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 among European banks last week. Greece began discussions with the Troika regarding the technical details of its bailout extension last week and the Syriza party raised some inflammatory issues such as opening up Greece's borders to Middle Eastern refugees and alleged reparations owed to the country by Germany for Nazi war crimes. Investors reacted negatively to the signal from Greece that it will not make the process easy; swaps on Greek banks rose between 152 and 158 bps.
Sovereign CDS – Sovereign swaps were little changed last week. Italian sovereign swaps widened by 6 bps to 105. Meanwhile, Japanese swaps tightened by 3 bps to 40.
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 11 bps.