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Developments in the Greek government bond market - November 2009

07/12/2009 - Press Releases

In November, government bond prices rose strongly in international markets, and yields fell, particularly at the short end of the yield curve. However, in some Euro-zone "peripheral" markets government bond prices declined considerably and yields rose. As a result, yield spreads between the Euro-zone bonds of the so-called periphery and the correspondent German bonds widened further.

On the Greek electronic secondary securities market (HDAT), Greek government bond yields rose significantly, particularly on short- and medium-term maturity bonds. The biggest rise was recorded in the 3-year benchmark bond yield that increased by 66 basis points (bps) to 2.94% at the end of November, followed by the 5-year benchmark yield that rose by 56 bps to 3.98% and the 7-year yield that increased by 52 bps to 4.38%. On the long end of the yield curve the 30-year yield rose by 36 bps to 5.83% and the 10-year yield by 38 bps to 5.04%. The yield on the new 15-year benchmark bond (maturity 20/3/2026), introduced in HDAT on November 5, increased to 5.74% at the end of the month from 5.44% on its first day of trading. Therefore, the yield curve flattened considerably, with the difference between the 30- and the 3-year bond yields narrowing to 288 bps from 319 bps at the end of October. In addition, the average monthly spread between the Greek and the German 10-year bond yields widened further in November to 156 bps from 133 bps in October.

As for benchmark bond prices, the 3-year bond price fell to 102.96 at the end of November from 104.61 at the end of October, the 10-year bond price fell to 107.06 from 110.19 and the 30-year bond price to 82.59 from 87.13 respectively.

Trading volume on HDAT in November amounted to EUR 50.21 billion worth of transactions, compared with EUR 55.42 billion in October and EUR 7.64 billion in November 2008. The daily average turnover was EUR 2.39 billion, compared with EUR 2.64 billion during the previous month. Investor interest was mainly focused on bonds with remaining maturity between 7 and 10 years, which absorbed EUR 38.5 billion worth of transactions, or 77% of the overall traded volume. The most actively traded bond was the 10-year benchmark with EUR 36.1 billion worth of transactions followed by the 5-year benchmark with EUR 2.4 billion. Of the 9,441 orders executed on HDAT, 49.9% were “buy” orders and 50.1% “sell” orders.

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