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The difference between 3 month EURIBOR and 3 month EONIA
EURIBOR is the interest rate that prime banks in the Euro-zone report they would lend to other prime banks in the Euro-zone for a fixed term. Essentially, each bank on the panel of contributes a rate and the highest and lowest fifteen percent are eliminated before the remaining contributed rates are averaged. The result is published each day at 10 am CET (complete technical details are available here). For those familiar with LIBOR (London Inter-Bank Offered Rate), EURIBOR may be thought of as the Euro-zone version.
EONIA is the effective overnight rate for all unsecured lending initiated within the Euro area. The rate is computed by the ECB (European Central Bank) as a volume weighted average of transactions on a given day. The result is published in the evening 5:45 - 6:45 GMT (complete technical details are available here). For those familiar with OIS (Overnight Index Swaps), EONIA may be thought of as the EUR version.
What does this have to do with banking stress?
The key difference between EURIBOR and EONIA for the purpose of determining stress in the banking system is that 3 month EURIBOR involves one bank lending another bank a large sum of money for three months, whereas 3 month EONIA reflects one bank lending another bank money overnight, each night for three months. In both cases interest is paid after three months time. However, if a bank were to go bankrupt after 2.5 months, under 3m EURIBOR, the lender would lose the principal lent plus the interest it is owed. Under a 3 month EONIA contract, the lender would only lose the interest he is owed, not the principal. Thus, the difference between the rate on a three month EURIBOR contract and a three month EONIA contract is compensation banks demand for the risk of losing the principal lent to another bank. In other words, it is a measure of the credit risk banks perceive in one another.
Drawbacks:
EONIA isn't completely free of credit risk. While the lender would not lose the principal, he would lose the interest owed.
EURIBOR is just a response to a survey question. It is not based on actual transactions (whereas EONIA is). A bank may well be tempted to respond with a lower number so as to be perceived as safe. Also, because so many loans and derivative contracts are tied to EURIBOR, banks may have an incentive to report a number that would be advantageous to their loan book or trade book (while this wouldn't be legal in many jurisdictions, such are cases are difficult to prove, though a number of people have been nabbed in recent months).
An account at the ECB (European Central Bank) where banks can deposit money and earn interest (the deposit rate). The deposit rate has always been below the refi rate (refinance rate). Both the Deposit Rate and the Refi Rate are normally determined at the ECB's monthly Governing Council meetings. The 'deposit rate' establishes a floor for EONIA. For more information click here.
What does this have to do with banking stress?
Like all businesses, banks exist to make money. On every euro borrowed for the ECB at the refi rate and put in the ECB's deposit facility, the bank loses money (eg if the refi rate is 1.00% and the deposit rate is 0.25%, the bank loses 0.75% or 75 bps). Why would a bank do this and intentionally lose money? To erect a 'liquidity buffer'. When times are uncertain, the odds that they'll unexpectedly need a ton of money rises. So, the amount of money in the deposit facility is a measure of how much 'just in case' money banks are holding. Bear in mind that banks are getting a negative return on whatever they choose to put in the deposit facility. So, the more money is in the deposit facility, the more precautionary liquidity banks have chosen to hold, which is an indication of what the perceive as the odds and severity of a liquidity crunch.
These prices represent the cost of buying insurance is the event of a default by a company on its bond-holders. The more expensive the insurance, the higher is the perceived risk of a default by the company. Using automobile insurance as an example, young drivers tend to get into more accidents than middle aged persons and some one who just got into three drunken driving accidents are at more likely to get into another accident, those people would be paing a higher automobile insurance premium as they are perceived to have a higher probability of an accident in the future. Unlike automobile insurance, CDS insurance contracts are tradable: so the price to insure against a bank defaulting on its obligations to its bond holders represents what traders in the market perceive to be the riskiness of the company being insured.
Following the collapse of Lehman Brothers, European officials vowed to prevent any bank failures. Also, many banks are required to hold a certain amount of sovereign bonds issued by the country in which they are headquartered. Thus, sovereign risk and the risk of a bank failure are intertwined. If a bank needs a bailout, a county would have to borrow the money to do it raising questions about the solvency of the country.
These are yields on the ten year benchmark bonds issued by Italy, Spain, Portugal and Ireland. While there are many factors influencing the yield on a bond, one of the salient ones is the credit risk of the issuer. Thus, the higher the perceived probability that a country will not pay back the principal in ten years, the more compensation a bondholder will demand in the form of a higher yield.