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 sharply across the European bank complex last week. Spanish and German banks were among the most changed. Sberbank of Russia rose 40 bps to 380 bps and is now up 71 bps m/m.
Sovereign CDS – Sovereign swaps widened across the board last week. Italian sovereign swaps widened by 21.6% (+19 bps to 107). Japanese swaps rose 6 bps to 39 bps (+19%).
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 was unchanged last week at 13 bps.