So it’s not quite at the 10.25bps level hit when Lehman Brothers collapsed in September 2008, but the difference between the iTraxx Main and Financials Senior CDS indices (a basic indicator of how credit investors are viewing corporates versus financials) is getting close.
As of Monday it was at circa 9bps, according to the credit analysts at BNP Paribas.
Which, BNP says, means:
Systemic risk continues to linger, with senior financials trading significantly wider than the Main and as curves continue to flatten. Economic data may take a back seat, as over the coming days it will be the developments with Greece and general sovereign risk that will determine whether systemic risk will escalate or quench from here.
Something to watch out for on Wednesday then, when the European Commission is expected to publish its review of Greece’s Stability Programme.
Related links:
Europe is Lehman-fied – FT Alphaville
800 years of financial folly – FT Alphaville