Yes, he still have them. Luckily he saved all the docs used for his Visa application.
What are the chances of hmrc updating their records when the company doesn't exist anymore? and he is worried, hmrc would pin this on him and come after him for the unpaid taxes even though the company has deducted from his salary.
Sadly he has only payslips and a company letter from the employment. And no p45 or p60.