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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 - The good news is, the systemic gauge of EU banking system risk, Euribor-OIS, remains benign. The bad news is, individual company swaps look awful. The table below speaks for itself, but we'd call attention to Sberbank of Russia (+44 bps WoW), RBS (+47 bps WoW), and the UK banks.

European Banking Monitor: Sliding Into Summer - rr. banks

Sovereign CDS – Sovereign swaps widened across the board last week. Italy, Spain and Portugal blew out by 24, 32 and 38 bps, respectively to 284, 284 and 409 bps. Meanwhile, Japan widened a further 5 bps to 86 bps, Germany widened 5 bps to 32 bps and the U.S. added 2 bps to 29 bps.

European Banking Monitor: Sliding Into Summer - rr. sov 1

European Banking Monitor: Sliding Into Summer - rr. sov 2

European Banking Monitor: Sliding Into Summer - rr. sov 3

Euribor-OIS Spread – The Euribor-OIS spread tightened by 1 bps to 12 bps. This is another token silver lining to the current maelstrom. European spreads are at least contained from a systemic standpoint. 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: Sliding Into Summer - rr. euribor

ECB Liquidity Recourse to the Deposit Facility – Deposits were down another 12 billion Euros last week, signaling relative calm in the European financial system (relative vs. rest of world). 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: Sliding Into Summer - rr. facility