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European Banking Monitor: Russia Moving To The Back Of The Stove

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 mostly tightened in Europe last week, as the banks took their cues from the sovereigns. Clearly the concerns over energy supply disruptions from Russia/Ukraine are shifting toward the back burner. Even Russia's Sberbank cooled off, rising just 1 bp week-over-week.

 

European Banking Monitor: Russia Moving To The Back Of The Stove - a.banks

 

Sovereign CDS – Sovereign swaps were generally tighter last week. Portugal, Italy and Spain were the big winners, tightening 21, 14 and 9 bps, respectively. Countries going the wrong way included Japan and France, both 1 bp higher. 

 

European Banking Monitor: Russia Moving To The Back Of The Stove - a.sov1

 

European Banking Monitor: Russia Moving To The Back Of The Stove - a.sov2

 

European Banking Monitor: Russia Moving To The Back Of The Stove - a.sov3

 

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: Russia Moving To The Back Of The Stove - a.euribor

 

Matthew Hedrick

Associate


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