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 .
European Financial CDS – Most swaps tightened marginally in Europe last week. The Greek banks continue to tighten notably, dropping an average of 15 bps in the past week and 195 bps in the past month. Russia’s Sberbank widened by 20 bps this past week; however, the bank remains tighter on the month by 24 bps.
Sovereign CDS – Sovereign Swaps either tightened or remained the same over the past week. Japanese sovereign swaps tightened by 4.9% (2 bps to 46) and US sovereign swaps tightened by 4.8% (1 bp to 17).
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.