European Banking Monitor: Risk Premiums Tick Higher in Russia

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 - Russian bank, Sberbank, continued to see its swaps widen (+18 bps to 283 bps). Outside of Russia, however, there was slight tightening across Europe. The average EU bank tightened 2 bps on the week.

European Banking Monitor: Risk Premiums Tick Higher in Russia - chart 1 European Financials CDS

Sovereign CDS – Sovereign swaps tightened an average of 3 bps over the week. Portuguese swaps tightened the most, -11 bps, with Spain next at -3 bps. Swaps in the US were unchanged at 16 bps.

European Banking Monitor: Risk Premiums Tick Higher in Russia - chart 2 sovereign CDS

European Banking Monitor: Risk Premiums Tick Higher in Russia - chart 3 sovereign CDS

European Banking Monitor: Risk Premiums Tick Higher in Russia - 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 14 bps.

European Banking Monitor: Risk Premiums Tick Higher in Russia - chart 5 euribor OIS spread

Matthew Hedrick 

Associate

Ben Ryan

Analyst