The paper analyses the systemic risk in the banking sectors of Estonia, Latvia and Lithuania. The systemic risk is treated as a feature of the interbank market, whose source is the default of a single bank. The main features of local interbank market and its network structure are presented. Due to lack and incorrectness of data concerning bilateral exposures, the matrix balancing method is used for estimation of bilateral exposures. The main findings are that the bankruptcy of one of the big banks will put a considerable burden on other credit institutions, but will not lead to a complete collapse of the interbank market. The contagion effects of the failure of a smaller bank are limited.