U.S. sovereign debt was the third-worst performer in a closely watched derivatives market during the third quarter, CMA said Tuesday in its quarterly review of global sovereign credit risk.

The cost of insuring against a default on U.S. government bonds via so-called credit default swaps rose 28% in the quarter ended Sept. 30, the firm said.

That puts the United States’ third-quarter performance behind only two other nations, both of which are struggling with the early stages of sovereign debt crises: Ireland, whose CDS prices rocketed 72% to a record amid growing questions about the costs of a massive bank bailout, and Portugal, whose costs jumped 30%.

What’s  more, the decline leaves U.S. debt trading at an implied rating of double-A-plus for the first time in memory.

Despite building worries about its financial outlook, the U.S. had traded in recent quarters in line with its triple-A rating from S&P and Moody’s.  But some skeptics have been arguing the U.S. is overrated, and that argument now seems to be gaining steam.

“You can see an indication of concern about the easing course the Fed is likely to continue on,” said Sean Egan, who runs the Egan-Jones credit rating agency in Haverford, Pa. “There’s a number of items that are going to be difficult to reverse as we get down that road, starting with the dramatic underfunding of state pension funds.”

The shift comes at a head-spinning time for the U.S. economy. The government has run two straight trillion-dollar-plus budget deficits, with more to come. Yet Treasury bonds are trading at record-low yields, reflecting questions about the economic outlook.

Meanwhile, the Federal Reserve is considering another round of major asset purchases in a policy observers have dubbed QE2, for the central bank’s second attempt at quantitative easing – a bid to boost economic activity by expanding the size of the Fed’s balance sheet.

Comments by Fed chief Ben Bernanke and other policymakers have sent the dollar tumbling to its lowest level since January and helped light a fuse under commodity prices. Those remarks have had the effect of making even weak economic numbers look bullish, by suggesting the Fed will ride in if jobs data, for instance, get too ugly.

The rising price of insuring against a default on U.S. government debt is of a piece with these moves and suggests the full tab for the profligacy of the past decade has yet to be presented.

To be sure, a default on U.S. debt remains a remote possibility. Even after the third quarter’s runup, it costs just $48,000 annually to insure for five years against a default on $10 million worth of Treasury securities. That’s a tenth the going rate on Irish debt and about one-eighth the price prevailing in Portugal.

And at that, CDS spreads are far from a pure read on default risk. A report by rating agency Fitch on Tuesday noted that credit default swaps performed “unevenly” during the credit crisis in predicting defaults by companies and other private-sector debt issuers.

“While there are notable instances in which CDS spread widening preceded eventual defaults, there have also been numerous false positives where spreads ramped up dramatically even though few if any defaults ensued,” Fitch wrote.

Even so, the third-quarter rise in its CDS spreads knocks the U.S. out of the triple-A league it has long shared with the likes of Germany, Switzerland and the Nordic countries, all of which regularly run trade surpluses and have relatively manageable debt positions.

It’s early to say there’s no going back, but our political leaders certainly have their work cut out for them – without any particular sign they’re up to the task.