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Under the efficient market theory the following trade should not be possible, yet you can put it on right now:

  • Buy 5-year Greek Government bonds (rated BB+) to yield 11.2% and,
  • Buy a 5-year CDS on the same Greek Government bonds at 620 bp (6.2% per year) from, say, Deutsche Bank (rated A+).
The net result is you make 500 bp (5%) net profit per year (11.2% - 6.2%) for up to five years and, at the same time, lower your credit risk very substantially, since Deutsche Bank (DB) is rated six whole notches higher than the sovereign risk of Greece. If Greece defaults you just deliver the bonds to Deutsche, get 100 cents on the euro and walk away.
Execution of the actual trade may result in somewhat different numbers since bid-offer spreads are very wide right now, but the arbitrage window is, nonetheless, enormous.
What gives?

Note: German Government 5-year bonds (schatz) yield 2% and those issued by Deutsche yield 3%.
Source: Greek CDS: Where the Impossible Is Possible