Extracto del post de Felix Salmon
In English, what this means is that the spread on Greek bonds is substantially larger than the spread on Greece CDS. As a result, you can theoretically lock in a risk-free profit by buying Greek bonds and at the same time buying credit protection on them: the cost of the protection is lower than the yield on the bonds, and the rest of your coupon payments is pure profit.
This also means that you can’t blame the CDS market for sending Greek bond spreads gapping outwards — if anything, the opposite is the case, and Greek bond spreads are probably responsible for upward pressure on Greek CDS spreads. Once again, if you own Greek debt, the CDS market is your friend: you’re better off buying protection on that debt than you are simply selling your bonds outright.
Extracto del post de FT Alphaville
Negative basis trades were of course made famous during the financial crisis, when banks had the brilliant idea of buying bonds and then buying CDS on them from now-defunct or bailed-out monoline insurers.
The trades ended up collapsing rather spectacularly.