009			2010			2009
Net credit swap revenue components
Credit swaps sold — single name (Primus Financial)
Net premium income	$	11,626		$	16,984		$	24,192		$	34,217
Realized gains		—			25			—			25
Realized losses		(7,073	)		—			(26,296	)		(9,850	)
Change in unrealized gains/(losses)		(34,506	)		266,227			1,544			316,683
Credit swaps sold — tranches (Primus Financial)
Net premium income		3,583			5,144			7,386			10,231
Realized gains		—			—			—			—
Realized losses		—			—			(35,000	)		—
Change in unrealized gains/(losses)		(164,691	)		289,816			(75,293	)		334,524
Credit swaps undertaken to offset credit risk (Primus Financial)
Net premium income (expense)		(45	)		12			(45	)		24
Net realized gains (losses)		(2,938	)		—			(2,938	)		—
Change in unrealized gains/(losses)		3,236			(739	)		2,937			(748	)
Credit swaps sold — ABS (Primus Financial)
Net premium income		66			94			133			231
Realized gains		—			—			—			—
Realized losses		—			(3,000	)		(1,819	)		(27,628	)
Change in unrealized gains/(losses)		998			(2,680	)		2,985			25,055
Net credit swaps (PARC fund)		36			—			36			—
Net credit swap revenue (loss)	$	(189,708	)	$	571,883		$	(102,178	)	$	682,764

12