European Banking Monitor: Staying In The Bunker For Now

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 - With the narrow exception of Greece, European banks were broadly tighter last week. Europe's banks are now generally showing progress on a month-over-month basis.  

 

European Banking Monitor: Staying In The Bunker For Now - ww  banks

 

Sovereign CDS – Sovereign swaps were mixed last week with the US showing the largest percentage change with a 3 bps tightening, while Spain saw its swaps widen by 5 bps. Overall, it was a fairly quiet week. 

 

European Banking Monitor: Staying In The Bunker For Now - ww. sov1

 

European Banking Monitor: Staying In The Bunker For Now - ww. sov2

 

European Banking Monitor: Staying In The Bunker For Now - ww. sov3

 

Euribor-OIS Spread – The Euribor-OIS spread widened by 2 bps to 15 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: Staying In The Bunker For Now - ww. euribor

 

 

Matthew Hedrick

Associate