The EMEA Credit Derivatives Determinations Committee will meet later on Wednesday to consider whether Russia has incurred a "failure to pay" credit event.
The meeting is scheduled for 12pm BST, according to the Determinations Committee website. It will take place after a question was submitted by a market participant on Monday on whether a "potential failure to pay" has occurred with respect to Russia after it attempted to make its most recent payments due on two US dollar bonds in roubles instead.
If the Determinations Committee judges that a credit event has taken place, it would trigger CDS referenced against the sovereign. That decision, however, would not be a formal declaration of default by the sovereign on its bonds.
On Monday, the Determinations Committee announced that state-owned Russian Railways had incurred a "failure to pay" credit event after it missed a coupon payment on a SFr250m 0.84% due 2026 bond. A market participant had submitted a question to the committee on April 1.
There are US$3.43bn of net notional Russia CDS to be settled, according to JP Morgan, including US$2.48bn from single name and the rest from credit derivatives indices. There are US$21.1m worth of net notional CDS across 17 contracts outstanding for Russian Railways, according to IHS Markit.
Sanctions imposed against Russian individuals and entities following Moscow's invasion of Ukraine mean that coupon and maturity payments to bondholders are getting blocked by financial intermediaries that are unwilling to take on the risk of processing them.