The cost of protecting corporate bonds from default in the U.S. rose by the most since March 21 on signs Europe's sovereign debt crisis is worsening.

The Markit CDX North America Investment Grade Index, which investors use to hedge against losses on corporate debt or to speculate on creditworthiness, increased 2 basis points to a mid-price of 91.8 basis points as of 4:41 p.m. in New York, according to index administrator Markit Group Ltd.

The credit swaps index, which typically rises as investor confidence deteriorates and falls as it improves, reached the highest since April 26 after Spanish Prime Minister Jose Luis Rodriguez Zapatero's Socialist party suffered its worst defeat in more than 30 years in local elections amid a backlash over austerity measures. The gauge has increased from 88.6 basis points on May 19, the day before Standard & Poor's revised Italy's credit-rating outlook to negative from stable.