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 were tighter across the board for Europe's banks last week on ECB asset purchases. Russia's Sberbank was the only issuer on our list below whose swaps widened. Notably, Greek swaps tightened significantly, but now with the Syriza party's victory, the stability of the country's economy is even more uncertain.
Sovereign CDS – Sovereign swaps were sharply tighter across Europe last week as EUQE assauged concerns. Italian sovereign swaps tightened by -16.7% (-21 bps to 105 bps) while Spanish swaps tightened 12 bps to 77 bps.
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 4 bps to 9 bps.