"I never thought in my life I would see the U.S. priced higher in risk cost than a number of countries like Spain, Germany, or France," he said at the Forbes Iconoclast Summit, according to a Reuters report. "You gotta be kidding me."

Although Griffin acknowledged that prices have been impacted by some liquidity issues in the credit default swaps (CDS) market, he called the conversations surrounding the swap prices "unfathomable."

CDS is an agreement between two parties where one party agrees to compensate the other in the event of a default. The instrument was in the spotlight during the 2008 financial crisis when investors like Michael Burry and Steve Eisman shorted the housing market using CDS.