• It's Here!

    Etf Pro

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

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 widened almost across the board in Europe last week. Sberbank of Russia was one of the few exceptions, tightening 8 bps w/w. The Greek banks were wider by an average of 36 bps w/w. Overall, swaps widened by a median of 2 bps on the week.

European Banking Monitor: Credit Risk Uptick on the Week - chart 1 financials CDS

Sovereign CDS – Sovereign swaps widened globally last week with the largest increases coming from Italy (+6 bps) and France (+4 bps). 

European Banking Monitor: Credit Risk Uptick on the Week - chart 2 sovereign CDS

European Banking Monitor: Credit Risk Uptick on the Week - chart 3 sovereign CDS

European Banking Monitor: Credit Risk Uptick 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 tightened by 4 bps to 16 bps.

European Banking Monitor: Credit Risk Uptick on the Week - chart 5 sovereign CDS

Matthew Hedrick

Associate

Ben Ryan

Analyst