A year-and-a-half since Peregrine Investments Holdings filed for liquidation in Hong Kong, an interesting debate is still raging over how to settle its swap book. The ultimate decision that will be sought from a UK court could have wide implications for the swap industry, and how much banks reserve against swaps with lesser credits.
Peregrine subsidiary Peregrine Fixed Income (PFI) wrote swaps with more than 200 counterparties. Many of them are companies in Thailand, Korea and Indonesia, where the currencies and credit ratings have taken a severe battering.
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