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 another week of broad-based tightening for EU financial swaps, consistent with the falling risk associated with the Russia/Ukraine situation. Sberbank of Russia also posted another large w/w improvement (-23 bps to 318 bps).
Sovereign CDS – Sovereign swaps mostly tightened over last week. Portuguese sovereign swaps tightened by -8.0% (-17 bps to 191 ) while Italian sovereign swaps widened by 0.5% (1 bps to 135).
Euribor-OIS Spread – 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. The Euribor-OIS spread widened by 2 bps to 15 bps.
Matthew Hedrick
Associate
