The cost of protecting debt of JPMorgan Chase & Co. (JPM:US) from default rose to the highest level in a month after the bank said it lost about $2 billion with positions taken by its chief investment office.
Credit-default swaps on New York-based JPMorgan climbed to 118.5 basis points as of 5:42 p.m. in New York, according to prices from data provider CMA, which is owned by CME Group Inc. The contracts were at about 111 basis points before the announcement.
Credit swaps pay the buyer face value if a borrower fails to meet its obligations, less the value of the defaulted debt. A basis point equals $1,000 annually on a contract protecting $10 million of debt.
To contact the reporter on this story: Jody Shenn in New York at email@example.com
To contact the editor responsible for this story: Alan Goldstein at firstname.lastname@example.org