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Russia Swaps Signal 80% Chance of Default on Ruble Decree

  • CDS sellers demand $5.8 million upfront to protect $10 million
  • Questions arise about default outcomes on ruble payment option
Bloomberg business news
Russia's Economy Rattled by Sanctions
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The cost of insuring Russia’s government debt rose to a record high after President Vladimir Putin signed a decree allowing it to repay foreign creditors in rubles, raising concerns about the prospects of a default across the country’s $33 billion of dollar bonds.

Credit-default swaps insuring $10 million of the country’s notes for five years were quoted at about $5.8 million upfront and $100,000 annually on Monday, signaling around 80% likelihood of default, according to ICE Data Services. ICE is the main clearing house for European CDS. The upfront cost that protection sellers demanded on Monday rose from around $4 million last week.