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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 - Swaps were sharply higher across Europe's banks last week. UK banks fared equally poorly alongside their French, German, Spanish and Italian counterparts.

European Banking Monitor: Is It Time to Panic? - vv.banks

Sovereign CDS – Sovereign swaps widened almost across the board last week with the biggest moves occurring in Portugal and Italy (+25 and +19 bps). Meanwhile, the US and Germany were unchanged at 28 and 23 bps, respectively. 

European Banking Monitor: Is It Time to Panic? - vv.sov1

European Banking Monitor: Is It Time to Panic? - vv.sov2

European Banking Monitor: Is It Time to Panic? - vv. sov3

Euribor-OIS Spread – The Euribor-OIS spread tightened by 1 bps to 11 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: Is It Time to Panic? - vv.euribor

Matthew Hedrick

Associate