Developments in the Greek government bond market - September 2009
05/10/2009 - Press Releases
Government bond prices rose and yields declined further in
the US market in September, particularly at the long end of the yield curve,
while in euro area government bond markets yields remained more or less
unchanged at the levels seen at the end of August. Overall, government bond
prices were supported by market expectations that official interest rates will
be maintained at the current very low levels in the major economies for an
extended period of time. This was partly due to the data released during the
month that reinforced investor view that the pace of economic recovery is likely
to be very slow. In addition, inflation expectations remain subdued.
On the Greek electronic secondary securities market (HDAT),
Greek government bond yields rose slightly on bonds with remaining maturity
between 5 and 10 years, while 3-, 15- and the 30-year benchmark bond yields
fell. The 3-year yield recorded the sharpest decline by 26 basis points (bps) to
2.20% at the end of September, while the 15- and the 30-year yields fell by 6
and 5 bps respectively to 4.83% and 5.18%. The 10-year yield rose by only 2 bps
to 4.51%. Therefore, the yield curve steepened, with the difference between the
30- and the 3-year bond yields widening to 298 bps from 276 bps at the end of
August. In addition, the average monthly spread between the Greek and the German
10-year bond yields widened in September to 127 bps from 118 bps in August.
As for benchmark bond prices, the 3-year bond price rose to
104.98 at the end of September from 104.47 at the end of August, the 15-year
bond price to 98.69 from 98.06 and the 30-year bond price to 91.15 from 90.45
respectively. On the contrary, the 10-year bond price fell slightly to 111.52 on
September 30 from 111.78 on August 31.
Trading volume on HDAT in September increased noticeably to
EUR 51.79 billion worth of transactions, compared with EUR 30.76 billion in
August and EUR 26.30 billion in September 2008. The daily average turnover was
EUR 2.35 billion, compared with EUR 1.46 billion during the previous month.
Investor interest was mainly focused on bonds with maturity between 7 and 10
years, which absorbed EUR 37.5 billion worth of transactions, or 72% of the
overall traded volume. The most actively traded bonds were the 10-year and the
5-year benchmarks, with respectively EUR 36.3 billion and EUR 4.2 billion worth
of transactions. Of the 9,783 orders executed on HDAT, 52.2% were “buy” orders
and 47.8% “sell” orders.