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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 .


European Financial CDS - European financial swaps were wider almost across the board last week, though only by a small amount. The average and median widening was 3 and 5 bps, respectively. Tighteners included Sberbank and Greek banks.

European Banking Monitor: Calm Seas - zz. banks

Sovereign CDS – Italy, Spain and Portugal all widened on the week, by 6, 7 and 41 bps, respectively. Ireland and Japan were also wider by 6 and 2 bps, respectively. The US, Germany and France were all unchanged.

European Banking Monitor: Calm Seas - zz. sov1

European Banking Monitor: Calm Seas - zz. sov2

European Banking Monitor: Calm Seas - zz. sov3

Euribor-OIS Spread – The Euribor-OIS spread was unchanged last week 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: Calm Seas - zz. euribor