Counterparty risk at five week lows as oil declines, says CDR

Counterparty risk has fallen to five week lows as brokers outperform amid dropping oil prices, reports Credit Derivatives Research. The CDR Counterparty Risk Index fell 5.5 basis points to 135 basis points since last week. Amid the Bear Stearns debacle, the CDR Index was up at 250bp. It fell below 100bp in May.

Also helping brokers outperform, the monoline CDS commutations continue to gain momentum, says CDR. The banks and brokers are taking the view that receiving less cash now is better than potentially receiving nothing at a later date, they add.