Counterparty credit index at weakest in three mos
NEW YORK, July 1 (Reuters) - Concerns about the counterparty risk of major investment banks jumped to a new three-month high on Tuesday amid investor concerns that banks face additional losses from bad mortgage assets.
The CDR Counterparty Risk Index, which measures the average credit spread of the 15 largest credit derivative dealers, widened 7 basis points on Tuesday to 147.9 basis points, its weakest level in three months and 17.3 basis points wider on the week, according to Credit Derivatives Research, which manages the index.
Wachovia Corp WB.N was the weakest performer on the day, with its credit default swaps widening 16 basis points on Tuesday, according to CDR. Merrill Lynch's MER.N credit default swaps widened 15 basis points and Bank of America Corp (BAC.N) widened 14 basis points, CDR said.
Thirteen of the fifteen banks included in the index weakened on Tuesday, Dave Klein, manager of indexes at CDR said in a release.
The counterparties included in the index are ABN Amro Bank, Bank of America, BNP Paribas (BNPP.PA), Barclays Bank Plc (BARC.L), Citigroup Inc (C.N), Credit Suisse Group (CSGN.VX), Deutsche Bank AG (DBKGn.DE), Goldman Sachs (GS.N), HSBC Bank Plc (HSBA.L), Lehman Brothers Holdings LEH.N, JPMorgan Chase & Co (JPM.N), Merrill Lynch, Morgan Stanley (MS.N), UBS AG (UBSN.VX) and Wachovia. (Reporting by Karen Brettell; editing by Gary Crosse)
