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CDR Counterparty Risk Index

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The CDR counterparty risk index is a measure of credit risk associated with purchasing credit derivatives. The CDR counterparty risk index is calculated based on the average credit spread of 5-year credit default swap contracts traded by 15 major international financial institutions. The CDR counterparty risk index was launched in June 2008 by Credit Derivatives Research, LLC. CDR reports that the firms included in the CDR counterparty risk index trade about 90% of all credit default swap contracts which makes the CDR counterparty risk index a benchmark for evaluating credit risk. Bank of America, Goldman Sachs, Lehman Brothers, JPMorgan, Merrill Lynch and UBS are among those 15 firms included in the CDR counterparty risk index. CDR counterparty risk index is reported in basis points. At the time the CDR counterparty risk index was launched in June 2008, it was around 100 basis points. That was up from the 25 basis points level the CDR counterparty risk index was at in June 2007, one year prior but down from its 250 level during the Bear Sterns crisis of March 2008. The CDR counterparty risk index crossed above 430 basis points following the bankruptcy of Lehman Brothers in September 2008.



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