CDS users mull ‘uniform’ price as Russia fallback

Pricing agreement could replace dealer estimates if sanctions scupper default auctions

Uniform-fallback-pricing-for-CDSs-mooted

Credit default swap participants are considering the creation of a uniform pricing mechanism that would see counterparties cash settle Russian contracts at an industry-agreed rate if sanctions prohibit trading in the underlying debt instruments.

The mechanism aims to avoid reliance on dealer polls to settle CDS contracts if payouts cannot be determined by an auction of underlying securities – a growing concern after a new round of US sanctions brought Russian issuers closer to default.

“It

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