Russia CDS Signal 80% Chance of Default on Ruble Payment Concern

The cost of insuring Russia’s government debt surged on Monday to signal a record 80% probability of default after President Vladimir Putin signed a decree saying Russia will be allowed to repay foreign creditors in rubles.

• Credit-default swaps insuring $10 million of the government’s bonds for five years were quoted at about $5.8 million upfront and $100,000 annually, according to ICE Data Services
  • That’s up from about $4 million in advance last week
  • Protection sellers have been demanding upfront payment in recent weeks, signaling perceptions that default risk is imminent
• Investors are concerned that Russia might trigger the contracts if ...