The derivatives market is flashing signals that the tit-for-tat between the U.S. Treasury and the Kremlin is increasing the likelihood of a Russian government default after Russia’s Ministry of Finance announced Wednesday it will restrict the ability of some foreign investors to convert their payments into dollars, the WSJ Pro Bankruptcy reported. The cost of buying a five-year derivatives contract for protection against a Russian government default, also called a credit-default swap, jumped on Wednesday to around 75% of the total value of the debt insured, according to data from ICE Data Services. That compares with around 40% around the beginning of March and 5% at the beginning of February, according to Intercontinental Exchange Inc., the main clearinghouse for European credit-default swaps.
