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In this letter, with the primary user's (PU's) interference, we investigate the performance of the secondary user (SU) in spectrum sharing cognitive relay networks. Considering the correlation among the received interference plus noise ratios (SINRs) at the relays and SU destination, closed-form expressions for the outage probability and capacity of the SU are derived. It is shown that, though the interference from the PU badly degrades the SU's performance, an increase of the number of relays can compensate the loss. Finally, simulation results are provided to validate our theoretical analysis.