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The Opalesque Team:
Credit Derivatives Research LLC reported on Thursday that the market rally of the past two weeks has buoyed investor confidence in its largest financial institutions, sending the CDR tracked Counterparty Credit Risk Index down over 25%.
The Index reflects investor confidence has returned to the levels of late June 2008 when the markets were recovering from the shock of the Bear Stearns collapse, but had yet to face the Lehman crisis. While investors are most optimistic about Credit Suisse and JP Morgan, Bank of America and Citigroup rank as the riskiest counterparties.
A statement released by the California-based firm cautioned that although the risk index is down to 109.5bps (30% below its one year average), it reflects only the perception of risk amongst investors and not the actual strength of the markets. Prior to the 2007 credit crisis the index reflected high confidence and routinely stood at only 15bps.
"We dare not venture a guess where the CRI will be in a month's time. The current market rally feels well overdone to us, but it felt that way a week ago as well. Each sign that the economy is stabilizing is met with market euphoria," said CDR Manager Dave Klein.
The CDR Counterparty Risk Index (CRI), property of Credit Derivatives Research LLC, has currently the following components: Bank of America Corp., BNP Paribas, Barclays Bank P...................... To view our full article Click here
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