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Developments in the Greek government bond market: February 2010

05/03/2010 - Press Releases

Government bonds had a positive performance on international markets in February, with the exception of US long-term maturity bonds that recorded small losses. Among the major factors behind this development was continued risk aversion on the part of investors as various economic data releases, in the US and in the Euro-zone, were weaker than the market expected, raising worries about the strength of future global economic growth. At the same time, investor concern about the fiscal outlook in several countries receded somewhat.

On the Greek electronic secondary securities market (HDAT), Greek government bond yields fell significantly, in particular at the short end of the yield curve, with the only exception of the 30-year bond yield that rose slightly, by 5 basis points (bps), to 6.67% at the end of February. The 3-year benchmark bond yield recorded the biggest decline, by 65 bps, to 6.32% at the end of February, while the 10-year benchmark bond yield fell by 34 bps to 6.64%. As a result, the yield curve steepened considerably as the difference between the 30- and the 3-year bond yields amounted to 35 bps at the end of February compared to a negative slope of -35 bps at the end of January. In addition, the average monthly spread between the Greek and the German 10-year bond yields widened further to 327 bps in February from to 273 bps in January.

As for benchmark bond prices, the 3-year bond price rose to 96.20 at the end of February from 94.85 at the end of January, the 10-year bond price rose to 95.56 from 93.27 whereas the 30-year bond price declined marginally to 73.29 from 73.73.

Trading volume on HDAT in February amounted to EUR 18.86 billion worth of transactions, compared with EUR 21.09 billion in January and EUR 13.88 billion in February 2009. The daily average turnover was EUR 992 million, compared with EUR 1.11 billion during the previous month. Investor interest was mainly focused on bonds with remaining maturity between 5 and 10 years, which absorbed EUR 11.9 billion worth of transactions, or 63% of the overall traded volume. The most actively traded bond was the 10-year benchmark, with EUR 5.6 billion worth of transactions, followed by the new 5-year benchmark with EUR 5.5 billion worth of transactions. Of the 3,727 orders executed on HDAT, 43.9% were “buy” orders and 56.1% “sell” orders.




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