Close-out and valuation under ISDA

Simmons & Simmons outlines the implications of the Peregrine Fixed Income vs Robinson Department Stores judgment.

The Peregrine swaps litigation case came to a close in May. The verdict of the High Court of England and Wales could have a significant impact on the close-out and valuation of certain derivatives trades documented by the International Swaps and Derivatives Association ISDA.

The background

Peregrine Fixed Income and Robinson Department Store had entered into a trade under an ISDA master agreement. Peregrine defaulted a liquidator was appointed over its assets and an early termination date...

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