Primus Guaranty Ltd. (fka PRSG)

[Enterprising Investor]

Shareholder Update (5/16/18)

16 May 2018 -- Hamilton, Bermuda -- Since the last update released on 5 January 2018, the sale of the remaining CLO note in Primus Asset Management, Inc. (PAM) has been finalized, and the proceeds of sale were received on 26 April 2018. The Liquidator has been coordinating with service providers in Delaware to close PAM by voluntary winding up under Delaware law. Subject to obtaining final tax clearance for PAM, the Liquidator estimates that the timeframe to complete the liquidation of PAM from commencement to dissolution will approximately take one month. The PGL liquidation will thereafter receive PAM funds in the form of a final dividend and will then make an interim distribution to PGL shareholders. Whilst the Liquidator does not anticipate to receive any claims by creditors against PAM, a creditor claim may impede the timing of the distribution of PAM funds to PGL, and eventually, of the interim distribution to PGL shareholders. Based on funds held on PAM, the Liquidator is initially considering an interim dividend to be distributed at 10 cents per share.

On 9 March 2018, the Liquidator submitted the Claim Form of Primus Financial Products (PFP) (“Claim Form”) to the Settlement Administrator (the “Administrator”) of the Foreign Exchange Anti-Trust Settlement (the the “FX Settlement”). The Claim Form presented two (2) options in claiming under the Settlement, i.e., Option 1 (Estimated Claim option) and Option 2 (Documented Claim option). Under Option 1, the Administrator will estimate eligible transaction volume based on data submitted by Settling Defendants; Option 1 further applies to over-the-counter foreign exchange (“OTC FX”) transactions with any of the Settling Defendants. Under Option 2, data must be submitted by claimants to claim eligible transactions using an Administrator-approved electronic data template; thereafter, the Administrator will estimate the claimant’s eligible transaction volume using the data received. Option 2 applies to exchange-traded transactions (such as futures/options). As PFP transacted OTC FX periodically with one of the Settling Defendants from 2009 based on an inquiry with a former officer in PFP, the Claim Form was submitted under Option 1. As Option 1 provides for the Administrator to estimate PFP’s eligible transaction volume based on data by the Settling Defendants, the amount of PFP’s claim is unknown/uncertain at this time. (See also further below regarding Claims Assessment Notifications.) Given the huge volume of FX transacted each day relative to the amount of OTC FX transactions PFP undertook with one Settling Defendant, PFP’s entitlement to the Settlement, if any, may not be significant. The Fairness Hearing on the Settlement remains as originally scheduled on 23 May 2018 in which the District Court of the Southern District of New York will decide whether to approve the Settlement, to approve the plan of distribution and requests for fees and litigation costs in connection with the Settlement. The Liquidator is unable to provide an estimated timeline for the conclusion on this matter as some variables remain uncertain, including the time for the Court to hand down its decision after the Fairness Hearing, whether or not that decision will be appealed, and any appeals put forward against the decision made by the Administrator on any of the claims. Because of its adjustments to the original deadlines, the Administrator has moved the dissemination of Claim Assessment Notifications (“CAN”)1 to respective Claimants to 31 May 2018. Once available, the Liquidator will review the decision of the Claims Administrator and may take appropriate action under the circumstances. We will revert to shareholders with a further update once the Court has handed down its decision after the Fairness Hearing and as soon as the Administrator’s position regarding PFP’s claim on the Settlement becomes clear.

1 The CAN will contain PFP eligible participation amount and the basis for the Administrator’s calculations of the same. More information about the Settlement is at www.fxantitrustsettlement.com.