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 - It was a fairly uneventful week for EU bank swaps as the median change was zero basis points. #Steady as she goes.
Sovereign CDS – Sovereign swaps were flat to tighter around the world last week. Italian and Portuguese sovereign swaps tightened by -3.6% (-6 bps to 153) and -2.0% (5 bps to 254 bps). Spanish and German swaps were unchanged at 135 and 25 bps, respectively.
Euribor-OIS Spread – The Euribor-OIS spread widened by half a basis point to 15.4 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.
Matthew Hedrick
Associate
