The paper investigates the relationships between CDS spread and bond spread. Some theories say both indicators should have same value. We verify the theory using data of CDS spread and bond spread from the beginning of August 2008 till the end of August 2013 for Greece, Italy, Spain, Portugal, France, the Czech Republic, Poland and Slovakia, when we take Germany as the riskless country for bond spread. The results show some differences between both indicators. The paper describes and tries to explain them. Also the essence of CDS contract is introduced and the role of the contract in world financial crisis after year 2007 is briefly discussed.