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European Banking Monitor: Greek Credit Risk Tightens | $NBG

Editor's Note: This is a complimentary research note from Hedgeye Analyst Matt Hedrick originally provided to subscribers on April 14, 2014 at 11:20 a.m. 

Below are key European banking risk monitors, which are included as part of Hedgeye Financials team's Monday Morning Risk Monitor.  If you'd like to receive the work of the Financials team or request a trial please email sales@hedgeye.com. And, for more information on our services, click here.

European Banking Monitor: Greek Credit Risk Tightens | $NBG - greece

European Financial CDS –  Swaps across Europe's banking system were little changed (median change = 0 bps), but the Greek banks continue to tighten notably, dropping an average of 40 bps in the past week and 185 bps in the past month. The news that GS & MS will be leading a secondary offering for National Bank of Greece doesn't hurt either.

European Banking Monitor: Greek Credit Risk Tightens | $NBG - European Financials CDS  1

Sovereign CDS – Sovereign swaps mostly widened over last week. Irish sovereign swaps tightened by -2.7% (-2 bps to 71 ) and Spanish sovereign swaps widened by 7.1% (6 bps to 93).

European Banking Monitor: Greek Credit Risk Tightens | $NBG - Sovereign CDS  2

European Banking Monitor: Greek Credit Risk Tightens | $NBG - sovereign cds chart  3

European Banking Monitor: Greek Credit Risk Tightens | $NBG - sovereign cds chart  4

Euribor-OIS Spread – The Euribor-OIS spread was unchanged week-over-week at 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: Greek Credit Risk Tightens | $NBG - euribor ois spread  5

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