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Developments in the Greek government bond market - January 2010

03/02/2010 - Press Releases

In January, government bonds recorded gains in the US and in “core” Euro-zone markets while government bond prices declined considerably and yields rose in Euro-zone "peripheral" markets. These developments reflect the decline in investor risk appetite due to uncertainties about future global economic growth and the different fiscal outlook of Euro-zone countries.

On the Greek electronic secondary securities market (HDAT), Greek government bond yields rose significantly, especially on short-term maturity bonds. The 3-year benchmark bond yield recorded the biggest increase, by 308 basis points (bps), to 6.97% at the end of January while the yield on the new 5-year benchmark bond (maturity date 20/8/2015) introduced in HDAT on January 28 closed at 6.72% on the last day of January compared with a yield on the previous 5-year bond of 4.87% on December 31. At the long end of the yield curve, the 30-year benchmark bond yield rose by 40 bps to 6.62% and the 10-year benchmark bond yield by 129 bps to 6.98%. As a result, the yield curve became inverted, with the difference between the 30- and the 3-year bond yields reaching -35 bps at the end of January from 233 bps at the end of December. In addition, the average monthly spread between the Greek and the German 10-year bond yields widened to 273 bps in January from 226 bps in December.

As for benchmark bond prices, the 3-year bond price fell to 94.85 at the end of January from 100.85 on December 31, the 10-year bond price fell to 93.27 from 102.15 and the 30-year bond price to 73.73 from 78.05 respectively.

Trading volume on HDAT in January amounted to EUR 21.09 billion worth of transactions, compared with EUR 17.48 billion in December and EUR 12.08 billion in January 2009. The daily average turnover was EUR 1.11 billion, compared with EUR 795 million during the previous month. Investor interest was mainly focused on bonds with remaining maturity between 7 and 10 years, which absorbed EUR 8.5 billion worth of transactions, or 40% of the overall traded volume. The most actively traded bond was the 10-year benchmark, with EUR 7.5 billion worth of transactions. Of the 4,151 orders executed on HDAT, 41.8% were “buy” orders and 58.2% “sell” orders.

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