This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and sovereigns in the euro area, where spillover is identified based on bilateral Granger causality regressions. Over-identification of contagion between financials’ true credit risk and sovereign credit risk is avoided 1) by controlling for common factors; 2) by relying on fair value CDS spreads as the credit risk measure for financials. The results show that in particular the run-up to the financial crisis and the more intense phases of the crisis were associated with credit risk contagion and feedback. The institutions identified as most central to the network during those episodes are known to have played important roles during the crisis. Furthermore, the tense periods were short-lived and sovereign-to-bank spillover is found to normalise when policy makers took measures to stem the crisis. Finally, a proxy for the value of implicit government guarantees to the financial sector was still positive towards the end of the sample, suggesting the financial-sovereign nexus had not been removed yet by new bank resolution mechanisms and regulatory changes.