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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 - Swaps were wider across the board in European banks with the exception of Greece, where swaps tightened for all three banks we track. The median increase was +14 bps with the largest relative widening occurring in France and Austria.  

European Banking Monitor: Cooling Off - vv. banks

Sovereign CDS – Sovereign swaps were wider around the globe last week with the sole exception of Japan (-1 bp). Portugal and Spain led the charge higher, rising 19 and 13 bps, respectively. The US, Germany and France were little changed. 

European Banking Monitor: Cooling Off - vv.sov1

European Banking Monitor: Cooling Off - vv.sov2

European Banking Monitor: Cooling Off - vv.sov3

Euribor-OIS Spread – The Euribor-OIS spread tightened by 2 bps to 9 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: Cooling Off - vv.euribor