European Banking Monitor: Sberbank Inflects

Below are key European banking risk monitors, which are included as part of Josh Steiner and the Financial team's "Monday Morning Risk Monitor".  If you'd like to receive the work of the Financials team or request a trial please email .

---

European Financial CDS - The median EU bank widened by 7 bps week-over-week. French, Italian and Spanish banks saw the most significant deterioration. Sberbank of Russia showed the largest WoW % change in swaps (+10.8%), rising 20 bps to 206 bps. This is consistent with the ongoing drop in the commodities complex. 

European Banking Monitor: Sberbank Inflects - ww. banks

Sovereign CDS – The U.S. and Germany tightened notably WoW, while the rest of the world deteriorated. U.S. swaps came in by 4 bps to 26 bps, while Japanese swaps widened by 6 bps to 78 bps. 

European Banking Monitor: Sberbank Inflects - ww.sov 1

European Banking Monitor: Sberbank Inflects - ww.sov2

European Banking Monitor: Sberbank Inflects - ww.sov3

Euribor-OIS Spread – The Euribor-OIS spread was flat at 13 bps. The Euribor-OIS spread (the difference between the euro interbank lending rate and overnight indexed swaps) measures bank counterparty risk in the Eurozone. The OIS is analogous to the effective Fed Funds rate in the United States.  Banks lending at the OIS do not swap principal, so counterparty risk in the OIS is minimal.  By contrast, the Euribor rate is the rate offered for unsecured interbank lending.  Thus, the spread between the two isolates counterparty risk. 

European Banking Monitor: Sberbank Inflects - ww.euribor

ECB Liquidity Recourse to the Deposit Facility – The ECB Liquidity Recourse to the Deposit Facility measures banks’ overnight deposits with the ECB.  Taken in conjunction with excess reserves, the ECB deposit facility measures excess liquidity in the Euro banking system.  An increase in this metric shows that banks are borrowing from the ECB.  In other words, the deposit facility measures one element of the ECB response to the crisis.  

European Banking Monitor: Sberbank Inflects - ww.facility