Payers (Swaption) Vs CDS Relative Value

Payers and CDS have some equivalence in extreme sovereign events - both can be structured as effective hedges against a sov bonds portfolios. In case of a sov default, the CDS is a straight forward hedge, and the payers benifits from the resulting selloffs. It is interesting to take a rough-cut look at the relative value between them I compute the strikes of a 100bps wide payer spread which is equivalent to a cds hedge (cost same upfront and have same max payouts in the event of default) - under different assumptions - 1) standard: 40% recovery and no deppreciation in FX, 2) moderate: 40% recovery and a 25% deppreciation in FX w.r.t USD, 3) severe: 20% recovery and a 25% decline in FX. The charts below shows the payers strikes (from current ATMF in bps) in Y-axis vs CDS spread in X-axis. Any point below the RED line indicates payers are trading cheaper to CDS, and similarly any points above it indicate payers are relatively trading richer. The instruments considered are 5y CDSs vs 5y10y payer spreads