Russia Swaps Signal 65% Chance of Default On ‘Brutal War Phase’

The cost of insuring Russia’s government debt rose again on Tuesday, as Western officials warned that the war is entering a more brutal phase.

• Contracts insuring $10 million of the country’s bonds for five years were quoted at about $4.6 million upfront and $100,000 annually, signaling around 65% likelihood of default: ICE data
• The upfront cost that protection sellers demanded on Tuesday rose from around $4 million on Monday
• NOTE: Russia Swaps Signal Record 56% Chance of Default After Sanctions
• The price of protecting Russia’s debt is no longer being quoted in basis points, as protection sellers have been ...