The perceived credit risk of Western European nations overtook that of high-grade U.S. companies for the first time on Thursday, reflecting rising concerns over high debt loads taken on by governments attempting to spend their way out of the financial crisis.

The SovX credit default swap index, a measure of the credit risk of 15 Western European countries, rose to 94 basis points on Thursday, compared with 92 basis points for the benchmark U.S. index of investment grade companies.

Though many analysts discount comparisons between sovereign risk and corporations, the increase nonetheless reflects increasing focus on sovereign credit quality.

"While this milestone is a bit irrelevant and certainly an apples to oranges comparison for geographical reasons, that nevertheless symbolizes how credit risk has been transformed from corporate to sovereign risk, as the solution to the financial and economic crisis was government intervention," Bank of America Merrill Lynch analysts said in a report on Thursday.

The SovX index has traded at higher levels than the European corporate credit index for most of this year.

Sovereign credit risk has come under increasing focus as concerns grow over high debt levels, rising government fiscal deficits and, for some nations, increased funding risks.

Concerns over fiscal problems in Greece and Portugal pushed their debt protection costs to new highs on Thursday of 406 basis points and 223 basis points, respectively, according to Markit Intraday.

That means, for example, it would cost $406,000 per year for five years to insure $10 million in Greece's debt.

CDSs are used to protect against a debt default or, in some cases a debt restructuring, or can be used to speculate on a borrower's credit quality.

An index of government risk maintained by research firm Credit Derivatives Research also jumped to its highest levels since April 2009, after rising 12 percent on the week, the company said on Thursday.

The index, which is based on the perceived risk of France, Germany, Italy, Japan, Spain, Britain and the United States, has jumped to more than 90 basis points, which is more than 130 percent above its August 2009 lows, the research firm said.

Credit default swaps protecting U.S. government debt also rose on Thursday to their highest level in almost 10 months.