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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 .

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European Financial CDS - Financials swaps across Europe were mostly wider last week, consistent with the month-over-month trend.

European Banking Monitor: Still Going the Wrong Way - oo. banks

Sovereign CDS – Sovereign swaps blew out in Portugal (+27 bps), but were only nominally wider elsewhere, and tightened again in the U.S. 

European Banking Monitor: Still Going the Wrong Way - oo. cds1

European Banking Monitor: Still Going the Wrong Way - oo. cds2

European Banking Monitor: Still Going the Wrong Way - oo.  cds3

Euribor-OIS Spread – The Euribor-OIS spread widened by 1 bps to 12 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: Still Going the Wrong Way - oo. euribor

ECB Liquidity Recourse to the Deposit Facility – Liquidity deposits declined by 18 billion Euros last week. 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: Still Going the Wrong Way - oo. facility