by Calculated Risk on 10/13/2011 04:17:00 PM

Here is a look at European bond spreads and a measure of bank stress (Euribor-to-Eonia) from the Atlanta Fed weekly Financial Highlights released today (graphs as of Oct 12th).

The spread for Greece is at a record high. The spread for Portugal has been moving sideways, and the spread for Ireland has been declining.

The second graph below is a measure of European bank stress. This has declined a little in recent weeks, but is still elevated.

From the Atlanta Fed:

European bond spreads have narrowed over the past week for most sovereigns, except for Greece, which has seen its spread reach a record high.

• Since the September FOMC meeting, the 10-year yield spread between Greek and German bonds has widened by 267 basis points (bps) and is 472 bps higher since September 30. The yield spreads for Portugal and Ireland have both tightened, by 83 bps and 52 bps, respectively. Spanish and Italian spreads are also down, by 52 bps and 31 bps, respectively.

The second graph is the Euribor-to-Eonia spread: "Eonia is the Euro Overnight Index Average swap rate on unsecured interbank lending in the euro area."

The euro-based Euribor-to-Eonia spread has narrowed over the past week after rising steadily since late July. Since October 5, the spread has narrowed by 8 basis points (bps) to 14 bps, depending on the tenor, and is still elevated compared to July levels.

• The Euribor rates are offered interbank lending rates, denominated in euros and for a set of given maturities. The Euribor rate is determined by surveying 44 banks with the highest volume of business in the euro area, including four non-European banks.