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 mostly widened in Europe last week. Investors continue to focus on the uncertainty of upcoming Greek elections; Greek banks' CDS widened between 159 and 229 bps last week.
Sovereign CDS – European Sovereign Swaps mostly tightened over last week. German sovereign swaps tightened by -21.3% (-4 bps to 14 ) and Portuguese sovereign swaps widened by 7.8% (14 bps to 187).
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 10 bps.