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 - Europe's banking system also likes QE, apparently. Of the 32 institutions we track, all but two tightened week-over-week. Spain, Italy, Portugal and Russia all saw their bank swaps tighten significantly.
Sovereign CDS – Sovereign swaps mostly tightened last week in response to the Fed's decision. Portuguese sovereign swaps tightened by -6.1% (-34 bps to 523 bps) and French sovereign swaps widened by 1.6% (1 bps to 68 bps).
Euribor-OIS Spread – The Euribor-OIS spread tightened 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.