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European Banking Monitor: Calmer Than A Week Ago But Still Uncertain

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 - Outside of Greece, most of Europe's banking system saw swaps tighten last week. Spanish, Italian and French banks led the charge lower, followed closely by Germany's banks. Greek banks were wider by ~30 bps on a w/w basis.

European Banking Monitor: Calmer Than A Week Ago But Still Uncertain - v.banks

Sovereign CDS – Sovereign swaps were tighter across the globe last week with the exception of Germany, where they widened by one basis point. 

European Banking Monitor: Calmer Than A Week Ago But Still Uncertain - v.sov1

European Banking Monitor: Calmer Than A Week Ago But Still Uncertain - v.sov2

European Banking Monitor: Calmer Than A Week Ago But Still Uncertain - v.sov3

Euribor-OIS Spread – The Euribor-OIS spread tightened by 3 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. 

European Banking Monitor: Calmer Than A Week Ago But Still Uncertain - v.euribor

Matthew Hedrick 

Associate