NEW YORK, July 11 (Reuters) - Concerns about the counterparty risk of major credit derivative dealers rose to the highest level since March as investors worried about the need for the government to intervene at country's two largest mortgage finance companies.

The CDR Counterparty Risk Index, which measures the average credit spread of the 15 largest credit derivative dealers, widened 6.4 basis points to 152 basis points, and is 9.6 basis points weaker on the week, according to Credit Derivatives Research, which manages the index.

The index is the weakest since March 20, the week when the Federal Reserve orchestrated the bailout of Bear Stearns.

Lehman Brothers LEH.N is the weakest performer on Friday, weakening 43 basis points, while Morgan Stanley (MS.N: Quote, Profile, Research) widened 14.25 basis points and Goldman Sachs's (GS.N: Quote, Profile, Research) credit default swap spreads widened 10.5 basis points, CDR said.

All but four of the 15 banks included in the index were weaker on Tuesday, according to CDR.

The counterparties included in the index are ABN Amro Bank, Bank of America Corp (BAC.N: Quote, Profile, Research), BNP Paribas (BNPP.PA: Quote, Profile, Research), Barclays Bank Plc (BARC.L: Quote, Profile, Research), Citigroup Inc (C.N: Quote, Profile, Research), Credit Suisse Group (CSGN.VX: Quote, Profile, Research), Deutsche Bank AG (DBKGn.DE: Quote, Profile, Research), Goldman Sachs, HSBC Bank Plc (HSBA.L: Quote, Profile, Research), Lehman Brothers Holdings, JPMorgan Chase & Co (JPM.N: Quote, Profile, Research), Merrill Lynch MER.N, Morgan Stanley, UBS AG (UBSN.VX: Quote, Profile, Research) and Wachovia WB.N. (Reporting by Karen Brettell; Editing by Tom Hals)