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Sustained oil below $60 will create spike in defaults: Pro

If oil falls below $60 for a prolonged period of time, it will create the first substantial spike in the U.S. corporate default rate since 2009, Newedge USA's Larry McDonald told CNBC on Wednesday.

"The unthinkable can happen," McDonald, the firm's senior director and head of U.S. strategy, said in an interview with "Street Signs."

"The Fed, because of their zero rate interest policy, has really pumped up a tremendous amount of leverage into that space."

In fact, Newedge's research found that debt in the energy and commodity space is $3.4 trillion globally, up from $900 billion 10 years ago.

Read More'Small oil' could end up with a big debt problem

Oil barrels prices Royal Dutch Shell Plc
Andrey Rudakov | Bloomberg | Getty Images

While the problem isn't as large as the subprime mortgage crisis, it is still the biggest risk to the market for 2015, McDonald said.

It has also left the Federal Reserve in a quandary, McDonald added.

Read MoreWall Street starting to pick an oil bottom

"If the U.S. economy is as strong as people thinks, how can they possibly raise rates with the global economy as weak as it is? Because what is that going to do? That's going to strengthen the dollar, that's going to push oil lower," he said.

"I know the Fed is concerned about this leverage in the oil space."

U.S. crude futures settled 50 cents higher Wednesday at $67.38 per barrel, while Brent was last hovering under $70.

—CNBC's Jackie O'Sullivan contributed to this report.