Bill Gross, chief investment officer of Pacific Investment Management Company, or Pimco, tells Reuters in an interview that he continues to hold the "high-quality" debt of banking companies because they still offer great value.

Gross manages the $130 billion PIMCO Total Return Fund.

The deleveraging process will continue to be painful. "The financial system is deleveraging which noticeably affects financials, but ultimately reflects negatively on our entire economy since it is finance and consumption oriented," said Gross.

The Philadelphia KBW Bank Index <.BKX> of 24 large banks dropped to its lowest since October 2002 on Wednesday, weighed down by sharp losses among regional banks, many of which are being forced to cut their dividends and raise new capital.

Export-driven sectors are "holding up the rest of the market," he added. But he quickly added that export-driven economies are vulnerable if developing economies continue to tighten policies by way of higher interest rates and currency revaluations.

"Oil, of course, is not helping matters," he added.

(Reporting by Jennifer Ablan in New York; Editing by Theodore d'Afflisio)