• It's Here!

    Etf Pro

    Get the big financial market moves right, bullish or bearish with Hedgeye’s ETF Pro.

  • It's Here

    MARKET EDGES

    Identify global risks and opportunities with essential macro intel using Hedgeye’s Market Edges.

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 - Swaps were little changed in Europe last week, though a big move came at Russia's Sberbank where spreads tightened by 30 bps w/w and are now tighter by 63 bps m/m.

European Banking Monitor: Credit Spreads Held Flat On The Week - chart 1 euro financials cds

Sovereign CDS – Sovereign swaps were wider across the board last week except for in the US, where they tightened 1 basis point. Portugal and Italy led the charge higher, rising by 16 and 8 bps, respectively. 

European Banking Monitor: Credit Spreads Held Flat On The Week - chart 2 sovereign cds

European Banking Monitor: Credit Spreads Held Flat On The Week - chart 3 sovereign cds

European Banking Monitor: Credit Spreads Held Flat On The Week - chart 4 sovereign cds

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 1 bps to 20 bps.

European Banking Monitor: Credit Spreads Held Flat On The Week - Chart 5 Euribor OIS Spread

Matthew Hedrick

Associate

Ben Ryan

Analyst