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 sharply tighter last week across Europe. In fact, just 2 of 30 European banks were wider on the week. The biggest improvements came from the Spanish, Italian, German and Greek banks. It's safe to say that the recovery in Europe and Europe's banking system more generally remains alive and well.
Sovereign CDS – Sovereign swaps mixed last week, but overall saw little movement. The average and median changes were zero. The largest positive and negative moves came from Spain (+4 bps) and Portugal (-5 bps).
Euribor-OIS Spread – The Euribor-OIS spread widened by 2 bps to 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.