Reason for stale sovereign CDS spreads (e.g. Greece)

Question

I have a dataset of CDS spreads for European sovereign from Thomson Reuters Datastream. I noticed for some entities in some timeframes, spreads are essentially stale. For example in the case of greece roughly in the timeframe between 2012-2017 spreads were at exactly 14904,36 bps. What is the precise reason for this? I am assuming that CDS trading for Greece was banned during that timeframe or banks weren't willing to issue CDS contracts. Does anyone have any idea what exactly the reason was? Preferably with a citable source.

Answer 1

Reuters is not a good source of data. (Maybe try Markit?)

Greece had a "credit event" in 2012. An ISDA auction determined how much a defaulted bond was worth, all CDSs were cash-settled using the bond price from the auction, and that was the end of Hellenic Republic CDS for a few years. It is misleading to indicate that CDS continued to trade at the pre-restructuring spread.

Until 2017 CDS was not banned (who could ban it?). But there was no outstanding debt suitable to be a reference obligation in a CDS contract. (There were some local-law bonds, "private sector involvement" (PSI) debt..) as soon as Greece issues external-law eurobonds in 2017, trading CDS resumed.

You can cite https://www.brookings.edu/blog/up-front/2017/11/30/to-swap-or-not-to-swap-greece-issues-5-new-bonds

You should see similar gaps after Argentine sovereign defaults.