Sept. 16 (Bloomberg) -- The risk that European banks won't repay their debts exceeds the chances of non-financial companies defaulting for the first time since March, according to prices in the credit-derivatives market.

``Perceived risk in the financial sector has risen considerably, which will exacerbate funding difficulties and therefore heighten the danger of a credit squeeze,'' Marco Annunziata, chief economist at Unicredit Markets in London, wrote in a research report today.

The CHART OF THE DAY illustrates the jump in the Markit iTraxx Financial index of 125 financial companies, shown by the red line, to 143 basis points. It has risen above the Markit iTraxx Europe corporate index, shown in green, after Lehman Brothers Holdings Inc. filed for bankruptcy protection.

``We are seeing history in the making and it is a scary sight,'' Annunziata wrote. ``The U.S. Treasury's decision to opt for shock therapy, allowing Lehman to go bankrupt, has pushed us into uncharted waters.''

To contact the reporters on this story: Mark Gilbert in London at magilbert@bloomberg.netAbigail Moses in London at Amoses5@bloomberg.net

Last Updated: September 16, 2008 06:51 EDT