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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 - Swaps across Europe were narrowly changed with one exception: Russia's Sberbank, which widened +35 bps to 265 bps. 

European Banking Monitor: Sberbank Swaps Widen on Conflict  - chart 1 Financials CDS

Sovereign CDS – Sovereign swaps were little changed last week as the largest move came from Italy at +3 bps, while the average move was 0 bps. 

 European Banking Monitor: Sberbank Swaps Widen on Conflict  - chart 2 sovereign CDS

European Banking Monitor: Sberbank Swaps Widen on Conflict  - chart3 sovereign CDS

European Banking Monitor: Sberbank Swaps Widen on Conflict  - 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 1 bps to 13 bps.

European Banking Monitor: Sberbank Swaps Widen on Conflict  - chart 5 sovereign CDS

Matthew Hedrick

Associate

Ben Ryan

Analyst