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Russia Swaps Signal Record 56% Chance of Default After Sanctions

  • CDS sellers demand $4 million upfront to protect $10 million
  • Trading volumes surged on Friday, according to people familiar
Updated on

The cost of insuring Russia’s government debt rose to a record after harder-hitting sanctions on the country prompted Moscow to take emergency measures to shield its financial sector. 

Credit-default swaps insuring $10 million of the country’s bonds for five years were quoted at about $4 million upfront and $100,000 annually on Monday, signaling around 56% likelihood of default, according to ICE Data Services. ICE is the main clearing house for European CDS.