This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity for six Euro-area countries over the period 2004-2011. The authors find that in each country the CDS and bond spreads series are bound by a cointegration relationship. The theoretical value [1, -1] for the cointegrating vector is rejected, allowing for short run price discrepancies between the two markets. The VECM analysis suggests that the CDS market leads price discovery. The Granger Causality Test shows that for 5/6 of the countries, past values of CDS spreads help to forecast bond yield spreads.